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Abstract
This paper is concerned with the numerical implementation and testing of penalty/MPQI algorithm for solving problems in
PDEconstrained optimization. It uses this method to transform a constrained optimal control problem int o a sequence of
unconstrained optimal control problems. It is shown that the solutions to the original constrained problem. Convergence results
are proved numerically.
Keywords: Optimal control, Exterior penalty function, parabolic Equations, MPQI technique, Distributed parameter
systems.
1. INTRODUCTION AND STATEMENT OF THE PROBLEM
This paper exposes a methodology (penalty/MPQI) allowing us to solve a constrained optimal control problem (COCP)
for parabolic systems. This methodology belongs to the class of exterior penalty methods (EPMs). A penalty function
approach commonly considered in finite dimensional optimization problem is employed. An augmented performance
index is generally considered in penalty methods for both finite optimization problem and optimal control problem. It is
constructed as the sum of the original cost function and socalled penalty functions that have some diverging
asymptotic behavior when the constraints are approached by any tentative solution. This augmented performance index
can then be optimized in the absence of constraints, yielding a biased estimate of the solution of the original problem.
The weight of the penalty functions is gradually reduced to provide a converging sequence, hopefully diminishing the
bias. The penalty function methods are computationally appealing, as they yield unconstrained problems for which a
vast range of highly effective algorithms are available. In finite dimensional optimization, outstanding algorithms have
resulted from the careful analysis of the choice of penalty functions and the sequence of weights. In this context, EPMs
have been applied to optimal control problems by Winkler [1], Xing [2], Salim [3], Farag [4,5] and others [69].
In this study, we consider the following problem of minimizing the cost functional:
} }
÷ + ÷ =
T l
dt t t v dx x f v T x y v f
0
2
0
2
0
)] ( ) ( [ )] ( ) ; , ( [ ) ( e o
o
(1)
on the set
{ } ] , 0 [ ) ( 0 , ] , 0 [ ) ( :
max min 2
T t v t v v T L t v v v V e ¬ · + < s s < e = =
subject to:
] , 0 [ ] , 0 [ ) , ( , ) , ( ) ( T l t x t x F
x
y
x
x t
y
× = O e +


.

\

c
c
c
c
=
c
c
ì
(2)
l x x x y s s = 0 , ) ( ) 0 , ( 
(3)
T t
x
t x y
x
s < =
c
c
=
0 , 0
) , (
0
(4)
T t t v t l y G
x
t x y
x
l x
s < ÷ =
c
c
÷
=
0 , ] ) ( )) , ( ( [
) , (
) ( q ì
(5)
] , 0 [ ] , 0 [ ) , ( , ) , (
1 0
T l t x t x y × e s s  
(6)
where
T l , , o
are positive numbers,
] , 0 [ ) ( , ] , 0 [ ) ( , ) ( ) , (
2 2
l L x l L x L t x F
·
e e O e ì 
are given functions. The
functions ) ( , ) ( y G x ì are continuous and their derivatives are bounded. Here ) (t e plays role of a guess for the
A Penalty/MPQI Method for Constrained
Parabolic Optimal Control Problems
M. H. FARAG
1,2
, FATHY H. RIAD
2
and W. A. HASHEM
2
1
Mathematics Department, Faculty of Science, Taif University, Hawia (888), Taif, Saudi Arabia
2
Mathematics Department, Faculty of Science, Minia University, Mina, Egypt
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solutions or a selection for the solutions: as (1)(6) could have many solutions to, we choose that one which is nearest
to ) (t e , by minimizing (1). It is proved in [10] that there is a unique weak solution to (2)(6).
The problem (1)(6) can be understood as a vibrational formulation of the inverse problem where one wishes to find the
heating ) (t e at a part of the boundary such that at the final time the temperature of the system reaches a given desired
goal ) (
0
x f . The particular case
4
) ( y y G = corresponding to StefanBoltzmann radiation condition seems to have
many applications in engineering [1112].
2. MODIFIED FUNCTIONAL AND ITS GRADIENT FORMULA
The constrained optimal control problem (1)(6) is converted to an unconstrained control problem by adding a penalty
function [13] to the cost functional (1), yielding the modified function ) , (
, k k
r v
o
+ as follows
, ) ( ) ( ) ( ) , (
,
v P v f v r v
k k k
+ = + ÷ +
o o
where
{ }   { }  
2
1
2 2
0
1
0 ; ) , ( max ) ( , 0 ; ) , ( max ) (   ÷ = u ÷ = u t x y y t x y y
 
} }
u + u =
l T
k
dt dx y y r v P
0 0
2 1
) ( ) ( ) (
o
and , 2 , 1 , 0 = > k r
k
are positive numbers and · + =
· ÷
k
k
r lim .
The gradient of the cost functional with respect to the control variable can be efficiently calculated by means of the
adjoint system. Let us now begin with the strong version of the Lagrangian, where we adjoin all constraints by separate
multipliers , ) 0 , ( , ) , ( , ) , 0 ( , ) , ( x t l t t x O O O O , and perform partial integrations with respect to space and time.
} }
÷ + ÷ = O
T l
dt t t v dx x f v T x y t x y L
0
2
0
2
0
)] ( ) ( [ )] ( ) ; , ( [ ) , , , ( e o
  dt dx y y r t x t x F
x
y
x
x t
y
l T
k } }
(
(
¸
(
¸
u + u + O
)
`
¹
¹
´
¦
+


.

\

c
c
c
c
+
c
c
÷ +
0 0
2 1
) ( ) ( ) , ( ) , ( ) ( ì
 
} }
O
c
c
+ O ÷ +
T l
dt t
x
t y
dx x x x y
0 0
) , 0 (
) , 0 (
) 0 , ( ) ( ) 0 , ( 
dx t l
x
t l y
x t v t l y G
T
) , ( }
) , (
) ( )] ( )) , ( ( [ {
0
O
c
c
÷ ÷ ÷ +
}
ì q
(8)
The vibrational of the functional ) , ), , ( , ) , ( ( t x t x t x y L O is as follows
} } }
} }
}
} }
}
A O + A O + A +
A
(
¸
(
¸
)
`
¹
¹
´
¦
c
u c
+
c
u c
+


.

\

c
O c
c
c
+
c
O c
+
A
)
`
¹
¹
´
¦
O
c
c
+
c
O c
+ +
A + A ÷ +
A ÷ = O A
l T l
l T
k
l
T T
l
dx x y x dx T x y T x dx v T x y
dt dx t x y
y
y
y
y
r
x
x
x t
dt t l y t l
y
t l y G
x
t l
l
dt t v dt t v t t v
dx v T x y x f v T x y t x y L
0 0 0
2
0 0
2 1
0
0 0
2
0
0
) 0 , ( ) 0 , ( ) , ( ) , ( )] ; , ( [
) , (
) ( ) (
) (
) , ( ) , (
) , ( ( ) , (
) (
)] ( [ ) ( )] ( ) ( [ 2
) ; , ( )] ( ) ; , ( [ 2 ) , , , (
ì
q ì
o e o
(9)
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In (9), differentiation with respect to the state ) , ( t x y and additional partial integration with respect to space and
time lead, by means of usual vibrational arguments, to the following adjoint system
O e
)
`
¹
¹
´
¦
c
u c
+
c
u c
÷ =


.

\

c
O c
c
c
+
c
O c
) , ( ,
) ( ) (
) (
2 1
t x
y
y
y
y
r
x
x
x t
k
ì
(10)
l x x f v T x y T x s s ÷ = O 0 , ] ) ( ) ; , ( [ 2 ) , (
0
(11)
T t
t l
y
t l y G
x
t x
x
x
t
l x
s <
¦
¦
)
¦
¦
`
¹
O
c
c
=
c
O c
÷
=
c
O c
=
0 ,
) , (
)) , ( ( ) , (
) (
0
) , 0 (
q ì
(12)
By helping the obtaining adjoint system (10)(12), we are going to give the following theorem for computing the
gradient of the modified functional ) , (
, k k
r v
o
+ .
Theorem 1
Let the above conditions of the optimal control problem (2)(5) and (7) hold. Then the functional ) , (
, k k
r v
o
+ is
Freshet differentiable ] , 0 [
) , (
2
,
T L
v
r v
k k
e
c
+ c
o
. Moreover, Freshet derivative at ) (t v of the functional
v
r v
k k
c
+ c ) , (
, o
can be defined by the solution ) ( ) , (
0 , 1
2
O e O W t x of the adjoint problem (10)(12) as follows:
v
t v t x t x y H
v
v
r v
v
k k
c
O c
÷ = + =
c
+ c
) ) ( , ) , ( , ) , ( (
) (
) , (
, o
(13)
where ) ) ( , ) , ( , ) , ( ( t v t x t x y H O is defined by
{ }   ) ( ) , ( ) ( ) ( ) ) ( , ) , ( , ) , ( (
2
t v t l t t v t v t x t x y H O + ÷ ÷ ÷ O q e o (14)
Proof: The proof is similar to that of Theorem 5 [14].
3. NUMERICAL PROCEDURE
3.1 PQI Technique
The partial quadratic interpolation method [15] or shortly (PQI) technique may be considered as a secondorder
method, the principal idea of this method is to approximate the objective function ) (u f about certain point
r
u by
second degree polynomial in the space
n
9 ,from which one may determine approximations to the gradient and
Hessian of this function as )] ( [
r
n
u b and )] ( [
r
n
u A respectively. One then extract a positive definite matrix )] ( [
r
p
u A
from the Hessian matrix )] ( [
r
p
u A in the subspace
n p
9 c 9 , using a particular application of the cholesky
technique. The following flowchart of the Partial Quadratic Interpolation Technique is as follows in Figure 1
and
r r
u x = .
3.2 MPQI Technique
For Modified PQI [16] , in PQI technique we set ,
4
1
,
2
1
, 1 = u and we take the first value of u which satisfies the
condition
n
r r r
u u f u f 9 e <
+
, ) ( ) (
1
. However, the value of u taken by this way may not be the optimal value of
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u . Since there is a great possibility that the optimal value
*
u lies between these values, i.e. between ,
4
1
,
2
1
, 1 = u
to get the optimal step size
*
u we suggest the following modification:
Let us approximate ) ( ) (
r r
u u f t f o u + = by a polynomial of second degree ) (
2
u p over the interval [0,1] as
following:
 



.

\

(
(
¸
(
¸

.

\

= =
2
1
0
2
2
2
1 ) ( ) (
f
f
f
L
h h
p f
u u
u u
(15)
where h is the interval of the interpolation, 1 ,
2
1
, 0 , ) (
2
= + = i u i u f f
r r
i
o and
2
L is the Lagrange matrix where



.

\

÷
÷ ÷ =
1 2 1
1 4 3
0 0 2
2
1
2
L
(16)
from (21) and (22) we have



.

\







.

\

÷
÷ ÷
(
(
¸
(
¸

.

\

=
2
1
0 2
2
1
1
2
1
2
1
2
3
2
0 0 1
1 ) (
f
f
f
h h
p
u u
u
(17)
then, ) 4
2
1
(
2
)
2
1
2
3
2
(
1 ) (
2 1 0
2
*
2 1 0
f f f
h
f f f
h d
p d
+ ÷ + ÷ + ÷ =
u
u
u
and taking
2
1
= h we obtain
) 2 ( 4
4 3
2 1 0
2 1 0 *
f f f
f f f
+ ÷
+ ÷
= u (18)
Figure 1: Partial Quadratic Interpolation Method
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3.3 Iterative Algorithm (PMPQI) and its Convergence for COCP
The outlined of the algorithm (PMPQI) for solving the constrained optimal control problem (COCP) are as follows:
1) Given 0 , 0 , 0 , 0
*
> > > = c c
k
r k and V v
k
e
) (
.
2) At each iteration k do
Solve state system (2)(4), then find ) (.,
k
v y .
Minimize ) (
) (k
v + to find optimal control
) 1 (
*
+ k
v using PMPQI technique.
End do.
3) If c < + ÷ +
+
) ( ) (
) ( ) 1 ( k k
v v , then Stop, else, go to Step 4.
4) Set 1 , ,
*
1
) ( ) 1 (
+ = = =
+
+
k k r r v v
k k
k k
c and go to Step 2.
The following flowchart of the penalty function method combined with the Modified Partial Quadratic Interpolation
Technique (Figure 2) is as follows
:
Figure 2: Penalty Modified Partial Quadratic Interpolation Method
The following theorem represents the main contribution of the convergence theory for the control sequence, generated
by the above numerical algorithm for the unconstrained optimal control problem.
Theorem 2:
Let } {
k
v be a sequence of minimizers to the unconstrained optimal control problem problem which generated by the
above numerical algorithm for any increasing sequence of values
k
r . Then } {
k
v converge to the optimum solution
* v of the constrained optimal control problem as · + =
· ÷
k
k
r lim .
Proof: The proof is similar to that of Theorem 4 [17].
4. NUMERICAL RESULTS
In this section we illustrate PMPQI technique for the optimal control problem (7),(2)(4) with unconstrained (UOCP)
and constrained (COCP) in the following example. Let ç be a number in ] , 0 ( t . Then
) ( cos ) , (
2
x e t x y
t
ç
ç ÷
= is the solution of the problem
] , 0 [ ] 1 , 0 [ ) , ( , ) ( T t x
x
y
x
x t
y
× e


.

\

c
c
c
c
=
c
c
ì
(19)
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l x x x y s s = 0 , ) ( cos ) 0 , ( ç
(20)
T t e
x
t x y
x
x
t x y
t
x x
s < ÷ =
c
c
÷ =
c
c
÷
= =
0 , ) ( sin
) , (
) ( , 0
) , ( 2
1 0
ç ç ì
ç
(21)
1 0
) , (   s s t x y
(22)
Let ) ( sin ) ( cos ) (
2 2
4 4
ç ç ç
ç ç t t
e e t v
÷ ÷
÷ = . We see that
) ( ) , 1 (
) , (
4
1
t v t y
x
t x y
x
+ ÷ =
c
c
=
. Thus, in this example we
set
4
) ( y y G ÷ = .To test our method we set ) ( cos ) , ( ) (
2
0
x e T x y x f
T
ç
ç ÷
= = . In this example, T is set to be 1
and the space and time gird sizes are taken to be 0.05 and 0.05, respectively. To analyze the effects of the initial guess
on the reconstruction of the control function, the algorithm was run with three initial guesses functions in figures 3, 4
for UOCP and COCP respectively. We tested our algorithm for t ç = , then ) ( cos ) ( , ) (
2 2
0
4
x e x f e t v
T t
t
t ç ÷ ÷
= = .
Figure 3: Values of control function ) (t v with 3 initial guesses (UOCP)
Figure 4: Values of control function ) (t v with 3 initial guesses (COCP)
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The numerical results are given in figures 59. In figure 5 shows the estimated control function compared with the
exact one for UOCP and COCP. But in figures 6 and 7 show the values of the functional and gradient functional
) , (
, k k
r v
o
+ various iterations numbers very close to one another and close to zero.
Figure 5: Values of control function ) (t v for UOCP, COCP and exact control
Figure 6: The values of function ) , (
, k k
r v
o
+ various iteration numbers
Figure 7: The values of
v
r v
k k
c
+ c ) , (
, o
various iteration numbers
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But in Figures 8 and 9 show the comparison between the exact state results and the present numerical results for
j
i
y in h i x = and t j t = when
20
1
,
20
1
= = t h 20 at 8 = = M N for UOCP and COCP. We note that
the values of
j
i
y for COCP problem converge to exact solution more accurate than UCOP problem.
Figure 8: The values of state
j
i
y at 8 = = j i for UOCP
Figure 9: The values of state
j
i
y at 8 = = j i for COCP
References
[1] M. Winkler, The Quadratic Penalty Method for Solving ControlConstrained Optimal Control Problems,83
rd
GAMM Annual Meeting,Darmstadt,2012
[2] AQ. Xing and CH Wang, Applications of the exterior penalty method in constrained optimal control problems,
Optimal Control Applications and Methods, 10(4), 1989, 333345.
[3] M. S. Salim, Numerical Studies of Optimal Control Problems and Its Applications, Ph. D. Thesis, Assiut
University, (1990).
[4] M. H. Farag, Computing optimal control with a quasilinear parabolic partial differential equation}, Surveys in
Mathematics and its Applications, 23, 2009, 3444.
[5] M. H. Farag, A. B. Shamardan and H. H. Saleh, On an optimal control problem for a class of distributed parameter
systems, ARPN Journal of Science and Technology, Vol 3, No.12 Dec 2013.
[6] M. H. Farag, T. A. Talaat and E. M. Kamal, Existence and uniqueness solution of a class of Quasilinear Parabolic
boundary Control Problems, Cubo Math. J.,(15)2,2013, 111119.
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IPASJ International Journal of Computer Science(IIJCS)
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[9] M. H. Farag and S. H. Farag, On the derivation of gradient formulae by solving the conjugated boundary value
problem for an optimal control problem, J. Egypt. Math. Soc., 4, 1996, 2330.
[10] E. J. P. G. Schmidt, Boundary control for the heat equation with nonlinear boundary codition,J. Diff.
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[11] D. N. Hao, Methods for inverse heat conduction problems, Peter Lang, Frankfurt am Main, 1989.
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[13] S. S. Rao, Optimization: Theory and Applications, Wiley Eastern Limited, (1984).
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[15] T. M. ElGindy, M. S. Salim and A. R. Ibrahim, A modified partial quadratic interpolation method for
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[16] A. A. Radwan, Acceleration of partial quadratic interpolation technique, M. Sc. Thesis, University of Assuit,
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[17] F. Vasiliev, Methods for solving external problems, Nauka, Moscow, 1981.A. Bonnaccorsi, “On the Relationship
between Firm Size and Export Intensity,” Journal of International Business Studies, XXIII (4), pp. 605635, 1992
AUTHORS
M. H. FARAG – Professor of Mathematics (Numerical Analysis and Optimal control PDEs), Mathematics
and Statistics Department, Faculty of Science, Taif University, Hawia (P.O. 888), Kingdom of Saudi Arabia
(KSA). OR Mathematics Department, Faculty of Science, Minia University, Minia, Egypt.
Fathy H. RIAD – Lecturer of Mathematical Statistics, Mathematics Department, Faculty of Science, Minia
University, Minia, Egypt.
W. A. HASHEM  M.S. degree Student in Mathematics. He received the B.S. degree in Mathematics
Department, Faculty of Science, Minia University, Minia, Egypt. His research interests include Numerical
Analysis, Partial differential equations and Optimal control PDEs.
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