Constrained Differential Dynamic Programming Revisited
Yuichiro Aoyama, George I. Boutselis, Akash Patel, Evangelos A. Theodorou
Abstract
Differential Dynamic Programming (DDP) has become a well established method for unconstrained trajectory optimization. Despite its several applications in robotics and controls, however, a widely successful constrained version of the algorithm has yet to be developed. This paper builds upon penalty methods and active-set approaches towards designing a Dynamic Programming-based methodology for constrained optimal control. Regarding the former, our derivation employs a constrained version of Bellman’s principle of optimality, by introducing a set of auxiliary slack variables in the backward pass. In parallel, we show how Augmented Lagrangian methods can be naturally incorporated within DDP, by utilizing a particular set of penalty-Lagrangian functions that preserve second-order differentiability. We demonstrate experimentally that our extensions (individually and combinations thereof) enhance significantly the convergence properties of the algorithm, and outperform previous approaches on a large number of simulated scenarios.