In this paper, we consider a general class of discrete-time optimal control problems subject to all-time-step constraints on the state and variables. The derivations gradient formulas for cost constraint functions constrained problem are rather involved. We present simple approach these based reversed automatic differentiation. On basis, numerical algorithm is developed solve problem. then cont...

The discretization of robust quadratic optimal control problems under uncertainty using the finite element method and stochastic collocation leads to large saddle-point systems, which are fully coupled across random realizations. Despite its relevance for numerous engineering problems, solution such systems is notoriusly challenging. In this manuscript, we study efficient preconditioners all-at...