Optimal stopping and hard terminal constraints applied to a missile guidance problem

Abstract

This paper describes two new types of deterministic optimal stopping control problems: optimal stopping control with hard terminal constraints only and optimal stopping control with both minimum control effort and hard terminal constraints. Both problems are initially formulated in continuous-time (a discrete-time formulation is given towards the end of the paper) and solutions given via dynamic programming. A numeric solution to the continuous-time dynamic programming equations is then briefly discussed. The optimal stopping with terminal constraints problem in continuous-time is a natural description of a particular type of missile guidance problem. This missile guidance application is int..