Finite-Horizon Discrete-Time Optimal Control for Nonlinear Systems under State and Control Constraints

Abstract: This paper addresses the optimal control problem of finite-horizon discrete-time nonlinear systems under state and control constraints. A novel numerical algorithm based on optimal control theory is proposed to achieve superior computational efficiency, with the novelty lying in establishing a unified framework that integrates all aspects of algorithm design through the solution of forward and backward difference equations (FBDEs). Firstly, the state and control constraints are transformed using an augmented Lagrangian method (ALM), thereby decomposing the original optimal control problem into several optimization subproblems. These subproblems are then reformulated as new optimal control problem, which are solved through the corresponding FBDEs, resulting in an algorithm with superlinear convergence rate. Furthermore, the gradient and Hessian matrix are computed by iteratively solving FBDEs, thereby accelerating the optimization process. The gradient is obtained through the standard Hamiltonian, while the Hessian matrix is derived by constructing a novel Hamiltonian specifically designed for second-order optimization, transforming each row into an iterative solution of a new set of FBDEs. Finally, the effectiveness of the algorithm is validated through simulation results in automatic guided vehicles (AGV) trajectory tracking control.