Solving optimal control problems with terminal complementarity constraints via Scholtes’ relaxation scheme

Francisco Benita and Patrick Mehlitz ()
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Patrick Mehlitz: Brandenburgische Technische Universität Cottbus-Senftenberg

Computational Optimization and Applications, 2019, vol. 72, issue 2, No 6, 413-430

Abstract: Abstract We investigate the numerical treatment of optimal control problems of linear ordinary differential equations with terminal complementarity constraints. Therefore, we generalize the well-known relaxation technique of Scholtes to the problem at hand. In principle, any other relaxation approach from finite-dimensional complementarity programming can be adapted in similar fashion. It is shown that the suggested method possesses strong convergence properties under mild assumptions. Finally, some numerical examples are presented.

Keywords: Complementarity-constrained programming; Optimal control; Relaxation; 49K15; 49M20 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10589-018-0050-y

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