Control parameterization for optimal control problems with continuous inequality constraints: New convergence results
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Control parameterization is a powerful numerical technique for solving optimal control problems with general nonlinear constraints. The main idea of control parameterization is to discretize the control space by approximating the control by a piecewise-constant or piecewise-linear function, thereby yielding an approximate nonlinear programming problem. This approximate problem can then be solved using standard gradient-based optimization techniques. In this paper, we consider the control parameterization method for a class of optimal control problems in which the admissible controls are functions of bounded variation and the state and control are subject to continuous inequality constraints. We show that control parameterization generates a sequence of suboptimal controls whose costs converge to the true optimal cost. This result has previously only been proved for the case when the admissible controls are restricted to piecewise continuous functions.
This is a pre-copy-editing, author-produced PDF of an article accepted for publication in Numerical Algebra, Control and Optimization following peer review. The definitive publisher-authenticated version, Loxton, Ryan and Lin, Qun and Rehbock, Volker and Teo, Kok Lay. 2012. Control parameterization for optimal control problems with continuous inequality constraints: New convergence results. Numerical Algebra, Control and Optimization. 2 (3): pp. 571-599, is available online at: http://dx.doi.org/10.3934/naco.2012.2.571
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