For solving optimal control problems where the initial conditions of some of the state variables are not specified, a procedure based on iterative dynamic programming (IDP) is presented. In this procedure, the free initial conditions are taken to be additional control variables for the first time stage only; then the search for the optimal initial conditions and also the optimal control policy is carried out simultaneously using IDP. The procedure is straightforward, and as illustrated with two nonlinear optimal control problems, for each case the optimum performance index is readily obtained.