BibTeX
@INCOLLECTION{
Christianson2002GoP,
author = "Bruce Christianson and Michael C. BartholomewBiggs",
title = "Globalization of {P}antoja's Optimal Control Algorithm",
pages = "125130",
chapter = "13",
crossref = "Corliss2002ADo",
booktitle = "Automatic Differentiation of Algorithms: From Simulation to Optimization",
year = "2002",
editor = "George Corliss and Christ{\`e}le Faure and Andreas Griewank and Laurent
Hasco{\"e}t and Uwe Naumann",
series = "Computer and Information Science",
publisher = "Springer",
address = "New York, NY",
abstract = "In 1983 Pantoja described a stagewise construction of the Newton direction for a
general class of discrete time optimal control problems. His algorithm incurs amazingly low
overheads: the cost (measured in target function evaluations) is independent of the number of
discrete timesteps. The algorithm can be modified to verify that the Hessian contains no
eigenvalues less than a postulated quantity, and to produce an appropriate descent direction in the
case where the Hessian fails to be positive definite and global convergence becomes an issue.
Coleman and Liao have proposed a specific damping strategy in this context. Here we describe how
automatic differentiation can be used to implement Pantoja's algorithm, and we briefly consider
some alternative globalization strategies, within which AD techniques can be further deployed."
}
