Interior point methods in optimal control

DOI10.1051/COCV/2024049MaRDI QIDQ6612251zbMATH OpenFDO

Authors P. Malisani

Publication date 30 September 2024

Published in European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/COCV/2024049

zbMATH Keywords

interior point methodsmixed constraintsoptimal controlprimal-dual methodsstate constraints

Mathematics Subject Classification ID

Optimality conditions for problems involving ordinary differential equations (49K15) Numerical methods based on necessary conditions (49M05) Numerical methods involving duality (49M29)

Review text

This paper deals with approximation of stationary points of general optimal control problems. More precisely, a general constrained optimal control problem with a fixed horizon is given. Then, some first order necessary conditions for optimality are revised, as for instance the notion of stationary points. The main contribution of the paper is the introduction of a penalized optimal control problem associated to the original one which approximate the given optimal control problem in the sense of stationarity: a sequence of penalized stationary points for the penalized problem converges (up to a subsequence) to a stationary problem of the given problem.

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Cited in

(3)

• Interior Point Methods in Optimal Control Problems of Affine Systems: Convergence Results and Solving Algorithms
• Robust stochastic optimal control via variance penalization: application to energy management systems
• A symplectic Newton interior-point algorithm for constrained time-optimal control

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