optimal control

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optimal control

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Z 1 (

ẋ = −x + u

min u2 (t)dt subject to

0 x(0) = 1, x(1) = 0

The optimal control as well as the optimal cost should be given. (10p)

Z ∞

min (x2 + u2 )dt subject to ẋ = −x + u, x(0) = 1 (1)

0

(a) Compute the optimal stabilizing feedback control and the corre-

sponding optimal cost. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3p)

(b) Compute the closed loop poles. . . . . . . . . . . . . . . . . . . . . . . . . . . . (1p)

Z T

min (x2 + u2 )dt subject to ẋ = −x + u, x(0) = 1 (2)

0

mal feedback control and the corresponding optimal cost. . (4p)

(d) Let p(t, T ) be the Riccati solution corresponding to (2), where

the final time is made explicit as an argument. Compute

lim p(t, T )

T →∞

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2p)

1

3. The path of a moving target is estimated using a radar. At a number

of time points t ∈ {1, . . . , T } measurements are taken. Each measure-

ment results in a set of nt positions Mt = {xt1 , xt2 , . . . , xtnt }. One of

the positions in Mt is the correct position of the target at that time,

whereas the other time points correspond to scatters from other ob-

jects. The goal is to determine which set of positions that give the

most likely positions of the object.

The target is moving according to a Gaussian distribution. Given that

the position of the target is xt at time t, the probability distribution

of the target in time t + 1 is given by

1 1 2

p(xt+1 |xt ) = √ exp − (xt − xt+1 ) .

2π 2

−1

TY

L(x1 , . . . , xT ) = p(xt+1 |xt ).

t=1

The problem is to find the path (x1 , . . . , xT ) that has the highest like-

lihood out of the paths that are consistent with the measurements,

i.e., xt ∈ {xt1 , xt2 , . . . , xtnt } for all t = 1, . . . , T .

formulate it in terms of the log-likelihood.) . . . . . . . . . . . . . . . . (6p)

(b) Use dynamic programming to find the most likely path given the

following set of measurements (with T=4).

M1 = {2, 4},

M2 = {2, 5, 8},

M3 = {4, 6, 8},

M4 = {2, 7, 8}.

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4p)

Z ∞

min (u − x)2 dt subject to ẋ = ax + u, x(0) = x0 .

0

for the case a > −1. Determine the optimal cost. . . . . . . . . . . (6p)

(b) What is the optimal control when a < −1. . . . . . . . . . . . . . . . . . (3p)

(c) Discuss the optimal control when a = −1. . . . . . . . . . . . . . . . . . . (1p)

2

5. Consider the following optimal control problem

ẋ = −x2 + u

Z T

x(0) = 0

max x(t)dt subject to

0

0 ≤ u(t) ≤ 1

R T u(t)dt = K,

0

R

(a) Introduce the extra state y = udt. Define the Hamiltonian and

the TPBVP. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2p)

(b) Determine the possible optimal controls u. . . . . . . . . . . . . . . . . (3p)

(c) Draw the phase diagram in (x, λ) and study it to determine the

possible switching sequences. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .(3p)

(d) Find T > K > 0 such that the control

(

1 t<K

u(t) =

0 t≥K

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