A mesh gradient technique for numerical optimization

A class of successive-improvement optimization methods in which directions of descent are defined in the state space along each trial trajectory are considered. The given problem is first decomposed into two discrete levels by imposing mesh points. Level 1 consists of running optimal subarcs between each successive pair of mesh points. For normal systems, these optimal two-point boundary value problems can be solved by following a routine prescription if the mesh spacing is sufficiently close. A spacing criterion is given. Under appropriate conditions, the criterion value depends only on the coordinates of the mesh points, and its gradient with respect to those coordinates may be defined by interpreting the adjoint variables as partial derivatives of the criterion value function. In level 2, the gradient data is used to generate improvement steps or search directions in the state space which satisfy the boundary values and constraints of the given problem.