An exact penalty function algorithm for control problems with state and control constraints
- 1 May 1987
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 32 (5) , 380-387
- https://doi.org/10.1109/tac.1987.1104615
Abstract
This paper describes an exact penalty function algorithm for solving control problems with state, control, and terminal constraints and establishes its convergence properties. A convex optimal control problem is defined whose solution yields a search direction which satisfies the control constraints and reduces a first-order estimate of the exact penalty function. Step length is determined using an Armijo-like procedure. An adaptive procedure for adjusting the penalty parameter completes the algorithm.Keywords
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