Global Solution of Dynamic Optimization and Mixed-Integer Dynamic Optimization
An overview of global methods for dynamic optimization and mixed-integer dynamic optimization (MIDO) is presented, with emphasis placed on the control parametrization approach. These methods consist of extending existing continuous and mixed-integer global optimization algorithms to encompass solution of problems with ODEs embedded. A prerequisite for so doing is a convexity theory for dynamic optimization as well as the ability to build valid convex relaxations for Bolza-type functionals. For solving dynamic optimization problems globally, our focus is on the use of branch-and-bound algorithms; on the other hand, MIDO problems are handled by adapting the outer-approximation algorithm originally developed for mixed-integer nonlinear problems (MINLPs) to optimization problems embedding ODEs. Each of these algorithms is thoroughly discussed and illustrated. Future directions for research are also discussed, including the recent developments of general, convex, and concave relaxations for the solutions of nonlinear ODEs.