An algorithm for efficient solution of control constrained optimal control problems is proposed and analyzed. It is based on an active set strategy involving primal as well as dual variables. For discretized problems sufficient conditions for convergence in finitely many iterations are given. Numerical examples are given and the role of strict complementarity condition is discussed.
Publié le : 1999-07-05
Classification:
Optimal Control,
Primal-dual method,
Active Set,
Augmented Lagrangian,
49J20, 49M29,
[MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC]
@article{hal-00023011,
author = {Bergounioux, Ma\"\i tine and Ito, Kazufumi and Kunisch, Karl},
title = {Primal-dual Strategy for Constrained Optimal Control Problems},
journal = {HAL},
volume = {1999},
number = {0},
year = {1999},
language = {en},
url = {http://dml.mathdoc.fr/item/hal-00023011}
}
Bergounioux, Maïtine; Ito, Kazufumi; Kunisch, Karl. Primal-dual Strategy for Constrained Optimal Control Problems. HAL, Tome 1999 (1999) no. 0, . http://gdmltest.u-ga.fr/item/hal-00023011/