Handling constraints in optimal control with saturation functions and system extension

A method is presented to systematically transform a general inequality-constrained optimal control problem (OCP) into a new equality-constrained OCP by means of saturation functions. The transformed OCP can be treated more conveniently within the standard calculus of variations compared to the original constrained OCP. In detail, state constraints are substituted by saturation functions and successively constructed dynamical subsystems, which constitute a (dynamical) system extension. The dimension of the subsystems corresponds to the relative degree (or order) of the respective state constraints. These dynamical subsystems are linked to the original dynamics via algebraic coupling equations. The approach results in a new equality-constrained OCP with extended state and input vectors. An additional regularization term is used in the cost to regularize the new OCP with respect to the new inputs. The regularization term has to be successively reduced to approach the original constrained solution. The new OCP can be solved in a convenient manner, since the stationarity conditions are easily determined and exploited. An important aspect of the saturation function formulation is that the constraints cannot be violated during the numerical solution. The approach is illustrated for an extended version of the well-known Goddard problem with thrust and dynamic pressure constraints and using a collocation method for its numerical solution.