A primal-dual active set algorithm for bilaterally control constrained optimal control problems
- 1 March 2003
- journal article
- Published by American Mathematical Society (AMS) in Quarterly of Applied Mathematics
- Vol. 61 (1) , 131-160
- https://doi.org/10.1090/qam/1955227
Abstract
A generalized Moreau-Yosida based primal-dual active set algorithm for the solution of a representative class of bilaterally control constrained optimal control problems with boundary control is developed. The use of the generalized Moreau-Yosida approximation allows an efficient identification of the active and inactive sets at each iteration level. The method requires no step-size strategy and exhibits a finite termination property for the discretized problem class. In infinite as well as in finite dimensions a convergence analysis based on an augmented Lagrangian merit function is given. In a series of numerical tests the efficiency of the new algorithm is emphasized.Keywords
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