An Augmented Lagrangian Method for Optimal Control of Continuous Time DAE Systems

Abstract

This works presents an algorithm for solving optimal control problems (OCP) of differential algebraic equations (DAE) based on the augmented Lagrangian method. The algorithm relaxes the algebraic equations and solves a sequence of OCPs of ordinary differential equations (ODE). The major benefits of this approach are twofold. First, the state and algebraic variables can be bound constrained, even when the solution methods are indirect. Second, by reducing the system to an ODE, the representation is more compact and can be handled by computationally efficient methods. Experiments show that the algorithm converges to the objective value of the original OCP and the violation of the relaxed algebraic equation goes to zero.