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Practical Methods
for Optimal Control
and Estimation Using
Nonlinear Programming
Advances in Design and Control
SIAM’s Advances in Design and Control series consists of texts and monographs dealing with all areas of
design and control and their applications. Topics of interest include shape optimization, multidisciplinary
design, trajectory optimization, feedback, and optimal control. The series focuses on the mathematical and
computational aspects of engineering design and control that are usable in a wide variety of scientific and
engineering disciplines.

Editor-in-Chief
Ralph C. Smith, North Carolina State University

Editorial Board
Athanasios C. Antoulas, Rice University
Siva Banda, Air Force Research Laboratory
Belinda A. Batten, Oregon State University
John Betts, The Boeing Company (retired)
Stephen L. Campbell, North Carolina State University
Eugene M. Cliff, Virginia Polytechnic Institute and State University
Michel C. Delfour, University of Montreal
Max D. Gunzburger, Florida State University
J. William Helton, University of California, San Diego
Arthur J. Krener, University of California, Davis
Kirsten Morris, University of Waterloo
Richard Murray, California Institute of Technology
Ekkehard Sachs, University of Trier

Series Volumes
Betts, John T., Practical Methods for Optimal Control and Estimation Using Nonlinear Programming, Second
Edition
Shima, Tal and Rasmussen, Steven, eds., UAV Cooperative Decision and Control: Challenges and Practical
Approaches
Speyer, Jason L. and Chung, Walter H., Stochastic Processes, Estimation, and Control
Krstic, Miroslav and Smyshlyaev, Andrey, Boundary Control of PDEs: A Course on Backstepping Designs
Ito, Kazufumi and Kunisch, Karl, Lagrange Multiplier Approach to Variational Problems and Applications
Xue, Dingyü, Chen, YangQuan, and Atherton, Derek P., Linear Feedback Control: Analysis and Design
with MATLAB
Hanson, Floyd B., Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis,
and Computation
Michiels, Wim and Niculescu, Silviu-Iulian, Stability and Stabilization of Time-Delay Systems: An Eigenvalue-Based
Approach
Ioannou, Petros and Fidan, Baris,¸ Adaptive Control Tutorial
Bhaya, Amit and Kaszkurewicz, Eugenius, Control Perspectives on Numerical Algorithms and Matrix Problems
Robinett III, Rush D., Wilson, David G., Eisler, G. Richard, and Hurtado, John E., Applied Dynamic Programming
for Optimization of Dynamical Systems
Huang, J., Nonlinear Output Regulation: Theory and Applications
Haslinger, J. and Mäkinen, R. A. E., Introduction to Shape Optimization: Theory, Approximation, and
Computation
Antoulas, Athanasios C., Approximation of Large-Scale Dynamical Systems
Gunzburger, Max D., Perspectives in Flow Control and Optimization
Delfour, M. C. and Zolésio, J.-P., Shapes and Geometries: Analysis, Differential Calculus, and Optimization
Betts, John T., Practical Methods for Optimal Control Using Nonlinear Programming
El Ghaoui, Laurent and Niculescu, Silviu-Iulian, eds., Advances in Linear Matrix Inequality Methods in Control
Helton, J. William and James, Matthew R., Extending H∞ Control to Nonlinear Systems: Control of Nonlinear
Systems to Achieve Performance Objectives
Practical Methods
for Optimal Control
and Estimation Using
Nonlinear Programming
SECOND EDITION

John T. Betts

Society for Industrial and Applied Mathematics

Philadelphia
Copyright © 2010 by the Society for Industrial and Applied Mathematics (SIAM)

10 9 8 7 6 5 4 3 2 1

All rights reserved. Printed in the United States of America. No part of this book may be
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Library of Congress Cataloging-in-Publication Data

Betts, John T. 1943-
Practical methods for optimal control and estimation using nonlinear programming /
John T. Betts. — 2nd ed.
p. cm. — (Advances in design and control)
Includes bibliographical references and index.
ISBN 978-0-898716-88-7
1. Control theory. 2. Mathematical optimization. 3. Nonlinear programming. I. Title.
QA402.3.B47 2009
629.8’312—dc22
2009025106

is a registered trademark.
For Theon and Dorothy

He Inspired Creativity
She Cherished Education


 Contents

Preface xiii

1 Introduction to Nonlinear Programming 1

1.1 Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Newton’s Method in One Variable . . . . . . . . . . . . . . . . . . . . 2
1.3 Secant Method in One Variable . . . . . . . . . . . . . . . . . . . . . . 4
1.4 Newton’s Method for Minimization in One Variable . . . . . . . . . . . 5
1.5 Newton’s Method in Several Variables . . . . . . . . . . . . . . . . . . 7
1.6 Unconstrained Optimization . . . . . . . . . . . . . . . . . . . . . . . 8
1.7 Recursive Updates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.8 Equality-Constrained Optimization . . . . . . . . . . . . . . . . . . . . 12
1.8.1 Newton’s Method . . . . . . . . . . . . . . . . . . . . . . . . 15
1.9 Inequality-Constrained Optimization . . . . . . . . . . . . . . . . . . . 16
1.10 Quadratic Programming . . . . . . . . . . . . . . . . . . . . . . . . . . 18
1.11 Globalization Strategies . . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.11.1 Merit Functions . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.11.2 Line-Search Methods . . . . . . . . . . . . . . . . . . . . . . 23
1.11.3 Trust-Region Methods . . . . . . . . . . . . . . . . . . . . . 25
1.11.4 Filters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
1.12 Nonlinear Programming . . . . . . . . . . . . . . . . . . . . . . . . . . 28
1.13 An SQP Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
1.14 Interior-Point Methods . . . . . . . . . . . . . . . . . . . . . . . . . . 30
1.15 Mathematical Program with Complementarity Conditions . . . . . . . . 36
1.15.1 The Signum or Sign Operator . . . . . . . . . . . . . . . . . . 37
1.15.2 The Absolute Value Operator . . . . . . . . . . . . . . . . . . 38
1.15.3 The Maximum Value Operator . . . . . . . . . . . . . . . . . 38
1.15.4 The Minimum Value Operator . . . . . . . . . . . . . . . . . 39
1.15.5 Solving an MPEC . . . . . . . . . . . . . . . . . . . . . . . . 39
1.16 What Can Go Wrong . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
1.16.1 Infeasible Constraints . . . . . . . . . . . . . . . . . . . . . . 40
1.16.2 Rank-Deficient Constraints . . . . . . . . . . . . . . . . . . . 40
1.16.3 Constraint Redundancy . . . . . . . . . . . . . . . . . . . . . 41
1.16.4 Discontinuities . . . . . . . . . . . . . . . . . . . . . . . . . 42
1.16.5 Scaling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
1.16.6 Nonunique Solution . . . . . . . . . . . . . . . . . . . . . . . 46

vii
viii Contents

1.17 Derivative Approximation by Finite Differences . . . . . . . . . . . . . 46

1.17.1 Difference Estimates in Differential Equations . . . . . . . . . 48

2 Large, Sparse Nonlinear Programming 51

2.1 Overview: Large, Sparse NLP Issues . . . . . . . . . . . . . . . . . . . 51
2.2 Sparse Finite Differences . . . . . . . . . . . . . . . . . . . . . . . . . 52
2.2.1 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
2.2.2 Sparse Hessian Using Gradient Differences . . . . . . . . . . 53
2.2.3 Sparse Differences in Nonlinear Programming . . . . . . . . . 54
2.3 Sparse QP Subproblem . . . . . . . . . . . . . . . . . . . . . . . . . . 54
2.4 Merit Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
2.5 Hessian Approximation . . . . . . . . . . . . . . . . . . . . . . . . . . 58
2.6 Sparse SQP Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . 60
2.6.1 Minimization Process . . . . . . . . . . . . . . . . . . . . . . 60
2.6.2 Algorithm Strategy . . . . . . . . . . . . . . . . . . . . . . . 62
2.7 Defective Subproblems . . . . . . . . . . . . . . . . . . . . . . . . . . 62
2.8 Feasible Point Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . 63
2.8.1 QP Subproblem . . . . . . . . . . . . . . . . . . . . . . . . . 63
2.8.2 Feasible Point Strategy . . . . . . . . . . . . . . . . . . . . . 64
2.8.3 An Illustration . . . . . . . . . . . . . . . . . . . . . . . . . . 65
2.9 Computational Experience . . . . . . . . . . . . . . . . . . . . . . . . 67
2.9.1 Large, Sparse Test Problems . . . . . . . . . . . . . . . . . . 67
2.9.2 Small, Dense Test Problems . . . . . . . . . . . . . . . . . . 68
2.10 Nonlinear Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . 70
2.10.1 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
2.10.2 Sparse Least Squares . . . . . . . . . . . . . . . . . . . . . . 70
2.10.3 Residual Hessian . . . . . . . . . . . . . . . . . . . . . . . . 72
2.11 Barrier Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
2.11.1 External Format . . . . . . . . . . . . . . . . . . . . . . . . . 73
2.11.2 Internal Format . . . . . . . . . . . . . . . . . . . . . . . . . 74
2.11.3 Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
2.11.4 Logarithmic Barrier Function . . . . . . . . . . . . . . . . . . 77
2.11.5 Computing a Search Direction . . . . . . . . . . . . . . . . . 79
2.11.6 Inertia Requirements for the Barrier KKT System . . . . . . . 82
2.11.7 Filter Globalization . . . . . . . . . . . . . . . . . . . . . . . 83
2.11.8 Barrier Parameter Update Strategy . . . . . . . . . . . . . . . 86
2.11.9 Initialization . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
2.11.10 Outline of the Primary Algorithm . . . . . . . . . . . . . . . 87
2.11.11 Computational Experience . . . . . . . . . . . . . . . . . . . 88

3 Optimal Control Preliminaries 91

3.1 The Transcription Method . . . . . . . . . . . . . . . . . . . . . . . . . 91
3.2 Dynamic Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
3.3 Shooting Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
3.4 Multiple Shooting Method . . . . . . . . . . . . . . . . . . . . . . . . 95
3.5 Initial Value Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
3.6 Boundary Value Example . . . . . . . . . . . . . . . . . . . . . . . . . 105
Contents ix

3.7 Dynamic Modeling Hierarchy . . . . . . . . . . . . . . . . . . . . . . . 108

3.8 Function Generator . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
3.8.1 Description . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
3.8.2 NLP Considerations . . . . . . . . . . . . . . . . . . . . . . . 109
3.9 Dynamic System Differentiation . . . . . . . . . . . . . . . . . . . . . 111
3.9.1 Simple Example . . . . . . . . . . . . . . . . . . . . . . . . . 111
3.9.2 Discretization versus Differentiation . . . . . . . . . . . . . . 115
3.9.3 External and Internal Differentiation . . . . . . . . . . . . . . 115
3.9.4 Variational Derivatives . . . . . . . . . . . . . . . . . . . . . 118

4 The Optimal Control Problem 123

4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
4.1.1 Dynamic Constraints . . . . . . . . . . . . . . . . . . . . . . 123
4.1.2 Algebraic Equality Constraints . . . . . . . . . . . . . . . . . 124
4.1.3 Singular Arcs . . . . . . . . . . . . . . . . . . . . . . . . . . 125
4.1.4 Algebraic Inequality Constraints . . . . . . . . . . . . . . . . 126
4.2 Necessary Conditions for the Discrete Problem . . . . . . . . . . . . . 126
4.3 Direct versus Indirect Methods . . . . . . . . . . . . . . . . . . . . . . 127
4.4 General Formulation . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
4.5 Direct Transcription Formulation . . . . . . . . . . . . . . . . . . . . . 132
4.6 NLP Considerations—Sparsity . . . . . . . . . . . . . . . . . . . . . . 134
4.6.1 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
4.6.2 Standard Approach . . . . . . . . . . . . . . . . . . . . . . . 136
4.6.3 Discretization Separability . . . . . . . . . . . . . . . . . . . 137
4.6.4 Right-Hand-Side Sparsity (Trapezoidal) . . . . . . . . . . . . 139
4.6.5 Hermite–Simpson (Compressed) (HSC) . . . . . . . . . . . . 141
4.6.6 Hermite–Simpson (Separated) (HSS) . . . . . . . . . . . . . . 143
4.6.7 K-Stage Runge–Kutta Schemes . . . . . . . . . . . . . . . . 145
4.6.8 General Approach . . . . . . . . . . . . . . . . . . . . . . . . 146
4.6.9 Performance Issues . . . . . . . . . . . . . . . . . . . . . . . 147
4.6.10 Performance Highlights . . . . . . . . . . . . . . . . . . . . . 149
4.7 Mesh Refinement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152
4.7.1 Representing the Solution . . . . . . . . . . . . . . . . . . . . 153
4.7.2 Estimating the Discretization Error . . . . . . . . . . . . . . . 154
4.7.3 Estimating the Order Reduction . . . . . . . . . . . . . . . . 158
4.7.4 Constructing a New Mesh . . . . . . . . . . . . . . . . . . . 159
4.7.5 The Mesh-Refinement Algorithm . . . . . . . . . . . . . . . . 161
4.7.6 Computational Experience . . . . . . . . . . . . . . . . . . . 163
4.8 Scaling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
4.9 Quadrature Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
4.10 Algebraic Variable Rate Constraints . . . . . . . . . . . . . . . . . . . 172
4.11 Estimating Adjoint Variables . . . . . . . . . . . . . . . . . . . . . . . 173
4.11.1 Quadrature Approximation . . . . . . . . . . . . . . . . . . . 175
4.11.2 Path Constraint Adjoints . . . . . . . . . . . . . . . . . . . . 176
4.11.3 Differential Constraint Adjoints . . . . . . . . . . . . . . . . 177
4.11.4 Numerical Comparisons . . . . . . . . . . . . . . . . . . . . 178
4.12 Discretize Then Optimize . . . . . . . . . . . . . . . . . . . . . . . . . 192
x Contents

4.12.1 High Index Partial Differential-Algebraic Equation . . . . . . 192

4.12.2 State Vector Formulation . . . . . . . . . . . . . . . . . . . . 193
4.12.3 Direct Transcription Results . . . . . . . . . . . . . . . . . . 194
4.12.4 The Indirect Approach . . . . . . . . . . . . . . . . . . . . . 194
4.12.5 Optimality Conditions . . . . . . . . . . . . . . . . . . . . . 196
Unconstrained Arcs (s < 0) . . . . . . . . . . . . . . . . . . . 196
Constrained Arcs (s = 0) . . . . . . . . . . . . . . . . . . . . 197
Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . 198
Optimality Conditions: Summary . . . . . . . . . . . . . . . 199
4.12.6 Computational Comparison—Direct versus Indirect . . . . . . 199
Direct Method . . . . . . . . . . . . . . . . . . . . . . . . . . 199
Indirect Method . . . . . . . . . . . . . . . . . . . . . . . . . 199
4.12.7 Analysis of Results . . . . . . . . . . . . . . . . . . . . . . . 200
The Quandary . . . . . . . . . . . . . . . . . . . . . . . . . . 200
The Explanation . . . . . . . . . . . . . . . . . . . . . . . . . 201
4.13 Questions of Efficiency . . . . . . . . . . . . . . . . . . . . . . . . . . 205
Question: Newton or Quasi-Newton Hessian? . . . . . . . . . 210
Question: Barrier or SQP Algorithm? . . . . . . . . . . . . . 210
4.14 What Can Go Wrong . . . . . . . . . . . . . . . . . . . . . . . . . . . 212
4.14.1 Singular Arcs . . . . . . . . . . . . . . . . . . . . . . . . . . 212
4.14.2 State Constraints . . . . . . . . . . . . . . . . . . . . . . . . 215
4.14.3 Discontinuous Control . . . . . . . . . . . . . . . . . . . . . 216

5 Parameter Estimation 219

5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
5.2 The Parameter Estimation Problem . . . . . . . . . . . . . . . . . . . . 219
5.3 Computing the Residuals . . . . . . . . . . . . . . . . . . . . . . . . . 222
5.4 Computing Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . 223
5.4.1 Residuals and Sparsity . . . . . . . . . . . . . . . . . . . . . 224
5.4.2 Residual Decomposition . . . . . . . . . . . . . . . . . . . . 225
5.4.3 Auxiliary Function Decomposition . . . . . . . . . . . . . . . 225
5.4.4 Algebraic Variable Parameterization . . . . . . . . . . . . . . 227
5.5 Computational Experience . . . . . . . . . . . . . . . . . . . . . . . . 228
5.5.1 Reentry Trajectory Reconstruction . . . . . . . . . . . . . . . 230
5.5.2 Commercial Aircraft Rotational Dynamics Analysis . . . . . . 233
5.6 Optimal Control or Optimal Estimation? . . . . . . . . . . . . . . . . . 241

6 Optimal Control Examples 247

6.1 Space Shuttle Reentry Trajectory . . . . . . . . . . . . . . . . . . . . . 247
6.2 Minimum Time to Climb . . . . . . . . . . . . . . . . . . . . . . . . . 256
6.2.1 Tabular Data . . . . . . . . . . . . . . . . . . . . . . . . . . . 257
6.2.2 Cubic Spline Interpolation . . . . . . . . . . . . . . . . . . . 258
6.2.3 Minimum Curvature Spline . . . . . . . . . . . . . . . . . . . 259
6.2.4 Numerical Solution . . . . . . . . . . . . . . . . . . . . . . . 262
6.3 Low-Thrust Orbit Transfer . . . . . . . . . . . . . . . . . . . . . . . . 265
6.3.1 Modified Equinoctial Coordinates . . . . . . . . . . . . . . . 265
6.3.2 Gravitational Disturbing Acceleration . . . . . . . . . . . . . 267
Contents xi

6.3.3 Thrust Acceleration—Burn Arcs . . . . . . . . . . . . . . . . 267

6.3.4 Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . 269
6.3.5 Numerical Solution . . . . . . . . . . . . . . . . . . . . . . . 269
6.4 Two-Burn Orbit Transfer . . . . . . . . . . . . . . . . . . . . . . . . . 271
6.4.1 Simple Shooting Formulation . . . . . . . . . . . . . . . . . . 273
6.4.2 Multiple Shooting Formulation . . . . . . . . . . . . . . . . . 278
6.4.3 Collocation Formulation . . . . . . . . . . . . . . . . . . . . 279
6.5 Hang Glider . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282
6.6 Abort Landing in the Presence of Windshear . . . . . . . . . . . . . . . 284
6.6.1 Dynamic Equations . . . . . . . . . . . . . . . . . . . . . . . 286
6.6.2 Objective Function . . . . . . . . . . . . . . . . . . . . . . . 288
6.6.3 Control Variable . . . . . . . . . . . . . . . . . . . . . . . . . 289
6.6.4 Model Data . . . . . . . . . . . . . . . . . . . . . . . . . . . 289
6.6.5 Computational Results . . . . . . . . . . . . . . . . . . . . . 291
6.7 Space Station Attitude Control . . . . . . . . . . . . . . . . . . . . . . 293
6.8 Reorientation of an Asymmetric Rigid Body . . . . . . . . . . . . . . . 299
6.8.1 Computational Issues . . . . . . . . . . . . . . . . . . . . . . 300
6.9 Industrial Robot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304
6.10 Multibody Mechanism . . . . . . . . . . . . . . . . . . . . . . . . . . 310
6.11 Kinematic Chain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 315
6.12 Dynamic MPEC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 322
6.13 Free-Flying Robot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
6.14 Kinetic Batch Reactor . . . . . . . . . . . . . . . . . . . . . . . . . . . 331
6.15 Delta III Launch Vehicle . . . . . . . . . . . . . . . . . . . . . . . . . 336
6.16 A Two-Strain Tuberculosis Model . . . . . . . . . . . . . . . . . . . . 345
6.17 Tumor Anti-angiogenesis . . . . . . . . . . . . . . . . . . . . . . . . . 348

7 Advanced Applications 353

7.1 Optimal Lunar Swingby Trajectories . . . . . . . . . . . . . . . . . . . 353
7.1.1 Background and Motivation . . . . . . . . . . . . . . . . . . 353
7.1.2 Optimal Lunar Transfer Examples . . . . . . . . . . . . . . . 355
Synchronous Equatorial . . . . . . . . . . . . . . . . . . . . . 355
Polar, 24 hr (A) . . . . . . . . . . . . . . . . . . . . . . . . . 355
Polar, 24 hr (B) . . . . . . . . . . . . . . . . . . . . . . . . . 355
Retrograde Molniya . . . . . . . . . . . . . . . . . . . . . . . 357
7.1.3 Equations of Motion . . . . . . . . . . . . . . . . . . . . . . 357
7.1.4 Kepler Orbit Propagation . . . . . . . . . . . . . . . . . . . . 358
7.1.5 Differential-Algebraic Formulation of Three-Body Dynamics . 360
7.1.6 Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . 360
7.1.7 A Four-Step Solution Technique . . . . . . . . . . . . . . . . 362
Step 1: Three-Impulse, Conic Solution . . . . . . . . . . . . . 362
Step 2: Three-Body Approximation . . . . . . . . . . . . . . 364
Step 3: Fixed Swingby Time . . . . . . . . . . . . . . . . . . 365
Step 4: Optimal Three-Body Solution . . . . . . . . . . . . . 366
7.1.8 Solving the Subproblems . . . . . . . . . . . . . . . . . . . . 366
Is Mesh Refinement Needed? . . . . . . . . . . . . . . . . . . 368
DAE or ODE Formulation? . . . . . . . . . . . . . . . . . . . 370
xii Contents

7.2 Multiple-Pass Aero-Assisted Orbit Transfer . . . . . . . . . . . . . . . 372

7.2.1 Orbital Phases . . . . . . . . . . . . . . . . . . . . . . . . . . 372
7.2.2 Atmospheric Phases . . . . . . . . . . . . . . . . . . . . . . . 373
7.2.3 Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . 375
7.2.4 Initial Guess . . . . . . . . . . . . . . . . . . . . . . . . . . . 377
7.2.5 Numerical Results . . . . . . . . . . . . . . . . . . . . . . . 379
7.3 Delay Differential Equations . . . . . . . . . . . . . . . . . . . . . . . 385
7.4 In-Flight Dynamic Optimization of Wing Trailing Edge Surface
Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 396
7.4.1 Aircraft Dynamics for Drag Estimation . . . . . . . . . . . . 398
7.4.2 Step 1: Reference Trajectory Estimation . . . . . . . . . . . . 400
7.4.3 Step 2: Aerodynamic Drag Model Approximation . . . . . . . 401
7.4.4 Step 3: Optimal Camber Prediction . . . . . . . . . . . . . . 402
7.4.5 Numerical Results . . . . . . . . . . . . . . . . . . . . . . . 402
777-200ER Flight Test . . . . . . . . . . . . . . . . . . . . . 402
Performance Comparison . . . . . . . . . . . . . . . . . . . . 403

8 Epilogue 411

Appendix: Software 413

A.1 Simplified Usage Dense NLP . . . . . . . . . . . . . . . . . . . . . . . 413
A.2 Sparse NLP with Sparse Finite Differences . . . . . . . . . . . . . . . . 413
A.3 Optimal Control Using Sparse NLP . . . . . . . . . . . . . . . . . . . . 414

Bibliography 417

Index 431
 Preface

Solving an optimal control or estimation problem is not easy. Pieces of the puzzle
are found scattered throughout many different disciplines. Furthermore, the focus of this
book is on practical methods, that is, methods that I have found actually work! In fact
everything described in this book has been implemented in production software and used to
solve real optimal control problems. Although the reader should be proficient in advanced
mathematics, no theorems are presented.
Traditionally, there are two major parts of a successful optimal control or optimal
estimation solution technique. The first part is the “optimization” method. The second part
is the “differential equation” method. When faced with an optimal control or estimation
problem it is tempting to simply “paste” together packages for optimization and numerical
integration. While naive approaches such as this may be moderately successful, the goal of
this book is to suggest that there is a better way! The methods used to solve the differential
equations and optimize the functions are intimately related.
The first two chapters of this book focus on the optimization part of the problem. In
Chapter 1 the important concepts of nonlinear programming for small dense applications
are introduced. Chapter 2 extends the presentation to problems which are both large and
sparse. Chapters 3 and 4 address the differential equation part of the problem. Chapter
3 introduces relevant material in the numerical solution of differential (and differential-
algebraic) equations. Methods for solving the optimal control problem are treated in some
detail in Chapter 4. Throughout the book the interaction between optimization and integra-
tion is emphasized. Chapter 5 describes how to solve optimal estimation problems. Chapter
6 presents a collection of examples that illustrate the various concepts and techniques. Real
world problems often require solving a sequence of optimal control and/or optimization
problems, and Chapter 7 describes a collection of these “advanced applications.”
While the book incorporates a great deal of new material not covered in Practical
Methods for Optimal Control Using Nonlinear Programming [21], it does not cover every-
thing. Many important topics are simply not discussed in order to keep the overall presen-
tation concise and focused. The discussion is general and presents a unified approach to
solving optimal estimation and control problems. Most of the examples are drawn from
my experience in the aerospace industry. Examples have been solved using a particular
implementation called SOCS. I have tried to adhere to notational conventions from both
optimization and control theory whenever possible. Also, I have attempted to use consistent
notation throughout the book.
The material presented here represents the collective contributions of many peo-
ple. The nonlinear programming material draws heavily on the work of John Dennis,
Roger Fletcher, Phillip Gill, Sven Leyffer, Walter Murray, Michael Saunders, and Mar-

xiii
xiv Preface

garet Wright. The material on differential-algebraic equations (DAEs) is drawn from the
work of Uri Ascher, Kathy Brenan, and Linda Petzold. Ray Spiteri graciously shared his
classroom notes on DAEs. I was introduced to optimal control by Stephen Citron, and I
routinely refer to the text by Bryson and Ho [54]. Over the past 20 years I have been for-
tunate to participate in workshops at Oberwolfach, Munich, Minneapolis, Victoria, Banff,
Lausanne, Griefswald, Stockholm, and Fraser Island. I’ve benefited immensely simply
by talking with Larry Biegler, Hans Georg Bock, Roland Bulirsch, Rainer Callies, Kurt
Chudej, Tim Kelley, Bernd Kugelmann, Helmut Maurer, Rainer Mehlhorn, Angelo Miele,
Hans Josef Pesch, Ekkehard Sachs, Gottfried Sachs, Roger Sargent, Volker Schulz, Mark
Steinbach, Oskar von Stryk, and Klaus Well.
Three colleagues deserve special thanks. Interaction with Steve Campbell and his
students has inspired many new results and interesting topics. Paul Frank has played a
major role in the implementation and testing of the large, sparse nonlinear programming
methods described. Bill Huffman, my coauthor for many publications and the SOCS soft-
ware, has been an invaluable sounding board over the last two decades. Finally, I thank
Jennifer for her patience and understanding during the preparation of this book.

John T. Betts
Chapter 1

Introduction to Nonlinear
Programming

1.1 Preliminaries
This book concentrates on numerical methods for solving the optimal control problem.
The fundamental principle of all effective numerical optimization methods is to solve a
difficult problem by solving a sequence of simpler subproblems. In particular, the solution
of an optimal control problem will require the solution of one or more finite-dimensional
subproblems. As a prelude to our discussions on optimal control, this chapter will focus
on the nonlinear programming (NLP) problem. The NLP problem requires finding a finite
number of variables such that an objective function or performance index is optimized
without violating a set of constraints. The NLP problem is often referred to as parameter
optimization. Important special cases of the NLP problem include linear programming
(LP), quadratic programming (QP), and least squares problems.
Before proceeding further, it is worthwhile to establish the notational conventions
used throughout the book. This is especially important since the subject matter covers a
number of different disciplines, each with its own notational conventions. Our goal is to
present a unified treatment of all these fields. As a rule, scalar quantities will be denoted by
lowercase letters (e.g., α). Vectors will be denoted by boldface lowercase letters and will
usually be considered column vectors, as in
 
x1
x2 
 
x =  . , (1.1)
 .. 
xn

where the individual components of the vector are x k for k = 1, . . ., n. To save space, it will
often be convenient to define the transpose, as in

xT = (x 1 , x 2 , . . . , x n ). (1.2)

A sequence of vectors will often be denoted as xk , xk+1 , . . . . Matrices will be denoted by

1
2 Chapter 1. Introduction to Nonlinear Programming

boldface capital letters, as in

 
a11 a12 ... a1n
 a21 a22 ... a2n 
 
A= . . (1.3)
 .. 
am1 am2 ... amn

1.2 Newton’s Method in One Variable

The fundamental approach to most iterative schemes was suggested over 300 years ago by
Newton. In fact, Newton’s method is the basis for all of the algorithms we will describe.
We begin with the simplest form of Newton’s method and then in subsequent sections gen-
eralize the discussion until we have presented one of the most widely used NLP algorithms,
namely the sequential quadratic programming (SQP) method.
Suppose it is required to find the value of the variable x such that the constraint
function
c(x) = 0. (1.4)
Let us denote the solution by x ∗ and let us assume x is a guess for the solution. The basic
idea of Newton’s method is to approximate the nonlinear function c(x) by the first two terms
in a Taylor series expansion about the current point x. This yields a linear approximation
for the constraint function at the new point x̄, which is given by

c(x̄) = c(x) + c(x)(x̄ − x), (1.5)

where c (x) = dc/d x is the slope of the constraint at x. Using this linear approximation, it
is reasonable to compute x̄, a new estimate for the root, by solving (1.5) such that c(x̄) = 0,
i.e.,
x̄ = x − [c (x)]−1c(x). (1.6)
Typically, we denote p ≡ x̄ − x and rewrite (1.6) as

x̄ = x + p, (1.7)

where
p = −[c (x)]−1c(x). (1.8)
Of course, in general, c(x) is not a linear function of x, and consequently we cannot
expect that c(x̄) = 0. However, we might hope that x̄ is a better estimate for the root x ∗
than the original guess x; in other words we might expect that

|x̄ − x ∗ | ≤ |x − x ∗ | (1.9)

and
|c(x̄)| ≤ |c(x)|. (1.10)
If the new point is an improvement, then it makes sense to repeat the process, thereby
defining a sequence of points x (0) , x (1) , x (2) , . . . with point (k + 1) in the sequence given by

x (k+1) = x (k) − [c(x (k) )]−1 c(x (k) ). (1.11)

1.2. Newton’s Method in One Variable 3

For notational convenience, it usually suffices to present a single step of the algorithm, as in
(1.6), instead of explicitly labeling the information at step k using the superscript notation
x (k) . Nevertheless, it should be understood that the algorithm defines a sequence of points
x (0) , x (1) , x (2) , . . . . The sequence is said to converge to x ∗ if

lim |x (k) − x ∗| = 0. (1.12)

k→∞

In practice, of course, we are not interested in letting k → ∞. Instead we are satisfied with
terminating the sequence when the computed solution is “close” to the answer. Further-
more, the rate of convergence is of paramount importance when measuring the computa-
tional efficiency of an algorithm. For Newton’s method, the rate of convergence is said to
be quadratic or, more precisely, q-quadratic (cf. [71]). The impact of quadratic conver-
gence can be dramatic. Loosely speaking, it implies that each successive estimate of the
solution will double the number of significant digits!
Example 1.1 N EWTON ’ S M ETHOD —ROOT F INDING. To demonstrate, let us sup-
pose we want to solve the constraint

c(x) = a1 + a2 x + a3 x 2 = 0, (1.13)

where the coefficients a1 , a2 , a3 are chosen such that c(0.1) = −0.05, c(0.25) = 0, and
c(0.9) = 0.9. Table 1.1 presents the Newton iteration sequence beginning from the initial
guess x = 0.85 and proceeding to the solution at x ∗ = 0.25. Figure 1.1 illustrates the
first three iterations. Notice in Table 1.1 that the error between the computed solution and
the true value, which is tabulated in the third column, exhibits the expected doubling in
significant figures from the fourth iteration to convergence.
So what is wrong with Newton’s method? Clearly, quadratic convergence is a very
desirable property for an algorithm to possess. Unfortunately, if the initial guess is not
sufficiently close to the solution, i.e., within the region of convergence, Newton’s method
may diverge. As a simple example, Dennis and Schnabel [71] suggest applying Newton’s
method to solve c(x) = arctan(x) = 0. This will diverge when the initial guess |x (0) | > a,
converge when |x (0) | < a, and cycle indefinitely if |x (0) | = a, where a = 1.3917452002707.
In essence, Newton’s method behaves well near the solution (locally) but lacks something
permitting it to converge globally. So-called globalization techniques, aimed at correcting
this deficiency, will be discussed in subsequent sections. A second difficulty occurs when

Table 1.1. Newton’s method for root finding.

Iter. c(x) x |x − x ∗ |
1 0.79134615384615 0.85000000000000 0.60000000000000
2 0.18530192382759 0.47448669201521 0.22448669201521
3 3.5942428588261×10−2 0.30910437279376 5.9104372793756×10−2
4 3.6096528286200×10−3 0.25669389900972 6.6938990097217×10−3
5 5.7007630268141×10−5 0.25010744198003 1.0744198002549×10−4
6 1.5161639596584×10−8 0.25000002858267 2.8582665845267×10−8
7 1.0547118733939×10−15 0.25000000000000 1.8873791418628×10−15
4 Chapter 1. Introduction to Nonlinear Programming

Figure 1.1. Newton’s method for root finding.

the slope c (x) = 0. Clearly, the correction defined by (1.6) is not well defined in this case.
In fact, Newton’s method loses its quadratic convergence property if the slope is zero at
the solution, i.e., c (x ∗ ) = 0. Finally, Newton’s method requires that the slope c (x) can
be computed at every iteration. This may be difficult and/or costly, especially when the
function c(x) is complicated.

1.3 Secant Method in One Variable

Motivated by a desire to eliminate the explicit calculation of the slope, one can consider
approximating it at x k by the secant

c(x k ) − c(x k−1) c

c (x k ) ≈ B = ≡ . (1.14)
x −x
k k−1 x
Notice that this approximation is constructed using two previous iterations but requires
values only for the constraint function c(x). This expression can be rewritten to give the
so-called secant condition
Bx = c, (1.15)
where B is the (scalar) secant approximation to the slope. Using this approximation, it then
follows that the Newton iteration (1.6) is replaced by the secant iteration

x̄ = x − B −1c(x) = x + p, (1.16)
1.4. Newton’s Method for Minimization in One Variable 5

Figure 1.2. Secant method for root finding.

which is often written as

x k − x k−1
x k+1 = x k − c(x k ). (1.17)
c(x k ) − c(x k−1)

Figure 1.2 illustrates a secant iteration applied to Example 1.1 described in the pre-
vious section.
Clearly, the virtue of the secant method is that it does not require calculation of the
slope c (x k ). While this may be advantageous when derivatives are difficult to compute,
there is a downside! The secant method is superlinearly convergent, which, in general, is
not as fast as the quadratically convergent Newton algorithm. Thus, we can expect conver-
gence will require more iterations, even though the cost per iteration is less. A distinguish-
ing feature of the secant method is that the slope is approximated using information from
previous iterates in lieu of a direct evaluation. This is the simplest example of a so-called
quasi-Newton method.

1.4 Newton’s Method for Minimization in One Variable

Now let us suppose we want to compute the value x ∗ such that the nonlinear objective
function F(x ∗ ) is a minimum. The basic notion of Newton’s method for root finding is
to approximate the nonlinear constraint function c(x) by a simpler model (i.e., linear) and
then compute the root for the linear model. If we are to extend this philosophy to opti-
mization, we must construct an approximate model of the objective function. Just as in the
6 Chapter 1. Introduction to Nonlinear Programming

development of (1.5), let us approximate F(x) by the first three terms in a Taylor series
expansion about the current point x:
1
F(x̄) = F(x) + F (x)(x̄ − x) + (x̄ − x)F (x)(x̄ − x). (1.18)
2
Notice that we cannot use a linear model for the objective because a linear function does
not have a finite minimum point. In contrast, a quadratic approximation to F(x) is the
simplest approximation that does have a minimum. Now for x̄ to be a minimum of the
quadratic (1.18), we must have
dF
≡ F  (x̄) = 0 = F  (x) + F (x)(x̄ − x). (1.19)
d x̄
Solving for the new point yields
x̄ = x − [F  (x)]−1 F  (x). (1.20)
The derivation has been motivated by minimizing F(x). Is this equivalent to solving the
slope condition F  (x) = 0? It would appear that the iterative optimization sequence defined
by (1.20) is the same as the iterative root-finding sequence defined by (1.6), provided we
replace c(x) by F  (x). Clearly, a quadratic model for the objective function (1.18) produces
a linear model for the slope F  (x). However, the condition F  (x) = 0 defines only a sta-
tionary point, which can be a minimum, a maximum, or a point of inflection. Apparently
what is missing is information about the curvature of the function, which would determine
whether it is concave up, concave down, or neither.
Figure 1.3 illustrates a typical situation. In the illustration, there are two points
with zero slopes; however, there is only one minimum point. The minimum point is dis-

Figure 1.3. Minimization in one variable.

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MP1694 OS INDIOS OS ÍNDIOS
NAVAJOS NAVAJOS
MP1719 A VIDA RURAL NO A VIDA RURAL NO
MEXICO. MÉXICO.
MP1856 O POVOS DAS O POVOS DAS
PLANTAÇOES. PLANTAÇÕES.
MP1902 Red Fury. Red Fury. 1947.
MP4715 CARRIBBEAN CARIBBEAN
CAPERS CAPERS
MP4846 C Encyclopaedia © Encyclopaedia
Britannica Films, Britannica Films,
Inc. Inc.
MP9883 WASHINGTON— WASHINGTON—
THE SHRINE OF THE SHRINE OF
AMERICAN AMERICAN
PATRIOTRISM PATRIOTISM
MP10264 THE CHEWIN THE CHEWIN'
'BRUIN BRUIN
MP10753 POLSKA NIE POLSKA NIE
ZGINELA ZGINEŁA
MP10763 THE FIGHTING THE FIGHTING
69TH1/2 69TH–1/2
MP11054 *Old Macdonald Had *Old Macdonald
a Farm. Had a Farm. 1941.
MP11644 Milestones of 2. Milestones of
Democracy. 1 reel. Democracy. 1 reel.
MP11840 MAIN STREET. U. S. MAIN STREET. U.
A. - 1942 S. A.—1942
MP12016 9Dec51 9Dec41
MP12079 4. © 21Jul41; 5. © 21Jul41;
MP12079 MP12079
MP12300 Hub of the World. Hub of the World.
1942.
MP12939 MEN IN MEN IN
WASHINGTON - WASHINGTON—
1942 1942
MP13059 15Oct52 15Oct42
MP13623 GLOBIAL RHYTHM GLOBAL RHYTHM
MP14532 38. 2 reels. © 37. 2 reels. ©
5Jan44; MP14532 5Jan44; MP14532
MP14636 13Feb48 13Feb44
MP16148 *Schoolhouse Jive. *Schoolhouse Jive.
1945.
MP16159 *After a While. *After a While. 1945.
MP16525 17Oct35 17Oct45
MU16571 Open Door. Open Door. 1945.
MU3795 WINGS TO NEW WINGS TO NEW
YORK. Charles D. YORK. Charles D.
Beeland for 1,145 Beeland for Pan
feet, sd. Pan American World
American World Airways, Atlantic
Airways, Atlantic Division. 1,145
Division. feet, sd.

P. 515 DEPARTAMENTO DEPARTAMENTO

DO DE
OFTALMOLOGIA, OFTALMOLOGIA,
ESCOLA DE ESCOLA DE
MÉDICOS E MÉDICOS E
CIRURGIÕES CIRURGIÕES
P. 536 TELETAKE TELETALE
PRODUCTIONS PRODUCTIONS
1. Corrected spelling, accents, grammar,
hyphenation, and punctuation of names
according to the following guidelines.
For movies name used in the main Motion
Pictures list determined usage unless all
the Index entries indicate otherwise. See
change list.
The names of individuals and companies
featured in the Index listing determined
usage unless all of the Motion Pictures
entries indicated otherwise. See change list.
2. Silently corrected simple spelling, grammar, and
typographical errors of other than names of
movies, persons, and companies as mentioned
previously.
3. Otherwise retained anachronistic and non-
standard spellings as printed.
*** END OF THE PROJECT GUTENBERG EBOOK MOTION PICTURES,
1940-1949 ***

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