Computation of Optimal Control Problems with Terminal Constraint via Modified Evolution Partial Differential Equation

Abstract: The Variation Evolving Method (VEM), which seeks the optimal solutions with the variation evolution principle, is further developed to be more flexible in solving the Optimal Control Problems (OCPs) with terminal constraint. With the first-order stable dynamics to eliminate the infeasibilities, the Modified Evolution Partial Differential Equation (MEPDE) that is valid in the infeasible solution domain is proposed, and a Lyapunov functional is constructed to theoretically ensure its validity. In particular, it is proved that even with the infinite-time convergence dynamics, the violated terminal inequality constraints, which are inactive for the optimal solution, will enter the feasible domain in finite time. Through transforming the MEPDE to the finite-dimensional Initial-value Problem (IVP) with the semi-discrete method, the OCPs may be solved with common Ordinary Differential Equation (ODE) numerical integration methods. Illustrative examples are presented to show the effectiveness of the proposed method.