THEORY AND APPLICATIONS OF OPTIMAL CONTROL PROBLEMS WITH MULTIPLE TIME-DELAYS

In this paper we study optimal control problems with multiple time delays in control and state and mixed type control-state constraints. We derive necessary optimality conditions in the form of a Pontryagin type Minimum Principle. A discretization method is presented by which the delayed control problem is transformed into a nonlinear programming problem. It is shown that the associated Lagrange multipliers provide a consistent numerical approximation for the adjoint variables of the delayed optimal control problem. We illustrate the theory and numerical approach on an analytical example and an optimal control model from immunology.