Primal-Dual Strategy for Constrained Optimal Control Problems

. An algorithm for efficient solution of control constrained optimal control problems is proposed and analyzed. It is based on an active set strategy involving primal as well as dual variables. For discretized problems sufficient conditions for convergence in finitely many iterations are given. Numerical examples are given and the role of strict complementarity condition is discussed. Keywords: Active Set, Augmented Lagrangian, Primal-dual method, Optimal Control. AMS subject classification. 49J20, 49M29 1. Introduction and formulation of the problem. In the recent past significant advances have been made in solving efficiently nonlinear optimal control problems. Most of the proposed methods are based on variations of the sequential quadratic programming (SQP) technique, see for instance HT, KeS, KuS, K, T and the references given there. The SQP-algorithm is sequential and each of its iterations requires the solution of a quadratic minimization problem subject to linearized constr...