Direct optimization of dynamic systems described by differential‐algebraic equations

This paper presents a method for the optimization of dynamic systems described by index‐1 differential‐algebraic equations (DAE). The class of problems addressed include optimal control problems and parameter identification problems. Here, the controls are parameterized using piecewise constant inputs on a grid in the time interval of interest. In addition, the DAE are approximated using a Rosenbrock–Wanner (ROW) method. In this way the infinite‐dimensional optimal control problem is transformed into a finite‐dimensional nonlinear programming problem (NLP). The NLP is solved using a sequential quadratic programming (QP) technique that minimizes the L_∞ exact penalty function, using only strictly convex QP subproblems. This paper shows that the ROW method discretization of the DAE leads to (i) a relatively small NLP problem and (ii) an efficient technique for evaluating the function, constraints and gradients associated with the NLP problem. This paper also investigates a state mesh refinement technique that ensures a sufficiently accurate representation of the optimal state trajectory. Two nontrivial examples are used to illustrate the effectiveness of the proposed method. Copyright © 2008 John Wiley & Sons, Ltd.