UC Santa Cruz

This paper describes and proves the consistency of a flexible numerical method for producing solutions to state and control constrained control problems with parameter dependencies. This method allows for the use of a variety of underlying discretisation schemes, which can be catered to differing numerical challenges of specific problems, such as rapid convergence or large parameter spaces. The paper first provides a broad formulation for optimal control problems with parameter dependencies which includes multiple types of state, control, and end time constraints to enable a wide scope of application. For this formulation, the consistency of these methods for state and control constrained problems is then proved. Finally, a numerical example of an optimal search problem with constraints is demonstrated.