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Computational Sensitivity Analysis for State Constrained Optimal Control Problems

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  • Dirk Augustin
  • Helmut Maurer

Abstract

A theoretical sensitivity analysis for parametric optimal control problems subject to pure state constraints has recently been elaborated in [7,8]. The articles consider both first and higher order state constraints and develop conditions for solution differentiability of optimal solutions with respect to parameters. In this paper, we treat the numerical aspects of computing sensitivity differentials via appropriate boundary value problems. In particular, numerical methods are proposed that allow to verify all assumptions underlying solution differentiability. Three numerical examples with state constraints of order one, two and four are discussed in detail. Copyright Kluwer Academic Publishers 2001

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  • Dirk Augustin & Helmut Maurer, 2001. "Computational Sensitivity Analysis for State Constrained Optimal Control Problems," Annals of Operations Research, Springer, vol. 101(1), pages 75-99, January.
    • Handle: RePEc:spr:annopr:v:101:y:2001:i:1:p:75-99:10.1023/a:1010960221295
    DOI: 10.1023/A:1010960221295
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    Cited by:

    1. K. Malanowski & H. Maurer & S. Pickenhain, 2004. "Second-Order Sufficient Conditions for State-Constrained Optimal Control Problems," Journal of Optimization Theory and Applications, Springer, vol. 123(3), pages 595-617, December.

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