A method of applying nonlinear program to solve optimal control problem of lunar probe soft landing under finite thrust is studied. Based on Pontryagin maximum principle

the lunar soft landing problem is transformed into a two-point boundary value problem. Considering bound condition and transversality condition

the resulted two-point boundary value problem then is converted into parameters optimization problem aiming at the initial values of conjugate variables and the terminal time which is solved by nonlinear programming. To reduce the sensitivity of conjecturing initial values

the initial values of control variables are instead of the initial values of conjugate variables by using a transformation. The result of the simulation demonstrates the proposed design scheme is simple and effective.