Elijah Polak and Hoam Chung and S. Shankar Sastry

EECS Department, University of California, Berkeley

Technical Report No. UCB/EECS-2007-90

July 16, 2007

http://www2.eecs.berkeley.edu/Pubs/TechRpts/2007/EECS-2007-90.pdf

We present a new, {\em external}, active constraints set strategy for solving nonlinear programming problems with a large number of inequality constraints that arise in the process of discretizing continuous-time optimal control problems with state-space constraints. This strategy constructs a sequence of inequality constrained nonlinear programming problems, containing a progressively larger subset of the constraints in the original problem, and submits them to a nonlinear programming solver for a fixed number of iterations. We prove that this scheme computes a solution of the original problem and show by means of numerical experiments that this strategy results in reductions in computing time ranging from a factor of 6 to a factor of over 100.

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BibTeX citation:

@techreport{Polak:EECS-2007-90,
    Author= {Polak, Elijah and Chung, Hoam and Sastry, S. Shankar},
    Title= {An External Active-Set Strategy for Solving Optimal Control Problems},
    Year= {2007},
    Month= {Jul},
    Url= {http://www2.eecs.berkeley.edu/Pubs/TechRpts/2007/EECS-2007-90.html},
    Number= {UCB/EECS-2007-90},
    Abstract= {We present a new, {\em external}, active constraints
set strategy for solving nonlinear programming problems with a
large number of inequality constraints that arise in the process of
discretizing continuous-time optimal control problems with state-space
constraints. This strategy constructs a sequence of inequality constrained
nonlinear programming problems, containing a progressively larger
subset of the constraints in the original problem, and submits them to a
nonlinear programming solver for a fixed number of iterations.  We prove
that this scheme computes a solution of the original problem and show by
means of numerical experiments that this strategy results in reductions
in computing time ranging from a factor of 6 to a factor of over 100.},
}

EndNote citation:

%0 Report
%A Polak, Elijah 
%A Chung, Hoam 
%A Sastry, S. Shankar 
%T An External Active-Set Strategy for Solving Optimal Control Problems
%I EECS Department, University of California, Berkeley
%D 2007
%8 July 16
%@ UCB/EECS-2007-90
%U http://www2.eecs.berkeley.edu/Pubs/TechRpts/2007/EECS-2007-90.html
%F Polak:EECS-2007-90