**Abstract**

In this chapter, an efficient computation approach is proposed for solving a general class of discrete-time optimal control problems. In our approach, a simplified optimal control model, which is adding the adjusted parameters into the model used, is solved iteratively. In this way, the differences between the real plant and the model used are calculated, in turn, to update the optimal solution of the model used. During the computation procedure, the equivalent optimization problem is formulated, where the conjugate gradient algorithm is applied in solving the optimization problem. On this basis, the optimal solution of the modified model-based optimal control problem is obtained repeatedly. Once the convergence is achieved, the iterative solution approximates to the correct optimal solution of the original optimal control problem, in spite of model-reality differences. For illustration, both linear and nonlinear examples are demonstrated to show the performance of the approach proposed. In conclusion, the efficiency of the approach proposed is highly presented.

**Keywords:** optimal control, conjugate gradient, adjusted parameters, iterative solution, model-reality differences
