A new method for optimal control of Volterra integral equations

We formulate and analyze a new method for solving optimal control problems for systems governed by Volterra integral equations. Our method utilizes discretization of the original Volterra controlled system and a novel type of dynamic programming in which the Hamilton-Jacobi function is parametrized by the control function (rather than the state, as in the case of ordinary dynamic programming). We also derive estimates for the computational cost of our method. (c) 2007 Elsevier Inc. All rights reserved.