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A duality approach for solving control-constrained linear-quadratic optimal control problems. (English) Zbl 1298.49053

Summary: We use a Fenchel duality scheme for solving control-constrained linear-quadratic optimal control problems. We derive the dual of the optimal control problem explicitly, where the control constraints are embedded in the dual objective functional, which turns out to be continuously differentiable. We specifically prove that strong duality and saddle point properties hold. We carry out numerical experiments with the discretized primal and dual formulations of the problem, for which we implement powerful existing finite-dimensional optimization techniques and associated software. We illustrate that by solving the dual of the optimal control problem, instead of the primal one, significant computational savings can be achieved. Other numerical advantages are also discussed.

MSC:

49N15 Duality theory (optimization)
49N10 Linear-quadratic optimal control problems
49M25 Discrete approximations in optimal control
49K40 Sensitivity, stability, well-posedness
49M37 Numerical methods based on nonlinear programming
65J15 Numerical solutions to equations with nonlinear operators
90C31 Sensitivity, stability, parametric optimization
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