An Exact Penalty Function Approach to All-time-step Constrained Discrete-time Optimal Control Problems

V. Rehbock; K.L. Teo; Leslie Jennings; C.S. Lee

doi:10.1016/0096-3003(92)90025-V

An Exact Penalty Function Approach to All-time-step Constrained Discrete-time Optimal Control Problems

V. Rehbock, K.L. Teo, Leslie Jennings, C.S. Lee

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

A new solution method for a general class of discrete-time optimal control problems with all-time-step constraints is proposed. It uses a constraint transcription to incorporate the all-time-step constraints into the cost functional. We show that the weighting factor of the penalty term does not need to approach infinity for convergence. This is in contrast to the conventional penalty function approach for solving constrained optimization problems.

Original language	English
Pages (from-to)	215-230
Journal	Applied Mathematics and Computation
Volume	49
DOIs	https://doi.org/10.1016/0096-3003(92)90025-V
Publication status	Published - 1992

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title = "An Exact Penalty Function Approach to All-time-step Constrained Discrete-time Optimal Control Problems",

abstract = "A new solution method for a general class of discrete-time optimal control problems with all-time-step constraints is proposed. It uses a constraint transcription to incorporate the all-time-step constraints into the cost functional. We show that the weighting factor of the penalty term does not need to approach infinity for convergence. This is in contrast to the conventional penalty function approach for solving constrained optimization problems.",

author = "V. Rehbock and K.L. Teo and Leslie Jennings and C.S. Lee",

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AU - Teo, K.L.

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AU - Lee, C.S.

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AB - A new solution method for a general class of discrete-time optimal control problems with all-time-step constraints is proposed. It uses a constraint transcription to incorporate the all-time-step constraints into the cost functional. We show that the weighting factor of the penalty term does not need to approach infinity for convergence. This is in contrast to the conventional penalty function approach for solving constrained optimization problems.

U2 - 10.1016/0096-3003(92)90025-V

DO - 10.1016/0096-3003(92)90025-V

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SP - 215

EP - 230

JO - Applied Mathematics and Computation

JF - Applied Mathematics and Computation

ER -

An Exact Penalty Function Approach to All-time-step Constrained Discrete-time Optimal Control Problems

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