Primal-Dual Active Set Strategy for a General Class of Constrained Optimal Control Problems

Abstract

An algorithm for efficient solution of optimal control problems with pointwise constraints is introduced. It is based on an active set strategy using primal as well as dual variables. Under certain assumptions a decrease of an appropriately chosen merit function and convergence of the algorithm are proved. Numerical examples for a parabolic optimal control problem demonstrate the efficiency of the proposed method for control-constrained problems.