Primal-dual Strategy for Constrained Optimal Control Problems

Maïtine Bergounioux (1) , Kazufumi Ito (2) , Karl Kunisch (3)

1 MAPMO - Mathématiques - Analyse, Probabilités, Modélisation - Orléans
2 Department of Mathematics [Raleigh NC]
3 IM - Institut für Mathematik [Graz]

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.

Mots clés: Active Set; Augmented Lagrangian; Primal-dual method; Optimal Control

Domaines: Optimisation et contrôle [math.OC]

Maïtine Bergounioux, Kazufumi Ito, Karl Kunisch. Primal-dual Strategy for Constrained Optimal Control Problems. SIAM Journal on Control and Optimization, 1999, 37, no 4, pp. 1176-1194. ⟨hal-00023011⟩