Solving optimal control problems with terminal complementarity constraints via Scholtes’ relaxation scheme
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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.
KeywordsComplementarity-constrained programming Optimal control Relaxation
Mathematics Subject Classification49K15 49M20
The authors would like to thank the anonymous reviewers for some valuable comments which helped us to improve the presentation of our results.
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