Dynamic optimization problems with bounded terminal conditions
Bounded terminal conditions of nonlinear optimization problems are converted to equality terminal conditions via the Valentine's device. In so doing, additional unknown parameters are introduced into the problem. The transformed problems can still be easily solved using the sequential gradient-restoration algorithm via a simple augmentation of the unknown parameter vector \(\pi\). Three example problems with bounded terminal conditions are solved to verify this technique.
sequential gradient restoration algorithm
scientific article; zbMATH DE number 3950221