Optimal control with connected initial and terminal conditions

An optimal control problem with linear dynamics is considered on a fixed time interval. The ends of the interval correspond to terminal spaces, and a finite-dimensional optimization problem is formulated on the Cartesian product of these spaces. Two components of the solution of this problem define the initial and terminal conditions for the controlled dynamics. The dynamics in the optimal control problem is treated as an equality constraint. The controls are assumed to be bounded in the norm of L2. A saddle-point method is proposed to solve the problem. The method is based on finding saddle points of the Lagrangian. The weak convergence of the method in controls and its strong convergence in state trajectories, dual trajectories, and terminal variables are proved.