Augmented Lagrangian--SQP Methods for Nonlinear OptimalControl Problems of Tracking Type

Authors:
Kazufumi Ito;Karl Kunisch
Affiliations:
-;-
Venue:
SIAM Journal on Control and Optimization
Year:
1996

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Abstract

An augmented Lagrangian method with second-order update is developed and its relationship to the sequential quadratic programming method is described. The rate of convergence proof depends on a second-order sufficient optimality condition, which is shown to be satisfied for a class of nonlinear optimal control problems of tracking type. Numerical examples are included which demonstrate the globalizing effect of the augmented Lagrangian method.