Optimal control problems with delays in state and control and mixed control-state constraints

Abstract

Optimal control problems with delays in state and control variables are studied. Constraints are imposed as mixed control-state inequality constraints. Necessary optimality conditions in the form of Pontryagin's minimum principle are established. The proof proceeds by augmenting the delayed control problem to a nondelayed problem with mixed terminal boundary conditions to which Pontryagin's minimum principle is applicable. Discretization methods for the delayed control problem are discussed which amount to solving a large-scale nonlinear programming problem. It is shown that the Lagrange multipliers associated with the programming problem provide a consistent discretization of the advanced adjoint equation for the delayed control problem. An analytical example and two numerical examples from chemical engineering and economics illustrate the results.