Strong Lagrange duality and the maximum principle for nonlinear discrete time optimal control problems

Eero V. Tamminen*

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

Abstract

We examine discrete-time optimal control problems with general, possibly non-linear or non-smooth dynamic equations, and state-control inequality and equality constraints. A new generalized convexity condition for the dynamics and constraints is defined, and it is proved that this property, together with a constraint qualification constitute sufficient conditions for the strong Lagrange duality result and saddle-point optimality conditions for the problem. The discrete maximum principle of Pontryagin is obtained in a straightforward manner from the strong Lagrange duality theorem, first in a new form in which the Lagrangian is minimized both with respect to the state and to the control variables. Assuming differentiability, the maximum principle is obtained in the usual form. It is shown that dynamic systems satisfying a global controllability condition with convex costs, have the required convexity property. This controllability condition is a natural extension of the customary directional convexity condition applied in the derivation of the discrete maximum principle for local optima in the literature.

Original languageEnglish
Article number20
JournalESAIM - Control, Optimisation and Calculus of Variations
Volume25
DOIs
Publication statusPublished - 1 Jan 2019
MoE publication typeA1 Journal article-refereed

Keywords

  • Controllability
  • Convexity condition
  • Discrete time
  • Lagrange duality
  • Non-linear dynamics
  • Optimal control
  • Pontryagin discrete maximum principle

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