SQP-methods for solving optimal control problems with control and state constraints: Adjoint variables, sensitivity analysis and real-time control
Control systems described by nonlinear ordinary differential equations depending on parameters are considered in this paper. A performance index is minimized with respect to mixed state-control constraints. The problem is transcribed into a nonlinear programming problem by discretization of the continuous optimization problem. Sequential quadratic programming (SQP) methods are proposed as solver. The estimation of the adjoint variables is discussed. Second-order sufficient conditions for the optimal solution are derived. A first-order Taylor expansion is used for a fast online approximation for the perturbed solution. Sensitivity analysis for the perturbed optimal control problem is investigated. The results are illustrated by two numerical examples.
sequential quadratic programming methods
scientific article; zbMATH DE number 1501739
scientific article