Discrete-time optimal control problems with general constraints

ABSTRACT

This paper presents a computational procedure for solving combined discrete-time optimal control and optimal parameter selection problems subject to general constraints. The approach adopted is to convert the problem into a nonlinear programming problem which can be solved using standard optimization software. The main features of the procedure are the way the controls are parametrized and the conversion of all constraints into a standard form suitable for computation. The software is available commercially as a FORTRAN program DMISER3 together with a companion program MISER3 for solving continuous-time problems.

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INDEX TERMS

Primary Classification:
  G. Mathematics of Computing
  G.1 NUMERICAL ANALYSIS
      G.1.6 Optimization
          Subjects: Constrained optimization

Additional Classification:
  G. Mathematics of Computing
  G.1 NUMERICAL ANALYSIS
      G.1.0 General
          Subjects: Numerical algorithms
      G.1.6 Optimization
          Subjects: Nonlinear programming
  G.4 MATHEMATICAL SOFTWARE
      Subjects: Efficiency

General Terms:
Algorithms, Performance, Theory

Keywords:
difference equations, discrete-time, optimal control