This algorithm was proposed in "A Family of Iterative Gauss-Newton Shooting Methods for Nonlinear Optimal Control" by M. Giftthaler (IROS 2018)
Tags: implementations DDP, Riccati
This paper introduces a family of iterative al- gorithms for unconstrained nonlinear optimal control. We generalize the well-known iLQR algorithm to different multiple- shooting variants, combining advantages like straight-forward initialization and a closed-loop forward integration. All al- gorithms have similar computational complexity, i.e. linear complexity in the time horizon, and can be derived in the same computational framework. We compare the full-step variants of our algorithms and present several simulation examples, including a high-dimensional underactuated robot subject to contact switches. Simulation results show that our multiple- shooting algorithms can achieve faster convergence, better local contraction rates and much shorter runtimes than classical iLQR, which makes them a superior choice for nonlinear model predictive control applications.
M. Giftthaler et al., A Family of Iterative Gauss-Newton Shooting Methods for Nonlinear Optimal Control, IROS 2018