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SQP methods and their application to numerical optimal control. (English) Zbl 0956.90024

Schmidt, W. H. (ed.) et al., Variational calculus, optimal control and applications. Proceedings of the 12th international conference in honour of L. Bittner and R. Klötzler, Trassenheide, Germany, September 23-27, 1996. Basel: Birkhäuser. ISNM, Int. Ser. Numer. Math. 124, 207-222 (1998).
Summary: In recent year, Sequential Quadratic Programming (SQP) methods have been developed that can reliably solve constrained optimization problems with many hundreds of variables and constraints. These methods require remarkably few evaluations of the problem functions and can be shown to converge to a solution under very mild conditions on the problem.
Some practical and theoretical aspects of applying SQP methods to optimal control problems are discussed, including the influence of the problem discretization and the zero/nonzero structure of the problem derivatives. We conclude with some recent approaches that tailor of SQP method to the control problem.
For the entire collection see [Zbl 0885.00052].

MSC:

90C20 Quadratic programming
65K10 Numerical optimization and variational techniques
65K05 Numerical mathematical programming methods

Software:

NLPQL; SNOPT
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