SIAM Journal on Control and Optimization, Vol.34, No.3, 874-891, 1996
Augmented Lagrangian-Sqp Methods for Nonlinear Optimal-Control Problems of Tracking Type
An augmented Lagrangian method with second-order update is developed and its relationship to the sequential quadratic programming method is described. The rate of convergence proof depends on a second-order sufficient optimality condition, which is shown to be satisfied for a class of nonlinear optimal control problems of tracking type. Numerical examples are included which demonstrate the globalizing effect of the augmented Lagrangian method.