Solutions of Nonlinear Optimal Control Problems Using Quasilinearization and Fenchel Duality

Abstract: In this paper, we consider a special class of nonlinear optimal control problems, where the control variables are box-constrained and the objective functional is strongly convex corresponding to control variables and separable with respect to the state variables and control variables. We convert solving the original nonlinear problem into solving a sequence of constrained linear-quadratic optimal control problems by quasilinearization method. In order to solve each linear-quadratic problem efficiently we turn to study its dual problem. We formulate dual problem by the scheme of Fenchel duality, the strong duality property and the saddle point property corresponding to primal and dual problem are also proved, which together ensure that solving dual problem is effective. Thus solving the sequence of control constrained linear-quadratic optimal control problems obtained by quasilinearization technique is substituted by solving the sequence of their dual problem. We solve the sequence of dual problem and obtain the solution to primal control constrained linear-quadratic problem by the saddle point property. Furthermore, the fact that solution to each subproblem finally converges to the solution to the optimality conditions of original nonlinear problem is also proved. After that we carry out numerical experiments using present approach, for each subproblem we formulate the discretized primal and dual problem by Euler discretization scheme in our experiments. Efficiency of the present method is validated by numerical results.