This paper presents a constrained deep adaptive dynamic programming (CDADP) algorithm to solve general nonlinear optimal control problems with known dynamics. Unlike previous ADP algorithms, it can directly deal with problems with state constraints. Both the policy and value function are approximated by deep neural networks (NNs), which directly map the system state to action and value function respectively without needing to use hand-crafted basis function. The proposed algorithm considers the state constraints by transforming the policy improvement process to a constrained optimization problem. Meanwhile, a trust region constraint is added to prevent excessive policy update. We first linearize this constrained optimization problem locally into a quadratically-constrained quadratic programming problem, and then obtain the optimal update of policy network parameters by solving its dual problem. We also propose a series of recovery rules to update the policy in case the primal problem is infeasible. In addition, parallel learners are employed to explore different state spaces and then stabilize and accelerate the learning speed. The vehicle control problem in path-tracking task is used to demonstrate the effectiveness of this proposed method.
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