Premium
An extended penalty function approach to the numerical solution of constrained optimal control problems
Author(s) -
Fabien Brian C.
Publication year - 1996
Publication title -
optimal control applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.458
H-Index - 44
eISSN - 1099-1514
pISSN - 0143-2087
DOI - 10.1002/(sici)1099-1514(199612)17:5<341::aid-oca584>3.0.co;2-8
Subject(s) - penalty method , optimal control , mathematical optimization , sequence (biology) , mathematics , constrained optimization , function (biology) , continuation , boundary (topology) , bellman equation , state (computer science) , control (management) , computer science , algorithm , mathematical analysis , genetics , evolutionary biology , biology , programming language , artificial intelligence
This paper presents the extended penalty function method for solving constrained optimal control problems. Here, equality and inequality constraints on the state and control variables are considered. Using the extended penalty function method, the original constrained optimal control problem is transformed into a sequence of optimal control problems without inequality constraints. This is accomplished by adding to the cost functional a penalty term that takes on large values when the inequality constraints are violated and small values when the constraints are satisfied. Also presented is a continuation method for solving the sequence of differential‐algebraic boundary value problems arising from the transformed optimal control problems. The effectiveness of the approach is demonstrated via examples.