Optimal control problems with delays in state and control variables subject to mixed control-state constraints

• Published in: Optimal control applications & methods Vol. 30; no. 4; pp. 341 - 365
• Main Authors: Göllmann, L., Kern, D., Maurer, H.
• Format: Journal Article
• Language: English
• Published: Chichester, UK John Wiley & Sons, Ltd 01.07.2009
• Subjects: Chemical engineering; Delay; delays in state and control; Discretization; discretization methods; Mathematical analysis; Mathematical models; mixed control-state inequality constraints; Nonlinear programming; Optimal control; optimal control of a CSTR reactor; optimal fishing; Pontryagin's minimum principle; retarded optimal control problems; Terminals
• ISSN: 0143-2087; 1099-1514
• DOI: 10.1002/oca.843

Optimal control problems with delays in state and control variables are studied. Constraints are imposed as mixed control–state inequality constraints. Necessary optimality conditions in the form of Pontryagin's minimum principle are established. The proof proceeds by augmenting the delayed control problem to a nondelayed problem with mixed terminal boundary conditions to which Pontryagin's minimum principle is applicable. Discretization methods are discussed by which the delayed optimal control problem is transformed into a large‐scale nonlinear programming problem. It is shown that the Lagrange multipliers associated with the programming problem provide a consistent discretization of the advanced adjoint equation for the delayed control problem. An analytical example and numerical examples from chemical engineering and economics illustrate the results. Copyright © 2008 John Wiley & Sons, Ltd.