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Numerical Solution of Optimal Control Problems
by Direct Collocation

Oskar von Stryk

Abstract. By an appropriate discretization of control and state variables, a constrained optimal control problem is transformed into a finite dimensional nonlinear program which can be solved by standard SQP-methods [10]. Convergence properties of the discretization are derived. From a solution of this method known as direct collocation, these properties are used to obtain reliable estimates of adjoint variables. In the presence of active state constraints, these estimates can be significantly improved by including the switching structure of the state constraint into the optimization procedure. Two numerical examples are presented.

Oskar von Stryk
Fri Apr 5 21:38:03 MET DST 1996