Alternative algorithms for the macRae OLCV strategy

Using dynamic programming MacRae obtained a linear feedback law for her open loop constrained variance (OLCV) strategy. To compute the control law requires solving a two point boundary value problem. The dynamic programming formulation does not admit gradient related algorithms. This paper presents an alternative augmented Lagrangian formulation which can be solved as a deterministic constrained optimization problem. The new approach is superior because it admits gradient related algorithms plus all the algorithms which could be employed using the original approach. Three examples demonstrate the superiority of the new approach.