Optimal control problems via exact penalty functions

DOI10.1023/A:1008257323671MaRDI QIDQ1387647zbMATH OpenOpenAlexFDO

Authors V. F. Demyanov, V. V. Karelin, Franco Giannessi

Publication date 29 December 1998

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1008257323671

zbMATH Keywords

directional differentiabilityexact penalizationnecessary optimality conditionsnonsmooth analysisoptimal controlsubdifferentiability

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Numerical optimization and variational techniques (65K10) Sensitivity, stability, parametric optimization (90C31)

Review text

The paper deals with the problem how some constrained optimization problems (like, for instance, control problems) can be reduced to unconstrained ones by the method called exact penalization. This method needs that a suitable function (nonsmooth functional in general) describing the constrained set in the form of equality satisfies some conditions on its directional derivatives. Special attention is paid to the case of optimal control problems for systems described by parametrized ordinary differential equations and a cost functional in integral form. Obtained results permit to replace the minimization of the cost functional (even smooth) on the solution set to the ODE by an unconstrained optimization problem (with the use of Lagrange multiplier) and thus to apply numerical algorithms for unconstrained (but nonsmooth) optimization.

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