An exact penalty method for solving optimal control problems |
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Authors: | Bruce R Feiring |
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Institution: | Department of Management Sciences University of Minnesota Minneapolis, Minnesota 55455 USA |
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Abstract: | This paper discusses an algorithm for solving optimal control problems. An optimal control problem is presented where the final time is unknown. The algorithm consists of an integrator and a minimizer; the latter is an exact penalty function used to solve constrained nonlinear programming problems. Essentially, the optimal control problem is converted to a mathematical programming problem such that a point satisfying the differential equations via the integrator is provided to the minimizer, a lower performance index is obtained, the integrator is reinitiated, etc., until a suitable stopping criterion is satisfied. |
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