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Re: Can Octave solve this optimization problem?

From: Jordi Gutiérrez Hermoso
Subject: Re: Can Octave solve this optimization problem?
Date: Mon, 7 Jan 2008 10:04:59 -0600

On 06/01/2008, Paul Smith <address@hidden> wrote:
> I am trying to solve the following maximization problem with Octave:
> find x(t) (continuous) that maximizes the
> integral of x(t) with t from 0 to 1,
> subject to the constraints
> dx/dt = u,
> |u| <= 1,
> x(0) = x(1) = 0.

Other than discretising the t domain, I think your best bet is to
numerically solve the Euler-Lagrange equations.

I admit I'm not very well-versed in this. I'm not sure if there are
any widespread non-obvious numerical methods for variational problems.

- Jordi G. H.

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