A feasible directions algorithm for optimal control problems with control and terminal inequality constraints

Control constraints, because they are nondifferentiable in the space of control functions, are difficult to cope with in optimization algorithms not of the penalty function type. In feasible directions type algorithms a search direction is obtained by solving a subproblem which has a fixed constraint set chosen a priori to make this subproblem simple to solve. In this paper control constraints are dealt with by using them to define, at the current control , a constraint set for the search direction subproblem. This enables control constraints to be easily handled.