A Semi-smooth Newton Method for the Constrained Optimal Control of Continuous-Time Linear Systems

Abstract

This paper details a novel indirect method for solving constrained optimal control problems (OCPs) directly in continuous-time function space. The KKT conditions are embedded in a non-smooth complementarity function, which enables their reformulation as a rootfinding problem in Banach space. This problem is then solved using a non-smooth Newton method. Finally, the paper shows that the Newton update can be obtained by solving a modified differential Riccati equation, where the cost terms are reweighted at every iteration based on the constraint multipliers. Numerical simulations show the effectiveness of the method, which converges superlinearly up to the tolerance of the ODE solver.