[julia-users] Re: Optimal Control using Dynamic Programming

[Tony Kelman]

I'm biased, but for control problems with constraints I would pose it as a 
model predictive control problem and use JuMP.jl with the Ipopt.jl optimization 
solver. If you prefer to construct a cost to go map and do dynamic programming 
then I can't point you to any Julia code that I know of that solves your exact 
problem, though there may be some similar matlab code posted somewhere that you 
could translate. Without a complete mathematical or code description of your 
problem you're being too vague for this forum to help much.