The authors exploit the structure of optimal control problem and present a version of a conventional sequential quadratic programming algorithm which merely requires, at each iteration, the solution of N quadratic subproblems of dimension m (equal to that of the control) rather than the solution of one quadratic subproblem of dimension Nm as required by the mathematical programming formulation. This is achieved by extending a stagewise implementation of Newton's method for unconstrained discrete-time optimal control problems to discrete-time optimal control problems with control constraints.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">></ETX>
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Pantoja et al. (2003) studied this question.
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