A primal-dual active set algorithm for bilaterally control constrained optimal control problems
Author:
Abstract
A generalized Moreau-Yosida based primal-dual active set algorithm for the solution of a representative class of bilaterally control constrained optimal control problems with boundary control is developed. The use of the generalized Moreau-Yosida approximation allows an efficient identification of the active and inactive sets at each iteration level. The method requires no step-size strategy and exhibits a finite termination property for the discretized problem class. In infinite as well as in finite dimensions a convergence analysis based on an augmented Lagrangian merit function is given. In a series of numerical tests the efficiency of the new algorithm is emphasized.
Publisher
American Mathematical Society (AMS)
Subject
Applied Mathematics
Link
http://www.ams.org/qam/2003-61-01/S0033-569X-2003-1955227-4/S0033-569X-2003-1955227-4.pdf
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