An exact penalty function approach to all-time-step constrained discrete-time optimal control problems

摘要

A new solution method for a general class of discrete-time optimal control problems with all-time-step constraints is proposed. It uses a constraint transcription to incorporate the all-time-step constraints into the cost functional. We show that the weighting factor of the penalty term does not need to approach infinity for convergence. This is in contrast to the conventional penalty function approach for solving constrained optimization problems.