CALCULUS OF VARIATIONS: INTRODUCTION

Optimal Control: Calculus of Variations 1

Function and Functional
Function: A variable x is a function of a variable quantity
t, (written as = ()), if to every value of over a
certain range of t there corresponds a value .
Example: = 2
2
+1,
1
,
2
=
1
2
+
2
2


Functional: A variable quantity is a functional
dependent on a function (), written as = (()), if to
each function (), there corresponds a value .

Functional depends on several functions.
Optimal Control: Calculus of Variations 2
Increment of a function
(, ) + ()

Example: =
1
+
2
2


1
+
1
+
2
+
2
2

1
+
2

2

=
1
+
1
2
+
2
+
2
2

1
+
2
2

=
1
+
1
2
+
2
+
2
2
+2(
1
+
1
)(
2
+
2
)
1
+
2
2

= 2
1

1
+
1
2
+2
2

2
+
2
2
+2
1

2
+2
2

1
+2
1

2

= 2(
1
+
2
)
1
+2(
1
+
2
)
2
+
1
2
+
2
2
+2
1

2

Optimal Control: Calculus of Variations 3
Increment of a functional
( , ()) + (())

Example: =

2
2
() +1

0

2 +
2
+1

0
2
2
() +1

0

= 4 +2
2

0


Optimal Control: Calculus of Variations 4
Differential of a function
= (

+) (

)
By expanding (

+) in a Taylor series at

, we get
= (

) +

+
1
2!

2
+ (

).
Neglecting higher order terms (
2
etc.):
=

=




Optimal Control: Calculus of Variations 5







Neglecting higher order terms (
2
etc.):
=

=




Differential of a function
Optimal Control: Calculus of Variations 6
Variation of a functional
(() +()) (())
Expanding = +() in a Taylor series at

:
= (()) +

() +
1
2!

2

2
+ (()).

= +
2
+ .
where,
=

(),
2
=
1
2!

2

2




Optimal Control: Calculus of Variations 7
Optimum of a function
Definition: A function () is said to have a relative optimum at
the point

if there is a positive parameter such that for all

points in a domain that satisfy |

| < , the increment of

() has the same sign (positive or negative).
=

0: Minimum
=

0: Maximum

If is limited or takes small value for which the above
condition satisfies then (

) is a relative local optimum.

If the relations are valid for arbitrarily large , then (

) is
said to have a global absolute optimum.
Optimal Control: Calculus of Variations 8
Maximum and Minimum of a function
Optimal Control: Calculus of Variations 9
Optimum of a functional
Definition: A functional is said to have a relative optimum at

if there is a positive such that for all functions in a

domain , which satisfy |

| < , the increment of J has

the same sign.
=

0: Minimum
=

0: Maximum

If is limited or takes small value for which the above
condition satisfies then (

) is a relative local optimum.

If the relations are valid for arbitrarily large , then J(

) is said
to have a global absolute optimum.
Optimal Control: Calculus of Variations 10
Optimum of a functional
Theorem: For

() to be a candidate for an optimum, the

(first) variation of must be zero on

(), i.e., (

(), ())
= 0 for all admissible values of ().
This is a necessary condition. As a sufficient condition for
minimum, the second variation
2
> 0, and for maximum

2
< 0.
Optimal Control: Calculus of Variations 11