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An efficient Newton-type scheme for the approximate on-line solution of optimization problems as they occur in optimal feedback control is presented. The scheme allows a fast reaction to disturbances by delivering approximations of the exact optimal feedback control which are iteratively refined during the runtime of the controlled process. The contractivity of this real-time iteration scheme is proven, and a bound on the loss of optimality---compared with the theoretical optimal solution---is given. The robustness and excellent real-time performance of the method is demonstrated in a numerical experiment, the control of an unstable system, namely, an airborne kite that shall fly loops.
Diehl et al. (Sat,) studied this question.
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