In this paper, we consider two types of constrained optimal control problems of nonlinear dynamic systems, where one is optimal control problems of nonlinear dynamic systems with state continuous inequality constraint, the other is optimal control problems of nonlinear dynamic systems with control and state continuous inequality constraints. The most difficulty of solving them is that they include continuous state inequality constraint and continuous control and state inequality constraint, which restrict the control or state at every point in the time horizon, thus, these continuous inequalities include infinite inequality constraints. For these two type of constrained optimal control problems, exact penalty function methods are used to transform them into unconstrained optimal control problems, which are implemented by numerical algorithms, and convergence of them are shown. Based on these obtained optimal control theory results, they are applied to solve the con-strained optimal control problems with in spacecraft rendezvous, and control design method is further improved according to obtained simulation results. |