The non-parameter penalty function method in constrained optimal control problems

An-Qing Xing

International Journal of Stochastic Analysis, 1991, vol. 4, 1-9

Abstract:

This paper is concerned with the generalization, numerical implementation and testing of the non-parameter penalty function algorithm which was initially developed for solving n -dimensional optimization problems. It uses this method to transform a constrained optimal control problem into a sequence of unconstrained optimal control problems. It is shown that the solutions to the original constrained problem. Convergence results are proved both theoretically and numerically.

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:203624

DOI: 10.1155/S1048953391000138

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