SUCCESSIVE-APPROXIMATIONS OF LINEAR-CONTROL MODELS

We present a technique for approximating sequences of linear programs with varying right-hand sides and study the geometric properties of th is approximation. Our approximation has an efficiency advantage over o ptimal solutions. When applied to deterministic control problems, the suggested technique outperforms the linear feedback model and provides accurate results (error of 5.8% in our numerical example). Numerical experience with stochastic models indicates that this approach may out perform the limited lookahead policies while maintaining low computati onal requirements.