Optimal control problem with state constraints via penalty functions

Abstract

In this paper, we derive necessary conditions of optimality for problems with state constraints using the method of penalty functions similar to the one we previously used to solve optimization problems for control sweeping processes (see, e.g., de Pinho et al., 2022). Our aim is to provide a proof of the Maximum Principle that can be easily followed by those with basic knowledge of classical optimal control and elementary functional analysis. We intentionally consider a smooth case and the simplest boundary conditions; we consider global minimum and assume that the set of trajectories of the control system is compact.