Can I solve equations backward in time? (Pontryagin maximum principle optimal control problem)

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Hello. I am trying to solve a problem with 7 states in the time interval (0,T), using Pontryagin Maximum Principle. I already have state, costate and optimal input equations, but it is quite hard to obtain its analytical equations since its nonlinear differential equation set with 15 variables. So I have modeled in Simulink. But the problem is, adjoint equations' solving method is, considering the problem backwards in time: starting from time T, up to 0. And I dont know a way to implement it on Matlab (Simulink, or in a toolbox). If anybody in the know could help me with the problem, I would be grateful.

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Accepted Answer

Torsten on 6 Apr 2018
All MATLAB ODE-solvers can integrate backward in time. Just specify "tspan=[T 0]".
Best wishes

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