Gauss-Newton Runge-Kutta integration for efficient discretization of optimal control problems with long horizons and least-squares costs

Jonathan Frey, Katrin Baumgärtner, Moritz Diehl

Abstract: This work proposes an efficient treatment of continuous-time optimal control problems with long horizons and nonlinear least-squares costs. In particular, we present the Gauss–Newton Runge–Kutta (GNRK) integrator which provides a high-order cost integration. Crucially, the Hessian of the cost terms required within an SQP-type algorithm is approximated with a Gauss–Newton Hessian. Moreover, L2 penalty formulations for constraints are shown to be particularly effective for optimization with GNRK. An efficient implementation of GNRK is provided in the open-source software framework acados. We demonstrate the effectiveness of the proposed approach and its implementation on an illustrative example showing a reduction of relative suboptimality by a factor greater than 10 while increasing the runtime by only 10%.