The non-parameter penalty function method in constrained optimal control problems

The non-parameter penalty function method in constrained optimal control problems

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Article ID: iaor19932384
Country: United States
Volume: 4
Issue: 2
Start Page Number: 165
End Page Number: 174
Publication Date: Jun 1991
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors:
Keywords: control processes
Abstract:

This paper is concerned with the generalization, numerical implementation and testing of the non-parameter penalty function algorithm which was initially developed for solving n-dimensional optimization problems. It uses this method to transform a constrained optimal control problem into a sequence of unconstrained optimal control problems. It is shown that the solutions to the original constrained problem. Convergence results are proved both theoretically and numerically.

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