DIRECT NUMERICAL METHOD FOR GENERALIZED OPTIMAL CONTROL PROBLEMS CONSTRAINED WITH ORDINARY DIFFERENTIAL EQUATIONS

Abstract

In this paper, we considered general class of continuous optimal control problem governed by Nth-order
ordinary differential equations, in which the state and control variables are and column vectors respectively
with corresponding matrix coefficients of dimension n×n, n×r. We adopt direct numerical method where the continuous optimal control problem is converted to a nonlinear programming problem via Augmented Langrangian which makes it amenable to optimization techniques (Conjugate Gradient Method). The result is compared with an existing method (exterior penalty method) and found to be more accurate