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Practical Methods
for Optimal Control
and Estimation Using
Nonlinear Programming
Advances in Design and Control
SIAM’s Advances in Design and Control series consists of texts and monographs dealing with all areas of
design and control and their applications. Topics of interest include shape optimization, multidisciplinary
design, trajectory optimization, feedback, and optimal control. The series focuses on the mathematical and
computational aspects of engineering design and control that are usable in a wide variety of scientific and
engineering disciplines.

Editor-in-Chief
Ralph C. Smith, North Carolina State University

Editorial Board
Athanasios C. Antoulas, Rice University
Siva Banda, Air Force Research Laboratory
Belinda A. Batten, Oregon State University
John Betts, The Boeing Company (retired)
Stephen L. Campbell, North Carolina State University
Eugene M. Cliff, Virginia Polytechnic Institute and State University
Michel C. Delfour, University of Montreal
Max D. Gunzburger, Florida State University
J. William Helton, University of California, San Diego
Arthur J. Krener, University of California, Davis
Kirsten Morris, University of Waterloo
Richard Murray, California Institute of Technology
Ekkehard Sachs, University of Trier

Series Volumes
Betts, John T., Practical Methods for Optimal Control and Estimation Using Nonlinear Programming, Second
Edition
Shima, Tal and Rasmussen, Steven, eds., UAV Cooperative Decision and Control: Challenges and Practical
Approaches
Speyer, Jason L. and Chung, Walter H., Stochastic Processes, Estimation, and Control
Krstic, Miroslav and Smyshlyaev, Andrey, Boundary Control of PDEs: A Course on Backstepping Designs
Ito, Kazufumi and Kunisch, Karl, Lagrange Multiplier Approach to Variational Problems and Applications
Xue, Dingyü, Chen, YangQuan, and Atherton, Derek P., Linear Feedback Control: Analysis and Design
with MATLAB
Hanson, Floyd B., Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis,
and Computation
Michiels, Wim and Niculescu, Silviu-Iulian, Stability and Stabilization of Time-Delay Systems: An Eigenvalue-Based
Approach
Ioannou, Petros and Fidan, Baris,¸ Adaptive Control Tutorial
Bhaya, Amit and Kaszkurewicz, Eugenius, Control Perspectives on Numerical Algorithms and Matrix Problems
Robinett III, Rush D., Wilson, David G., Eisler, G. Richard, and Hurtado, John E., Applied Dynamic Programming
for Optimization of Dynamical Systems
Huang, J., Nonlinear Output Regulation: Theory and Applications
Haslinger, J. and Mäkinen, R. A. E., Introduction to Shape Optimization: Theory, Approximation, and
Computation
Antoulas, Athanasios C., Approximation of Large-Scale Dynamical Systems
Gunzburger, Max D., Perspectives in Flow Control and Optimization
Delfour, M. C. and Zolésio, J.-P., Shapes and Geometries: Analysis, Differential Calculus, and Optimization
Betts, John T., Practical Methods for Optimal Control Using Nonlinear Programming
El Ghaoui, Laurent and Niculescu, Silviu-Iulian, eds., Advances in Linear Matrix Inequality Methods in Control
Helton, J. William and James, Matthew R., Extending H∞ Control to Nonlinear Systems: Control of Nonlinear
Systems to Achieve Performance Objectives
Practical Methods
for Optimal Control
and Estimation Using
Nonlinear Programming
SECOND EDITION

John T. Betts

Society for Industrial and Applied Mathematics

Philadelphia
Copyright © 2010 by the Society for Industrial and Applied Mathematics (SIAM)

10 9 8 7 6 5 4 3 2 1

All rights reserved. Printed in the United States of America. No part of this book may be
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Library of Congress Cataloging-in-Publication Data

Betts, John T. 1943-
Practical methods for optimal control and estimation using nonlinear programming /
John T. Betts. — 2nd ed.
p. cm. — (Advances in design and control)
Includes bibliographical references and index.
ISBN 978-0-898716-88-7
1. Control theory. 2. Mathematical optimization. 3. Nonlinear programming. I. Title.
QA402.3.B47 2009
629.8’312—dc22
2009025106

is a registered trademark.
For Theon and Dorothy

He Inspired Creativity
She Cherished Education


 Contents

Preface xiii

1 Introduction to Nonlinear Programming 1

1.1 Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Newton’s Method in One Variable . . . . . . . . . . . . . . . . . . . . 2
1.3 Secant Method in One Variable . . . . . . . . . . . . . . . . . . . . . . 4
1.4 Newton’s Method for Minimization in One Variable . . . . . . . . . . . 5
1.5 Newton’s Method in Several Variables . . . . . . . . . . . . . . . . . . 7
1.6 Unconstrained Optimization . . . . . . . . . . . . . . . . . . . . . . . 8
1.7 Recursive Updates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.8 Equality-Constrained Optimization . . . . . . . . . . . . . . . . . . . . 12
1.8.1 Newton’s Method . . . . . . . . . . . . . . . . . . . . . . . . 15
1.9 Inequality-Constrained Optimization . . . . . . . . . . . . . . . . . . . 16
1.10 Quadratic Programming . . . . . . . . . . . . . . . . . . . . . . . . . . 18
1.11 Globalization Strategies . . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.11.1 Merit Functions . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.11.2 Line-Search Methods . . . . . . . . . . . . . . . . . . . . . . 23
1.11.3 Trust-Region Methods . . . . . . . . . . . . . . . . . . . . . 25
1.11.4 Filters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
1.12 Nonlinear Programming . . . . . . . . . . . . . . . . . . . . . . . . . . 28
1.13 An SQP Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
1.14 Interior-Point Methods . . . . . . . . . . . . . . . . . . . . . . . . . . 30
1.15 Mathematical Program with Complementarity Conditions . . . . . . . . 36
1.15.1 The Signum or Sign Operator . . . . . . . . . . . . . . . . . . 37
1.15.2 The Absolute Value Operator . . . . . . . . . . . . . . . . . . 38
1.15.3 The Maximum Value Operator . . . . . . . . . . . . . . . . . 38
1.15.4 The Minimum Value Operator . . . . . . . . . . . . . . . . . 39
1.15.5 Solving an MPEC . . . . . . . . . . . . . . . . . . . . . . . . 39
1.16 What Can Go Wrong . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
1.16.1 Infeasible Constraints . . . . . . . . . . . . . . . . . . . . . . 40
1.16.2 Rank-Deficient Constraints . . . . . . . . . . . . . . . . . . . 40
1.16.3 Constraint Redundancy . . . . . . . . . . . . . . . . . . . . . 41
1.16.4 Discontinuities . . . . . . . . . . . . . . . . . . . . . . . . . 42
1.16.5 Scaling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
1.16.6 Nonunique Solution . . . . . . . . . . . . . . . . . . . . . . . 46

vii
viii Contents

1.17 Derivative Approximation by Finite Differences . . . . . . . . . . . . . 46

1.17.1 Difference Estimates in Differential Equations . . . . . . . . . 48

2 Large, Sparse Nonlinear Programming 51

2.1 Overview: Large, Sparse NLP Issues . . . . . . . . . . . . . . . . . . . 51
2.2 Sparse Finite Differences . . . . . . . . . . . . . . . . . . . . . . . . . 52
2.2.1 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
2.2.2 Sparse Hessian Using Gradient Differences . . . . . . . . . . 53
2.2.3 Sparse Differences in Nonlinear Programming . . . . . . . . . 54
2.3 Sparse QP Subproblem . . . . . . . . . . . . . . . . . . . . . . . . . . 54
2.4 Merit Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
2.5 Hessian Approximation . . . . . . . . . . . . . . . . . . . . . . . . . . 58
2.6 Sparse SQP Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . 60
2.6.1 Minimization Process . . . . . . . . . . . . . . . . . . . . . . 60
2.6.2 Algorithm Strategy . . . . . . . . . . . . . . . . . . . . . . . 62
2.7 Defective Subproblems . . . . . . . . . . . . . . . . . . . . . . . . . . 62
2.8 Feasible Point Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . 63
2.8.1 QP Subproblem . . . . . . . . . . . . . . . . . . . . . . . . . 63
2.8.2 Feasible Point Strategy . . . . . . . . . . . . . . . . . . . . . 64
2.8.3 An Illustration . . . . . . . . . . . . . . . . . . . . . . . . . . 65
2.9 Computational Experience . . . . . . . . . . . . . . . . . . . . . . . . 67
2.9.1 Large, Sparse Test Problems . . . . . . . . . . . . . . . . . . 67
2.9.2 Small, Dense Test Problems . . . . . . . . . . . . . . . . . . 68
2.10 Nonlinear Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . 70
2.10.1 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
2.10.2 Sparse Least Squares . . . . . . . . . . . . . . . . . . . . . . 70
2.10.3 Residual Hessian . . . . . . . . . . . . . . . . . . . . . . . . 72
2.11 Barrier Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
2.11.1 External Format . . . . . . . . . . . . . . . . . . . . . . . . . 73
2.11.2 Internal Format . . . . . . . . . . . . . . . . . . . . . . . . . 74
2.11.3 Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
2.11.4 Logarithmic Barrier Function . . . . . . . . . . . . . . . . . . 77
2.11.5 Computing a Search Direction . . . . . . . . . . . . . . . . . 79
2.11.6 Inertia Requirements for the Barrier KKT System . . . . . . . 82
2.11.7 Filter Globalization . . . . . . . . . . . . . . . . . . . . . . . 83
2.11.8 Barrier Parameter Update Strategy . . . . . . . . . . . . . . . 86
2.11.9 Initialization . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
2.11.10 Outline of the Primary Algorithm . . . . . . . . . . . . . . . 87
2.11.11 Computational Experience . . . . . . . . . . . . . . . . . . . 88

3 Optimal Control Preliminaries 91

3.1 The Transcription Method . . . . . . . . . . . . . . . . . . . . . . . . . 91
3.2 Dynamic Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
3.3 Shooting Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93
3.4 Multiple Shooting Method . . . . . . . . . . . . . . . . . . . . . . . . 95
3.5 Initial Value Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
3.6 Boundary Value Example . . . . . . . . . . . . . . . . . . . . . . . . . 105
Contents ix

3.7 Dynamic Modeling Hierarchy . . . . . . . . . . . . . . . . . . . . . . . 108

3.8 Function Generator . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
3.8.1 Description . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
3.8.2 NLP Considerations . . . . . . . . . . . . . . . . . . . . . . . 109
3.9 Dynamic System Differentiation . . . . . . . . . . . . . . . . . . . . . 111
3.9.1 Simple Example . . . . . . . . . . . . . . . . . . . . . . . . . 111
3.9.2 Discretization versus Differentiation . . . . . . . . . . . . . . 115
3.9.3 External and Internal Differentiation . . . . . . . . . . . . . . 115
3.9.4 Variational Derivatives . . . . . . . . . . . . . . . . . . . . . 118

4 The Optimal Control Problem 123

4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
4.1.1 Dynamic Constraints . . . . . . . . . . . . . . . . . . . . . . 123
4.1.2 Algebraic Equality Constraints . . . . . . . . . . . . . . . . . 124
4.1.3 Singular Arcs . . . . . . . . . . . . . . . . . . . . . . . . . . 125
4.1.4 Algebraic Inequality Constraints . . . . . . . . . . . . . . . . 126
4.2 Necessary Conditions for the Discrete Problem . . . . . . . . . . . . . 126
4.3 Direct versus Indirect Methods . . . . . . . . . . . . . . . . . . . . . . 127
4.4 General Formulation . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
4.5 Direct Transcription Formulation . . . . . . . . . . . . . . . . . . . . . 132
4.6 NLP Considerations—Sparsity . . . . . . . . . . . . . . . . . . . . . . 134
4.6.1 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
4.6.2 Standard Approach . . . . . . . . . . . . . . . . . . . . . . . 136
4.6.3 Discretization Separability . . . . . . . . . . . . . . . . . . . 137
4.6.4 Right-Hand-Side Sparsity (Trapezoidal) . . . . . . . . . . . . 139
4.6.5 Hermite–Simpson (Compressed) (HSC) . . . . . . . . . . . . 141
4.6.6 Hermite–Simpson (Separated) (HSS) . . . . . . . . . . . . . . 143
4.6.7 K-Stage Runge–Kutta Schemes . . . . . . . . . . . . . . . . 145
4.6.8 General Approach . . . . . . . . . . . . . . . . . . . . . . . . 146
4.6.9 Performance Issues . . . . . . . . . . . . . . . . . . . . . . . 147
4.6.10 Performance Highlights . . . . . . . . . . . . . . . . . . . . . 149
4.7 Mesh Refinement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152
4.7.1 Representing the Solution . . . . . . . . . . . . . . . . . . . . 153
4.7.2 Estimating the Discretization Error . . . . . . . . . . . . . . . 154
4.7.3 Estimating the Order Reduction . . . . . . . . . . . . . . . . 158
4.7.4 Constructing a New Mesh . . . . . . . . . . . . . . . . . . . 159
4.7.5 The Mesh-Refinement Algorithm . . . . . . . . . . . . . . . . 161
4.7.6 Computational Experience . . . . . . . . . . . . . . . . . . . 163
4.8 Scaling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
4.9 Quadrature Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
4.10 Algebraic Variable Rate Constraints . . . . . . . . . . . . . . . . . . . 172
4.11 Estimating Adjoint Variables . . . . . . . . . . . . . . . . . . . . . . . 173
4.11.1 Quadrature Approximation . . . . . . . . . . . . . . . . . . . 175
4.11.2 Path Constraint Adjoints . . . . . . . . . . . . . . . . . . . . 176
4.11.3 Differential Constraint Adjoints . . . . . . . . . . . . . . . . 177
4.11.4 Numerical Comparisons . . . . . . . . . . . . . . . . . . . . 178
4.12 Discretize Then Optimize . . . . . . . . . . . . . . . . . . . . . . . . . 192
x Contents

4.12.1 High Index Partial Differential-Algebraic Equation . . . . . . 192

4.12.2 State Vector Formulation . . . . . . . . . . . . . . . . . . . . 193
4.12.3 Direct Transcription Results . . . . . . . . . . . . . . . . . . 194
4.12.4 The Indirect Approach . . . . . . . . . . . . . . . . . . . . . 194
4.12.5 Optimality Conditions . . . . . . . . . . . . . . . . . . . . . 196
Unconstrained Arcs (s < 0) . . . . . . . . . . . . . . . . . . . 196
Constrained Arcs (s = 0) . . . . . . . . . . . . . . . . . . . . 197
Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . 198
Optimality Conditions: Summary . . . . . . . . . . . . . . . 199
4.12.6 Computational Comparison—Direct versus Indirect . . . . . . 199
Direct Method . . . . . . . . . . . . . . . . . . . . . . . . . . 199
Indirect Method . . . . . . . . . . . . . . . . . . . . . . . . . 199
4.12.7 Analysis of Results . . . . . . . . . . . . . . . . . . . . . . . 200
The Quandary . . . . . . . . . . . . . . . . . . . . . . . . . . 200
The Explanation . . . . . . . . . . . . . . . . . . . . . . . . . 201
4.13 Questions of Efficiency . . . . . . . . . . . . . . . . . . . . . . . . . . 205
Question: Newton or Quasi-Newton Hessian? . . . . . . . . . 210
Question: Barrier or SQP Algorithm? . . . . . . . . . . . . . 210
4.14 What Can Go Wrong . . . . . . . . . . . . . . . . . . . . . . . . . . . 212
4.14.1 Singular Arcs . . . . . . . . . . . . . . . . . . . . . . . . . . 212
4.14.2 State Constraints . . . . . . . . . . . . . . . . . . . . . . . . 215
4.14.3 Discontinuous Control . . . . . . . . . . . . . . . . . . . . . 216

5 Parameter Estimation 219

5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
5.2 The Parameter Estimation Problem . . . . . . . . . . . . . . . . . . . . 219
5.3 Computing the Residuals . . . . . . . . . . . . . . . . . . . . . . . . . 222
5.4 Computing Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . 223
5.4.1 Residuals and Sparsity . . . . . . . . . . . . . . . . . . . . . 224
5.4.2 Residual Decomposition . . . . . . . . . . . . . . . . . . . . 225
5.4.3 Auxiliary Function Decomposition . . . . . . . . . . . . . . . 225
5.4.4 Algebraic Variable Parameterization . . . . . . . . . . . . . . 227
5.5 Computational Experience . . . . . . . . . . . . . . . . . . . . . . . . 228
5.5.1 Reentry Trajectory Reconstruction . . . . . . . . . . . . . . . 230
5.5.2 Commercial Aircraft Rotational Dynamics Analysis . . . . . . 233
5.6 Optimal Control or Optimal Estimation? . . . . . . . . . . . . . . . . . 241

6 Optimal Control Examples 247

6.1 Space Shuttle Reentry Trajectory . . . . . . . . . . . . . . . . . . . . . 247
6.2 Minimum Time to Climb . . . . . . . . . . . . . . . . . . . . . . . . . 256
6.2.1 Tabular Data . . . . . . . . . . . . . . . . . . . . . . . . . . . 257
6.2.2 Cubic Spline Interpolation . . . . . . . . . . . . . . . . . . . 258
6.2.3 Minimum Curvature Spline . . . . . . . . . . . . . . . . . . . 259
6.2.4 Numerical Solution . . . . . . . . . . . . . . . . . . . . . . . 262
6.3 Low-Thrust Orbit Transfer . . . . . . . . . . . . . . . . . . . . . . . . 265
6.3.1 Modified Equinoctial Coordinates . . . . . . . . . . . . . . . 265
6.3.2 Gravitational Disturbing Acceleration . . . . . . . . . . . . . 267
Contents xi

6.3.3 Thrust Acceleration—Burn Arcs . . . . . . . . . . . . . . . . 267

6.3.4 Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . 269
6.3.5 Numerical Solution . . . . . . . . . . . . . . . . . . . . . . . 269
6.4 Two-Burn Orbit Transfer . . . . . . . . . . . . . . . . . . . . . . . . . 271
6.4.1 Simple Shooting Formulation . . . . . . . . . . . . . . . . . . 273
6.4.2 Multiple Shooting Formulation . . . . . . . . . . . . . . . . . 278
6.4.3 Collocation Formulation . . . . . . . . . . . . . . . . . . . . 279
6.5 Hang Glider . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282
6.6 Abort Landing in the Presence of Windshear . . . . . . . . . . . . . . . 284
6.6.1 Dynamic Equations . . . . . . . . . . . . . . . . . . . . . . . 286
6.6.2 Objective Function . . . . . . . . . . . . . . . . . . . . . . . 288
6.6.3 Control Variable . . . . . . . . . . . . . . . . . . . . . . . . . 289
6.6.4 Model Data . . . . . . . . . . . . . . . . . . . . . . . . . . . 289
6.6.5 Computational Results . . . . . . . . . . . . . . . . . . . . . 291
6.7 Space Station Attitude Control . . . . . . . . . . . . . . . . . . . . . . 293
6.8 Reorientation of an Asymmetric Rigid Body . . . . . . . . . . . . . . . 299
6.8.1 Computational Issues . . . . . . . . . . . . . . . . . . . . . . 300
6.9 Industrial Robot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304
6.10 Multibody Mechanism . . . . . . . . . . . . . . . . . . . . . . . . . . 310
6.11 Kinematic Chain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 315
6.12 Dynamic MPEC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 322
6.13 Free-Flying Robot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
6.14 Kinetic Batch Reactor . . . . . . . . . . . . . . . . . . . . . . . . . . . 331
6.15 Delta III Launch Vehicle . . . . . . . . . . . . . . . . . . . . . . . . . 336
6.16 A Two-Strain Tuberculosis Model . . . . . . . . . . . . . . . . . . . . 345
6.17 Tumor Anti-angiogenesis . . . . . . . . . . . . . . . . . . . . . . . . . 348

7 Advanced Applications 353

7.1 Optimal Lunar Swingby Trajectories . . . . . . . . . . . . . . . . . . . 353
7.1.1 Background and Motivation . . . . . . . . . . . . . . . . . . 353
7.1.2 Optimal Lunar Transfer Examples . . . . . . . . . . . . . . . 355
Synchronous Equatorial . . . . . . . . . . . . . . . . . . . . . 355
Polar, 24 hr (A) . . . . . . . . . . . . . . . . . . . . . . . . . 355
Polar, 24 hr (B) . . . . . . . . . . . . . . . . . . . . . . . . . 355
Retrograde Molniya . . . . . . . . . . . . . . . . . . . . . . . 357
7.1.3 Equations of Motion . . . . . . . . . . . . . . . . . . . . . . 357
7.1.4 Kepler Orbit Propagation . . . . . . . . . . . . . . . . . . . . 358
7.1.5 Differential-Algebraic Formulation of Three-Body Dynamics . 360
7.1.6 Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . 360
7.1.7 A Four-Step Solution Technique . . . . . . . . . . . . . . . . 362
Step 1: Three-Impulse, Conic Solution . . . . . . . . . . . . . 362
Step 2: Three-Body Approximation . . . . . . . . . . . . . . 364
Step 3: Fixed Swingby Time . . . . . . . . . . . . . . . . . . 365
Step 4: Optimal Three-Body Solution . . . . . . . . . . . . . 366
7.1.8 Solving the Subproblems . . . . . . . . . . . . . . . . . . . . 366
Is Mesh Refinement Needed? . . . . . . . . . . . . . . . . . . 368
DAE or ODE Formulation? . . . . . . . . . . . . . . . . . . . 370
xii Contents

7.2 Multiple-Pass Aero-Assisted Orbit Transfer . . . . . . . . . . . . . . . 372

7.2.1 Orbital Phases . . . . . . . . . . . . . . . . . . . . . . . . . . 372
7.2.2 Atmospheric Phases . . . . . . . . . . . . . . . . . . . . . . . 373
7.2.3 Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . 375
7.2.4 Initial Guess . . . . . . . . . . . . . . . . . . . . . . . . . . . 377
7.2.5 Numerical Results . . . . . . . . . . . . . . . . . . . . . . . 379
7.3 Delay Differential Equations . . . . . . . . . . . . . . . . . . . . . . . 385
7.4 In-Flight Dynamic Optimization of Wing Trailing Edge Surface
Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 396
7.4.1 Aircraft Dynamics for Drag Estimation . . . . . . . . . . . . 398
7.4.2 Step 1: Reference Trajectory Estimation . . . . . . . . . . . . 400
7.4.3 Step 2: Aerodynamic Drag Model Approximation . . . . . . . 401
7.4.4 Step 3: Optimal Camber Prediction . . . . . . . . . . . . . . 402
7.4.5 Numerical Results . . . . . . . . . . . . . . . . . . . . . . . 402
777-200ER Flight Test . . . . . . . . . . . . . . . . . . . . . 402
Performance Comparison . . . . . . . . . . . . . . . . . . . . 403

8 Epilogue 411

Appendix: Software 413

A.1 Simplified Usage Dense NLP . . . . . . . . . . . . . . . . . . . . . . . 413
A.2 Sparse NLP with Sparse Finite Differences . . . . . . . . . . . . . . . . 413
A.3 Optimal Control Using Sparse NLP . . . . . . . . . . . . . . . . . . . . 414

Bibliography 417

Index 431
 Preface

Solving an optimal control or estimation problem is not easy. Pieces of the puzzle
are found scattered throughout many different disciplines. Furthermore, the focus of this
book is on practical methods, that is, methods that I have found actually work! In fact
everything described in this book has been implemented in production software and used to
solve real optimal control problems. Although the reader should be proficient in advanced
mathematics, no theorems are presented.
Traditionally, there are two major parts of a successful optimal control or optimal
estimation solution technique. The first part is the “optimization” method. The second part
is the “differential equation” method. When faced with an optimal control or estimation
problem it is tempting to simply “paste” together packages for optimization and numerical
integration. While naive approaches such as this may be moderately successful, the goal of
this book is to suggest that there is a better way! The methods used to solve the differential
equations and optimize the functions are intimately related.
The first two chapters of this book focus on the optimization part of the problem. In
Chapter 1 the important concepts of nonlinear programming for small dense applications
are introduced. Chapter 2 extends the presentation to problems which are both large and
sparse. Chapters 3 and 4 address the differential equation part of the problem. Chapter
3 introduces relevant material in the numerical solution of differential (and differential-
algebraic) equations. Methods for solving the optimal control problem are treated in some
detail in Chapter 4. Throughout the book the interaction between optimization and integra-
tion is emphasized. Chapter 5 describes how to solve optimal estimation problems. Chapter
6 presents a collection of examples that illustrate the various concepts and techniques. Real
world problems often require solving a sequence of optimal control and/or optimization
problems, and Chapter 7 describes a collection of these “advanced applications.”
While the book incorporates a great deal of new material not covered in Practical
Methods for Optimal Control Using Nonlinear Programming [21], it does not cover every-
thing. Many important topics are simply not discussed in order to keep the overall presen-
tation concise and focused. The discussion is general and presents a unified approach to
solving optimal estimation and control problems. Most of the examples are drawn from
my experience in the aerospace industry. Examples have been solved using a particular
implementation called SOCS. I have tried to adhere to notational conventions from both
optimization and control theory whenever possible. Also, I have attempted to use consistent
notation throughout the book.
The material presented here represents the collective contributions of many peo-
ple. The nonlinear programming material draws heavily on the work of John Dennis,
Roger Fletcher, Phillip Gill, Sven Leyffer, Walter Murray, Michael Saunders, and Mar-

xiii
xiv Preface

garet Wright. The material on differential-algebraic equations (DAEs) is drawn from the
work of Uri Ascher, Kathy Brenan, and Linda Petzold. Ray Spiteri graciously shared his
classroom notes on DAEs. I was introduced to optimal control by Stephen Citron, and I
routinely refer to the text by Bryson and Ho [54]. Over the past 20 years I have been for-
tunate to participate in workshops at Oberwolfach, Munich, Minneapolis, Victoria, Banff,
Lausanne, Griefswald, Stockholm, and Fraser Island. I’ve benefited immensely simply
by talking with Larry Biegler, Hans Georg Bock, Roland Bulirsch, Rainer Callies, Kurt
Chudej, Tim Kelley, Bernd Kugelmann, Helmut Maurer, Rainer Mehlhorn, Angelo Miele,
Hans Josef Pesch, Ekkehard Sachs, Gottfried Sachs, Roger Sargent, Volker Schulz, Mark
Steinbach, Oskar von Stryk, and Klaus Well.
Three colleagues deserve special thanks. Interaction with Steve Campbell and his
students has inspired many new results and interesting topics. Paul Frank has played a
major role in the implementation and testing of the large, sparse nonlinear programming
methods described. Bill Huffman, my coauthor for many publications and the SOCS soft-
ware, has been an invaluable sounding board over the last two decades. Finally, I thank
Jennifer for her patience and understanding during the preparation of this book.

John T. Betts
Chapter 1

Introduction to Nonlinear
Programming

1.1 Preliminaries
This book concentrates on numerical methods for solving the optimal control problem.
The fundamental principle of all effective numerical optimization methods is to solve a
difficult problem by solving a sequence of simpler subproblems. In particular, the solution
of an optimal control problem will require the solution of one or more finite-dimensional
subproblems. As a prelude to our discussions on optimal control, this chapter will focus
on the nonlinear programming (NLP) problem. The NLP problem requires finding a finite
number of variables such that an objective function or performance index is optimized
without violating a set of constraints. The NLP problem is often referred to as parameter
optimization. Important special cases of the NLP problem include linear programming
(LP), quadratic programming (QP), and least squares problems.
Before proceeding further, it is worthwhile to establish the notational conventions
used throughout the book. This is especially important since the subject matter covers a
number of different disciplines, each with its own notational conventions. Our goal is to
present a unified treatment of all these fields. As a rule, scalar quantities will be denoted by
lowercase letters (e.g., α). Vectors will be denoted by boldface lowercase letters and will
usually be considered column vectors, as in
 
x1
x2 
 
x =  . , (1.1)
 .. 
xn

where the individual components of the vector are x k for k = 1, . . ., n. To save space, it will
often be convenient to define the transpose, as in

xT = (x 1 , x 2 , . . . , x n ). (1.2)

A sequence of vectors will often be denoted as xk , xk+1 , . . . . Matrices will be denoted by

1
Discovering Diverse Content Through
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foundation. And she knew too that there could no longer be any doubt about
marrying Callendar. She would have to marry now.... Now that Robert, too,
was gone there were new reasons. There remained only one thing that she
could do for her mother. It might as well be Callendar as any other man.
 61

T HEY were married a month before the armistice, quietly with only
Monsieur de Cyon and Lily and Jean and Hattie at the ceremony. It was
the family once more (the remnants of the vigorous family which had
once filled the drawing-room at Shane’s Castle) which dominated all else in
fitting fashion at such events as births and deaths and weddings. Thérèse
was not present, for Ellen had decided quickly and there was not time for
her to return from New York. Nor was Rebecca there. A week before the
wedding there had been a scene in which Rebecca played all her cards in a
forlorn hope of winning the game against Callendar. She had told Ellen that
she herself was a Jewess and knew what men like Callendar were like. She
had told her that he was cruel and domineering and that all his patience, all
his quiet aloofness only covered the steel of a will which she would come in
time to know too well. She said that in the end he would do his best to
destroy her, not alone as a musician but as a woman. And Ellen listened
quietly, secure against it all in the knowledge of the new duty that lay
before her. It was not until Rebecca in a perfect debauch of fury screamed at
her, “He is marrying you only to break your will ... to destroy you. It is that
which lies behind it all.... A conflict.... I know.... A conflict. He has wanted
it all these years,” that Ellen grew white and terrifying and told her to go.
“I never want to see you again,” she said. “I am grateful for what you
have done, but you cannot arrange all my life for me. What you say is a
lie.... It isn’t true. You say it all because you can no longer plan my whole
life.”
So Rebecca had gone, her bright ferret eyes red and savage. On the long
stairs she met Callendar coming in but she did not so much as glance at
him. In her heart she had not yet yielded the victory. She would defeat him
in the end. She would let him defeat himself, for she knew he was certain to
do it.

It was de Cyon himself who arranged the transfer of Callendar to the

African service, and so it happened that they went to Tunis for the
honeymoon to a villa on the outskirts of the city which belonged to one of
Thérèse’s Greek cousins, a man who served as head of the Mediterranean
banks of Leopopulos et Cie. Ellen wrote to them regularly, letters which
were like all the others she had ever written her mother since that first one
from the Babylon Arms, restrained, careful and filled with a host of details
from which one could gather nothing, and at the end always the same
comment on the weather and the beauty of their garden with a brief line to
the effect that “we are well and happy.”
In the Rue Raynouard, Gramp lived the same life that he had lived for
thirty years. He had his books (for Hattie was rich now and expense no
longer mattered) and he had his rocking chair placed absurdly among the
Empire furniture of the room which Lily had given him. Nothing had
changed save that his windows looked out upon a garden laid out by Le
Nôtre and that he could hear the whistles of the boats on the Seine and that
he went sometimes afoot on solitary expeditions through the neighboring
streets, once as far as the Invalides. It was his habit to steal away secretly
through the gate in the garden wall leading into the Rue de Passy. He
remained inscrutable, uncommunicative and aloof, save with Jean for whom
he displayed a fancy. And none of them knew that the thing he was looking
for on these solitary meanderings was a youth which had returned to him
now with an unearthly clarity, though there were moments when he was
childish and could not remember that he was in Paris or what had happened
to him only yesterday.
And Hattie, living now with Lily, began slowly to regain her interest in
life. She took to inspecting the big house room by room to see that it was
properly cared for; she quarreled in a stifled, incoherent fashion with
Augustine and the other servants; she fussed about the garden, insensible to
its beauty, and interested only in its order. She even undertook after a time
to do the marketing herself when she discovered with horror that the
shopkeepers paid old Mélanie the housekeeper a commission on what she
purchased.
So Lily, for a third time, turned over the possession of her house to
another. Madame Gigon had once treated it as her own and after her César
and Ellen had quarreled over it. And now, willingly, she delivered it into the
keeping of Hattie who had greater need of it than any of the others. She told
the servants that they must not mind Madame Tolliver’s eccentric behavior
and she made up to old Mélanie the amount of her commissions. But even if
she had not done these things, they would not have left her, for Lily
understood servants and had a way with them. Old Mélanie had been with
her for more than twenty years, since Lily had come to Madame Gigon, a
little frightened but resolved, none the less, never to marry Jean’s father.
 62

S ABINE, in her defeat, did not complain. In all the business of the
divorce, she conducted herself as she had always done, with an amazing
control; so that no one, not even Thérèse, was able to discover whether
she was willing or not to release the pretense of a possession she had held
over Callendar for so many years. They talked it over quite calmly,
arranging all the details in the most business-like and efficient fashion,
under the guidance of that short, frumpy, powerful old woman, Thérèse,
who appeared to know the law as thoroughly as she knew the world of
banking. There was no word spoken in anger or in haste. The withdrawal of
Sabine from the position of wife was executed with as superb an air of
indifference as her entrance into the rôle.
“I want no settlement and no allowance,” she had said as the three of
them sat about the tea table in the small sitting room of the house in the
Avenue du Bois. “Whatever you care to do for little Thérèse is, of course,
your own affair. She is yours as much as mine. (A lie, she thought, because
they did not care for her at all.) I have all I want.”
And the leave-taking had been like the departure of a woman from the
office of her lawyer. There was no anger and there were no tears. Sabine
rose and said, “I will go now.... I have taken a house in the Rue Tilsit. I shall
be there in case you want me. I do not know the telephone but I will send it
to you.”
Thérèse bent over the table and, gathering up the papers with her fat
glittering fingers, thrust them into the reticule in which she kept her
important documents ... a moldy old bag continually in a state of confusion,
from which she was able by a sort of magic to produce on a moment’s
notice any paper she required. As she sat watching her, it occurred to Sabine
that the old woman’s Levantine blood had begun to claim her entirely. It
was not only the diamonds and emeralds which now stood in need of
cleaning; the heavy black clothes which Thérèse wore even in the hottest
weather were now sometimes stained and discolored, and she had taken to
carrying fragments of biscuits among the papers of her reticule, which she
took out from time to time and nibbled with the furtive air of a fat squirrel.
She was more near-sighted than ever and squinted up her eyes until they
became mere slits through which appeared the glitter of two tiny brilliant
lights. All the charm was slipping slowly away from her eccentricity; the
queer abrupt manner, which in the height of her power had seemed amusing
and original, was slowly turning into the queerness of an untidy old Greek
woman.
Watching her, she thought, “God willing, I shall never turn into such a
grubby old woman. I shall care for myself to the very end. I shall die,
handsomely dressed, with my hair in perfect order and with my corsets on.
She is a Levantine after all. She might be an old woman with a fruit stand in
the shadow of Brooklyn Bridge.”
(Thérèse with the glitter in her dark almond eyes, poking about in a
reticule that contained a vast fortune in securities.)
Callendar walked with her through the comic opera hallway and out to
her motor where, with a great courtliness, he saw her step in and closed the
door after her.
“Good-by,” he murmured quietly. “If there is anything you want, let me
know.”
So although for a time it had seemed that all the cards were turning up
for her, she had in the end lost her game of patience. She had lost it, she
reflected, to Ellen Tolliver whom she had neglected to respect sufficiently
—a crude, uncivilized mountebank brought in to amuse the guests in the
house on Murray Hill. What was the secret that lay behind all the mystery?

As the motor drove away, it occurred to her that the parting had been like
one between strangers. She had been to them, then, nothing at all; she might
have been a clerk employed in some branch of the Leopopulos bank, a
creature who had been of use to them and whom they sent away when her
usefulness was ended, willing to pension her if she desired it, like an old
family employee. More than twelve years she had given to them ... years in
which she tried, desperately, heart-breakingly to establish some bond that
was too strong to be broken in this cold, matter-of-fact fashion. More than
twelve years she had struggled against something which was stronger, far
stronger, than her own will and self-possession. And now they sent her
away without more than a formal good-by.... Thérèse had her fortune still,
vaster than it had ever been. Nothing else mattered.
 She took out the mirror from the side of her motor and fell to examining
her face. Here at least the twelve years had not taken the toll that might
have been expected. There was no gray in the brick-red hair that lay under
the small, chic gray hat. The narrow intelligent eyes, set close together,
were as bright as they had ever been, and the white skin, like the thick
petals of a camelia, was as perfect as ever beneath the superbly disguised
powder and rouge. She touched the tip of her long nose with an
immaculately gloved finger, and it occurred to her that the face which
looked out of the tiny rectangle of glass was a mask, really,—an admirably
fashioned mask which concealed effectively a turbulence none would ever
have imagined lay beneath it. They managed things better in these days:
once she would have been expected to retire from the field with a broken
heart, to exploit, as it were, her own suffering; to swoon and weep ... like
Lady Byron.
She looked, she felt, remarkably young; but not young enough. She
could not, she thought, begin all over again; there was not time. She was
past forty now. She might marry again ... a man her own age or older, but
that would not be the same. She had given what youth she possessed
(beneath that hard, controlled exterior) to Callendar and Thérèse. There was
not a chance of her ever being young in the way she had once been, of
loving with a fierce abandon that her pride had forced her to conceal. (She
fancied that they had never discovered how much and how shamefully she
had loved him, yet she could not be certain. Probably he knew this too.)
She put away the mirror and, leaning back, fell to thinking, with all her
cold honesty, that she would even return to him now if he so much as lifted
a finger in her direction. There had been in all their life together no memory
of a violent scene, no memory of blows or accusations ... nothing about
which she could build up a hatred or sense of repulsion. There had been
nothing since little Thérèse was born save that aloof, courteous indifference
which it had been impossible to shatter. And for a time she tried to imagine
what would have happened if once—only once—he had for a moment
melted and behaved toward her as if she had been more than a mere
institution, more than a wife whom one protected and to whom one was
always courteous.
And old Thérèse.... Once Sabine had fancied that they were friends.
They had been, she remembered, congenial, almost alike in their point of
view, in the angle from which they looked out upon the world. And then
Thérèse had slipped away, slowly, imperceptibly in a fashion that it was
impossible to define. There had been no quarrel, no bandying of words, yet
they had come somehow to hate each other, coldly and with an ironic
polish. She knew what it was that had come between them. It was that
fortune and the need of an heir. And now in the end Thérèse was becoming
slowly an untidy, disgusting old Levantine woman helpless in the power of
her obsession.
If she had not married Callendar she might have been a friend even now,
not alone of Thérèse but of Callendar himself. But that would have been
unbearable ... much worse than this. At least in this there was a sense of
finality.
So she tried as she had tried many times before, to pull those twelve
years apart and pick from among the ruins the elements which had been the
heart of her passion for him; but she found it impossible. She could not say
why she would have returned to him now if he had asked her. Over all the
years there hung a faint aura of evil (an evil which she told herself was not
evil at all, but simply seemed so because she had been brought up to believe
that sort of love was evil). It was desire which she felt, perhaps nothing
more than that; yet it was, she was certain, not such a simple and
uncomplicated thing. It was sinister, perhaps entangled in all her passion for
knowing what people were, for taking them apart (she smiled to herself) to
look at the works. No, this mystery was quite beyond her....
So (she thought) in the end she had not been able to compete with Ellen
Tolliver. He would have her now, as he had always wanted to have her. She
(Sabine) had then not been so wrong in the instinct that led her, years
before, to call at the house in Rue Raynouard. There had been nothing to
discover, and yet everything. What was true now of Callendar and Ellen
Tolliver was true then, as they sat in the long beautiful drawing-room, just
as true as it had been in the days when the girl had come to the house on
Murray Hill. It was only that they themselves had changed and here (she
thought almost with satisfaction) might lie the seeds of one more disaster.
For Lilli Barr could not possibly be the same as the awkward, obscure Ellen
Tolliver, and Callendar had hardened slowly in all the qualities which made
him impossible. Ellen Tolliver would not submit to the unhappiness she
herself had known; Ellen Tolliver would not wait patiently to achieve her
own desire. She was capable of stormy scenes; she had clearly a genius for
success, for having her own way. He had, perhaps, in all his watching never
discovered this. And yet, as she thought it over and over on the drive to the
Rue Tilsit, it occurred to her that it might be just this and nothing more that
was the very core of that inexplicable, persistent attraction between them.
Lilli Barr ... Lilli Barr ... Lilli Barr.... She kept repeating the name to
herself. She still felt no resentment. If she herself could not have Callendar,
there was no reason why Lilli Barr should not have him. There was, she
knew, nothing more to be done.
The voice of Amedé, the driver, roused her as he opened the door. She
stepped out, bade him wait for orders, and turning, she saw little Thérèse
standing in the window with the governess. It reminded her that she must
see Thérèse’s friend Ella Nattatorini about the lease for the house at
Houlgate.... The sea would do little Thérèse good. And there were servants
to be engaged and the packing to be done....
The ocean of small things which made it possible to endure unhappiness
rose and swept over her.
 63

T HE news of the wedding came to Sabine the following autumn while

she was staying in Newport. Even the war had not crowded out of the
journals an event of such interest. The bride, she read, was well known
to the public as a pianist. She had described herself as Ellen Tolliver,
American by birth, age thirty-four years. (It was the first time that the world
knew Lilli Barr was American, for Rebecca and the forgotten
Schneidermann had done their work well.) The bridegroom was prominent
and the member of many clubs, the last of his family, and had not lived in
America for more than ten years. He was a captain in the French army and
would be stationed in Tunis where they were to spend the honeymoon.
Laying aside the Times and resuming her breakfast, she discovered that
her only response to the news was one of shock at the haste with which the
wedding had followed the divorce. It was almost as if they said that all
these years she had stood between them, and now that Callendar was free,
they must lose no time. Vaguely she felt that she should feel insulted. It was
not until evening, when she drove over to dine with Mrs. Champion at The
Cedars, that the sense of depression abated a little.
It was a gloomy place—the Cedars—built in the Seventies in the ornate
style in favor at that time, and the presence of Mrs. Champion and the
Virgins did nothing to raise the tone. Janey and Margaret (it seemed to her
when she saw them in the dark cool rooms that she had known them
always) were, as she calculated it, now forty-two and forty-five respectively
and had reached the stage in which any spark that may have dwelt within
their narrow-chested frames was now sublimated into an interest in garden
clubs and work among the sailors. Things had changed ... enormously, but
Janey and Margaret had gone on and on, living in the gloomy Cedars with
their mother, perpetually shocked and stimulated by the stories of the oil
magnates and financial adventurers who had taken possession of the
Casino. It was these stories which provided the opening barrage of
conversation at dinner.
“There is one woman who they say gives enormous parties,” Janey told
her at dinner, “who was once the cook for a cousin of Mrs. Mallinson.”
 They assured her, although she knew it well enough, that Newport was
not the same. It had lost its tone; and in losing it (thought Sabine) it had left
Mrs. Champion and the Virgins far behind. Bishop Smallwood, the Apostle
to the Genteel, who came sometimes to spend a week with his “wa’am
friend” Mrs. Champion, shared their disgust on Sabine’s right and
expressed properly outraged sentiments.
If America were anything, Sabine thought, over her guinea fowl, it was
change ... change ... change. And God help those who didn’t keep up with
it! All the conversation gave her a curious sense of having passed poor
Janey and Margaret and the Apostle and left them far behind. They seemed
very far away. She felt that she was being kind to them in having come to
dine at The Cedars. And once Mrs. Champion’s word had been law in that
tight little world which was now exploded, leaving them stranded, remote
and helpless and pitiful, pretending all the while that it was their world,
after all, which really counted.
She knew that they would find a bitter triumph in the news that had
come with the morning Times, for they could not have forgotten how she
stole Richard Callendar (by the lucky turn of events which they would
never know) from under the noses of all of them. There had been so little
excitement in their lives; certainly they had not forgotten, certainly they
would not miss an opportunity for which they had waited so long. Yet they
seemed so remote and negligible to her that she did not even wince when at
last Mrs. Champion sidled up to the subject.
She was able to tell them and Bishop Smallwood, who in the decline of
the season was fairly panting for gossip, that Lilli Barr was the same girl
who had played at that scandalous party of Thérèse Callendar’s. (Did they
remember the naked Javanese—or was it Senegalese—dancer? asked Mrs.
Champion. She had commanded Janey and Margaret to shield their faces
with their fans). Lilli Barr was the same girl with whom Richard Callendar
had lunched so many times in the open window at Sherry’s. She saw fit to
pass over the implication, thrust in slyly by Mrs. Champion, that he was
making the girl, after so many years, an honest woman. Because she herself
did not really know.
And speaking of the divorce, she remarked brazenly, “It was all settled
without difficulty. I knew that he was planning to marry her. We talked it
over and thought it the best solution.”
 At which Mrs. Champion shook her head and made a clucking sound to
indicate, as clearly as she dared, that the cold-blooded behavior of Sabine’s
generation in such matters was obscene and immoral. And the Apostle to
the Genteel, in obeisance to his high church opinions and his disapproval of
divorce, looked gravely and silently into the depths of his sherbet, but with
an air of believing that there was much to be said on both sides. (It would
not be wise to offend so rich and fashionable a woman as Sabine Callendar.)
Janey and Margaret only stared at her, with the round, stupid eyes of little
girls.
And when she left (a little after nine when she could endure the party no
longer) Mrs. Champion was able at last to deliver the blow which she had
held in reserve all the evening. As they stood in the porte cochère waiting
for Sabine’s motor to come up, she murmured under the protection of the
darkness, “I could have warned you long ago, my dear. You should never
have married Richard Callendar. If you had a mother—” She sighed and
continued. “I should never have allowed Janey or Margaret to accept a
proposal from him.”
Such a speech would have made her angry once and have aroused the
sharp tongue for which she had been famous; but it made no difference to
her now, save that it amused her to think of Janey or Margaret standing
there, a pair of Alices in Wonderland, as the wife of Richard. And she
reflected that she possessed an experience which they would never know. It
was better to have been the wife of Callendar than to have dried up in the
pale, shriveled fashion of Janey and Margaret (and they had been pretty
once, in a silly, pink and white fashion). And she knew, with a curious pang
of pity, that as they stood there in the shadow of their powerful mother, they
too were thinking the same thing. They had never escaped that dowdy,
stupid old woman....
“Good night,” she said. “I shan’t see you again. I am sailing on Friday.”
And then for the first time in her life, the wall of cold common sense
collapsed and she exposed herself deliberately to the peril of boredom. “If
you do decide to come to Paris, Janey, you must pay me a visit.” For there
was something unbearable to her in the thought of Janey, free for the first
time from the dominion of her mother, alone in Paris. It would be like a bird
set free which no longer knows how to fly....
 In the darkness Janey stammered and gushed like a girl of seventeen
(Janey who would never see forty again), “It’s kind of you, Sabine. It’s
wonderful. You see I’ve never been in Paris before without mother ... and I
wouldn’t know just what to do ... I’ll come.” And she subsided into a chaos
of maidenly gurglings.
But as Sabine drove away from the barren shadows of the Cedars, she
reproached herself for having succumbed so weakly. Something had
happened to her. A year ago she would not have done such a stupid thing....
“Perhaps,” she thought, above the distant roar of the surf, “I am growing
old....”

As the months passed and she returned to Paris—a Paris gay and gaudy
with the excitement of the last days of the peace conference—she came to
understand the satisfaction which lies of knowing that a thing is finished.
She would no longer go through the torture of seeing Callendar day after
day, always at hand and yet remote as the summit of a cold mountain peak.
All that was over, finished; and in the sense of finality there was peace.
Until now she had never known how terribly the monstrous house in the
Avenue du Bois had oppressed her. It was only since she had her own house
in the Rue Tilsit, a house filled with all the exquisite things she cherished
and which meant so much to her, that she understood completely the torture
of the house which she had called “a sort of World’s Fair exhibit.”
For she had never, in all the years of their life together, been able to
escape from it. Always Callendar had resisted silently, quietly in the way he
had, until she had come in the end to accept the place without complaint.
She had been silent in the hope that he might appreciate her silence and her
virtue in submitting to his will. But he had simply taken it as a matter of
course. She had never been able properly to entertain because the house was
so awful that one could not even forget its shame in the hollow pretense that
it was bizarre and consequently chic. And she knew now beyond all doubt
that he liked the house. It satisfied him in the way it satisfied his mother.
And she understood that he belonged in it just as Thérèse belonged there,
more than ever since her Levantine blood had come into its own.
There in the Rue Tilsit, in her own house, among the things chosen by
her own fastidious taste, she began once more to take up her own life, to
descend from the unreal, extravagant level of the Callendars to a plane
where she might exist in her proper relation to all about her. For more than
twelve years, she came to realize, her life had not been her own, even for a
moment. It had been Callendar’s to do with as he chose.... She had been his
possession. It was only now that she was beginning again to be free....
In the beginning, after that day when she had said good-by so formally
to Richard and his mother, when all the arrangements had been completed
and Thérèse had stuffed all her papers back into her reticule, she could not
bring herself to reënter the house, even to return for the possessions—
pictures, bits of jade and silver and silk—which she had left behind her. It
was only now, long afterward, when she had come to feel the full sense of
her freedom that she considered going to fetch them.
At last, after she had been in Paris for weeks, she rang up the house and
learning from Victorine that it was empty and that no one was expected
(Thérèse was in London, Victorine told her, and Richard and Ellen still in
Tunis) she arranged to call for the things late that afternoon.
 64

I T was a cold gray afternoon in the spring when the sun, breaking through
the clouds, picked out for brief moments the faint green on the trees of the
little park in the Avenue du Bois. Side by side the white houses stood,
withdrawn a little from the street, flamboyant yet cold, ornate but barren.
Sabine, watching them from the window of her tiny motor, was thankful
again in a comfortable indefinite fashion that she had escaped from their
insufferable pomp into the tiny, exquisite house in the Rue Tilsit.
Of late she had come at times to forget all the secret misery of the twelve
years; she had been almost happy, as nearly happy as it was possible for her
to be. It seemed to her now that circumstances had been cruel. She should
have been born a man; and as a man, with a freedom from all the world of
Mrs. Champion and her Virgins, she would have turned her mind to science.
It was that sort of a mind; and it was only recently that she had come to
believe it wasted ... frittered away on tiny, nonsensical things, things which
in the end only ate into her own chance for happiness. In all her life there
had been nothing which had taken possession of her—nothing save the
barren, futile passion for her husband. Her life, she reflected, had been a
wasted one. As a man, she would have been free ... free in the same fashion
as Ellen Tolliver. She could have done as she liked, waiting upon no one. It
seemed to her that her whole life had been spent in going from place to
place, always in a tiny, expensive motor, arriving nowhere in the end. She
was neither one thing nor the other; she had fallen somewhere between the
sterility of Janey and Margaret Champion and the fierce activity of Ellen
Tolliver.
Ellen Tolliver had been free, without background, without friends, alone,
an adventuress (not at all in the evil sense) but one who had gone
unhindered toward the thing which possessed her. Perhaps Ellen Tolliver
would succeed now where she had failed. None, thought Sabine, knew the
perils which lay ahead so well as herself and the old curiosity began to
assail her; she wanted passionately to see Ellen Tolliver, to find out from
her in any fashion possible, scrupulous or otherwise, what had happened in
those months since she said good-by to Callendar and Thérèse. Perhaps
Ellen saw him more clearly than herself; perhaps she had discovered his
secret ... the nature of him. She had come to respect Ellen Tolliver.
The car halted. Amedé, neat and mustachioed, stood holding the door for
her. With an effort of will she wrapped her fur cloak about her and stepped
on to the pavement.
“Wait for me,” she said. “I may want you to carry some things. I’ll send
Victorine when I want you.”
The big ornate house had the look of a place closed and deserted; the
shutters were up and the shades drawn save in the entresol. At the door,
Victorine, who had been clearly watching for her, stood waiting with a
gleam in her eye which Sabine, from long association, was able to read. It
was a look with which Victorine triumphantly announced household
calamities. As Sabine stepped into the great hall, the housekeeper put her
finger to her mustachioed lips and murmured, “Madame Callendar is
here....” And then, with the air of turning the morsel about, she added, “The
young Madame Callendar.” And again, when her former mistress seemed
not to be sufficiently shocked, she continued, “The new Mrs. Callendar.”
For a moment Sabine stood hesitating, as if deciding whether to turn and
run; it would have been an excellent excuse for never entering the house
again. But far back in her consciousness, the old, insatiable curiosity
gnawed and gnawed.
“Why has she returned?” she asked. “Where is Monsieur Callendar?”
Victorine shrugged her fat shoulders. “I don’t know, Madame. None of
us knows anything. A cable came at noon to-day with the news that she was
arriving ... to make things ready. I telephoned you.... I sent messages. The
word came that you did not return for lunch and no one knew where you
were.” With an air of drama, she said again, “The new Madame Callendar
came in an hour ago.”
Sabine stood biting her crimson lips. If Ellen Tolliver had returned from
Tunis, it was not likely that she would be going away soon, and it would be
awkward to ask her permission to enter the house. Why had she returned?
Why had Callendar not come with her? She turned to Victorine.
“Where is she now?”
“Resting,” replied Victorine, “in the boudoir.”
 (That terrible room with the bearskin rugs and the mirrors sending back
and forth innumerable reflections, as if the place were filled with a host of
people ... a host of personalities all of whom were in the end contained
within the flesh of the on-looker.... Many persons in each of us, thought
Sabine. It was comic to think of Ellen Tolliver, so distinguished, so self-
possessed, so cold, in the midst of all that cheap demi-mondaine splendor.)
“Are my things ready?”
“I was not sure, Madame, how many things you wished to take away
with you. I got ready the things I knew. There may be others.”
Sabine made her decision. “I will come in and get them now. Say
nothing to Madame Callendar. If she’s resting, I’ll hurry away without her
knowing that I’ve come.”
She slipped a ten franc note into the insinuating palm of Victorine who
promptly said, “It’s good to see you again, Madame,” in a voice which
carried another meaning—“We would much prefer you to the new Mrs.
Callendar.”
Sabine ignored her. “And Monsieur Callendar?” she asked again.
“He did not return, Madame. Nothing was said of him.”

In the boudoir everhead Ellen lay, with her black dog by her side, staring
resentfully at the reflections. She was unable to rest. Lying on the Egyptian
chaise longue she surveyed the room and decided that she would have the
indecent mirrors taken down to-morrow. She was certain that Sabine was
not responsible for them; she suspected, out of the knowledge that had
come to her in the past six months, that they were perhaps an idea of
Callendar. They were unhealthy, she thought; all the house, for that matter,
was unhealthy, even the hall and the glimpse of the darkened drawing room
she had been able to snatch on her way up the marble stairs with the red
plush rail. It was unhealthy to be stared at, accused day in and day out by
these innumerable stupid reflections. It was, truly, an amazing house, and so
like Thérèse. Why, she wondered, had Sabine not changed it? Sabine, with
her faultless taste, her reserve, her ironic shell, must have hated it, always.
Perhaps ... perhaps she had not dared to oppose him. Perhaps he too, like his
mother, had been fond of the house. Perhaps he had looked at Sabine
(smiling with his mouth but not his eyes) and said, “We will let it rest for
the present. Some day ...” and so slipped away in that inexplicable,
unconquerable fashion he had revealed in the villa at Tunis. Perhaps.... She
began to understand a little of what Sabine’s life had been. Out of her own
short, vivid experience, she was able to reconstruct bits of it, here and there.
And Sabine had endured it for more than twelve years....
The mirrors put her nerves on edge. She loathed the reflections staring
back at her from every wall. They were like faces peering in at her ... her
own face repeated over and over again, tiresomely, for she was not vain and
wasted no time over mirrors. No, she would have them down at once. If this
was to be her home, she would not be prevented by old Thérèse or Richard
himself.
Her body ached from the fatigue of the journey from Marseilles yet it
was impossible to rest. Her mind was awake, nervous, irritable, now angry,
now frustrated, now cold and resolute, but always in its depths uncertain
and muddled in a way it had never been before. Could it be that she was
losing her grip upon life? That she was being swallowed up? Always she
had known exactly what it was she wanted, what it was she would do. But
now....
At length the restlessness became unbearable and, followed by the black
dog, she rose and set out to explore the rest of the house. She went from
room to room and returned at length to the stairway. The rooms, each one,
were associated in some way with Thérèse, with Callendar, with Sabine. In
her weariness and confusion, she could not drive them from her mind. They
tormented her as she turned down the marble steps. She kept thinking of the
night when Sabine had allowed Callendar and herself to drive home
together from the house on Murray Hill. She understood now how wise
Sabine had been, how subtle. She must have known then who it was that
Callendar loved; she must have thought that in the end Callendar would
never marry that struggling, gauche young girl who had fascinated him.
Neither of them (she thought with satisfaction) had known the strength of
that raw young girl. They had thought her, perhaps, stupid and unable to
protect herself against such a rich and glamorous lover....
Half down the stairs, in the very midst of these thoughts, she was
interrupted by the sound of voices which came from the drawing-room. The
shutters had been opened and the curtains flung back and in the twilight
which filtered through she saw dimly two figures bending over a little pile
of bric-à-brac. The one was Victorine. The other figure was familiar—she
could not say in what way. Halting for a moment she watched them and, as
they became aware of her presence, the stranger turned toward her and she
saw that it was Sabine, materialized, one might have said, out of her very
thoughts.

She would have turned back, pretending she had seen nothing (perhaps
Sabine would have hidden herself in a closet or behind a sofa, anywhere)
but it was too late now. They had seen each other; they had stood for a time
staring. It was impossible now to behave in any such idiotic fashion. Ellen
smiled and, moving on down the stairs, was certain now of what she had
suspected an hour earlier when the housekeeper greeted her—that old
Victorine was devoted to the first Mrs. Callendar and looked upon herself as
an intruder. Victorine, she fancied, had conspired to let Sabine into the
house without announcing her.
Halting only to cuff Hansi and stop his growling, she crossed the great
black and white squares of the tesselated hall and stepped into the drawing-
room. She smiled and held out her hand.
“No one told me you had come in,” she said. “It’s pleasant to see you.... I
arrived only an hour ago from Marseilles.”
She found herself taking Sabine’s hand. Their greeting was like one
between two men, old friends—a symbol of the curious understanding
which had existed between them since the very beginning. It seemed that
they were neither friends, nor enemies, but something in between. They
were always being thrown together, though neither would have said that she
sought the company of the other.
Sabine laughed, with a disarming air of honesty. “I feel a fool,” she said,
and then explained how it was she had to come in. “I took a chance of being
able to escape without your knowing it, but I am an unlucky gambler. I’ve
never had any luck. I’m sorry.” She laughed again and added, “I’ve no
doubt (indicating Victorine) that she is enjoying it all immensely.”
It was true. Victorine stood riveted to the floor, her eyes bright with
curiosity. Clearly she was confused and annoyed that they spoke English,
which she could not understand.
“I’ll go then,” continued Sabine. “I shan’t steal anything which doesn’t
belong to me.”
 At this Ellen laughed. “I’ve seen nothing in the house that you mightn’t
steal ... gladly, for all of me.”
“The boudoir ...” murmured Sabine with understanding as she gathered
up her parcels. She might have added, “Callendar and Thérèse think it a
beautiful house. It suits them.” But because she knew the remark would
have a feline sound, she kept silent. Besides it was probable that Ellen
already knew it, perfectly. She bade Victorine summon Amedé and when
the housekeeper was gone, Ellen moved a little nearer and said in a low
voice, “You mustn’t go. You must stay for a little time.... Stay for a cup of
tea.”
But Sabine declined, protesting. “No.... I’ve a score of errands. I really
must go ... and honestly it seems to me an absurd situation.”
Ellen laid one hand on her shoulder and, looking at her closely, repeated,
“You must stay.... I must talk to some one.... There is so much to discuss.”
Slowly Sabine put down her parcels, subdued once more by the old
curiosity. (How could she resist the promise of such revelations?) Amedé
appeared to carry away the larger bundles and she said to him, “Wait for
me. I’m having tea with Mrs. Callendar.”
And the eyes of Amedé grew as bright, as filled with curiosity as those
of Victorine. In the hallway the housekeeper said to him with a grimace,
“These Americans! What a cold blooded lot! The first wife and the second
having tea in the husband’s house!”

In the little sitting room where a year ago Thérèse had swept the papers
from the table into her untidy reticule, Sabine and Ellen settled themselves
to talk, Ellen looking worn and tired, as if a part of her tremendous spirit
had been subdued or had slipped away from her, Sabine refreshed, worldly,
elegant, mistress of herself ... the Sabine who had existed in the first days of
the house on Murray Hill. The odd sense of comradeship persisted. It was
the same spirit that had united them on the morning, long ago, when Sabine
called at the Rue Raynouard, arriving as an enemy and departing as a
friend. (She had been right in the instinct that led her into that call. Ellen
belonged to him now, after all those years, as much of her as any mere
process of law could deliver into his hands.)
It was Victorine who broke the precedent of fifteen years by bringing the
tea with her own hands. Victorine, the housekeeper, the head of the entire
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