My Network Provider in the UK (EE) will not allow any data connections which start outside the network. This means that the OpenVPN solution will not work as external clients cannot make the incoming connection.

Is there a way to make the router act as a VPN client, so that it makes the initial connection request?

As an interim solution I have placed a Raspberry Pi inside my router network with the OpenVPN client software installed. This works well and connects to my VPN server, but I would prefer the router to act as the client if at all possible.