NUMERICAL-SOLUTION OF CONSTRAINED OPTIMAL-CONTROL PROBLEMS WITH PARAMETERS

This article presents a numerical solution technique for constrained o ptimal control problems that contain parameters. Here, the state, cont rol, and parameter inequality constraints are accommodated via an exte nded penalty function. This penalty function takes on large values a-h en the constraints are violated and small values when the constraints are satisfied. Using the calculus of variation it is shown that the fi rst-order necessary conditions for optimality are in the form of a two -point boundary-value problem involving differential and algebraic equ ations (BVP-DAE). A multiple shooting/continuation method is developed for solving this BVP-DAE. Two examples are presented to demonstrate t he effectiveness of the solution approach developed in the paper.