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

Author

Listed:
  • Francisco Benita

    (Singapore University of Technology and Design)

  • Patrick Mehlitz

    (Brandenburgische Technische Universität Cottbus-Senftenberg)

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.

Suggested Citation

  • Francisco Benita & Patrick Mehlitz, 2019. "Solving optimal control problems with terminal complementarity constraints via Scholtes’ relaxation scheme," Computational Optimization and Applications, Springer, vol. 72(2), pages 413-430, March.
    • Handle: RePEc:spr:coopap:v:72:y:2019:i:2:d:10.1007_s10589-018-0050-y
    DOI: 10.1007/s10589-018-0050-y
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