ABSTRACT
This chapter overviews three known successive methods that can be used for computing an approximate solution to optimal control problems. Steepest descent method, is a simple and well known tool, that can be used for solving optimal control problems numerically. In optimization, Newton’s method is an iterative method for computing stationary solutions. The purpose of Krotov's method is to solve optimal control problems nu-merically by taking advantage of theoretical concepts. According to this method, the key to the problem is formulating a sequence of functions with special properties. Krotov's method is aimed at computig such sequnce by suc-cessively improving admissible process.
