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    Donald E. Kirk-Optimal Control Theory - An Introduction-Dover Publications (2004) PDF

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    a ee Oe ee Oe ee rr ee ee ee ee OPTIMAL CONTROL THEORY AN INTRODUCTION Ha a a ee oe Optimal Control Theory An Introduction Donald E. Kirk Professor Emeritus of Electrical Engineering San José State University San José, California Dover Publications, Inc. Mineola, New York Copyright Copyright © 1970, 1998 by Donald E. Kirk All rights reserved. Bibliographical Note This Dover edition, first published in 2004, is an unabridged republication of the thirteenth printing of the work originally published by Prentice-Hall, Inc., Englewood Cliffs, New Jersey, in 1970. Solutions Manual Readers who would like to receive Solutions to Selected Exercises for this book may request them from the publisher at the following e-mail address: editors@doverpublications.com. Library of Congress Cataloging-in- Publication Data Kirk, Donald E., 1937- Optimal control theory : an introduction / Donald E. Kirk. p. cm. Originally published: Englewood Cliffs, N.J. : Prentice-Hall, 1970 (Prentice- Hall networks series) Includes bibliographical references and index. ISBN 0-486-43484-2 (pbk.) 1, Control theory. 2. Mathematical optimization. I. Title. QA402.3.K52 2004 003'.5—dc22 2003070111 Manufactured in the United States of America Dover Publications, Inc., 31 East 2nd Street, Mineola, N.Y. 11501 Preface Optimal control theory—which is playing an increasingly important role in the design of modern systems—has as its objective the maximization of the return from, or the minimization of the cost of, the operation of physical, social, and economic processes. This book introduces three facets of optimal control theory—dynamic programming, Pontryagin’s minimum principle, and numerical techniques for trajectory optimization—at a level appropriate for a first- or second-year graduate course, an undergraduate honors course, or for directed self-study. A reasonable proficiency in the use of state variable methods is assumed; however, this and other prerequisites are reviewed in Chapter 1. In the interest of flexibility, the book is divided into the following parts: Part I: Part II: Part III: Part IV: Part V: Describing the System and Evaluating Its Performance (Chapters 1 and 2) Dynamic Programming (Chapter 3) The Calculus of Variations and Pontryagin’s Minimum Principle (Chapters 4 and 5) Iterative Numerical Techniques for Finding Optimal Controls and Trajectories (Chapter 6) Conclusion (Chapter 7) Because of the simplicity of the concept, dynamic programming (Part ID is presented before Pontryagin’s minimum principle (Part III), thus enabling v vi Preface the reader to solve meaningful problems at an early stage, and providing motivation for the material which follows. Parts II and III are self-contained; they may be studied in either order, or either may be omitted without affect- ing the treatment in the other. The problems provided in Parts I through IV are designed to introduce additional topics as well as to illustrate the basic concepts. My experience indicates that it is possible to discuss, at a moderate pace, Chapters 1 through 4, Sections 5.1 through 5.3, and parts of Sections 5.4 and 5.5 in a one-quarter, four-credit-hour course. This material provides adequate background for reading the remainder of the book and other literature on optimal control theory. To study the entire book, a course of one semester’s duration is recommended. My thanks go to Professor Robert D. Strum for encouraging me to undertake the writing of this book, and for his helpful comments along the way. I also wish to express my appreciation to Professor John R. Ward for his constructive criticism of the presentation. Professor Charles H. Rothauge, Chairman of the Electrical Engineering Department at the Naval Postgraduate School, aided my efforts by providing a climate favorable for preparing and testing the manuscript. I thank Professors Jose B. Cruz, Jr., William R. Perkins, and Ronald A. Rohrer for introducing optimal control theory to me at the University of Illinois; undoubtedly their influence is reflected in this book. The valuable comments made by Professors James S. Demetry, Gene F. Franklin, Robert W. Newcomb, Ronald A. Rohrer, and Michael K. Sain are also gratefully acknowledged. In proofreading the manuscript I received generous assistance from my wife, Judy, and from Ledr. D. T. Cowdrill and Ledr. R. R. Owens, USN. Perhaps my greatest debt of gratitude is to the students whose comments were invaluable in preparing the final version of the book. DONALD E. Kirk Carmel, California Contents PART I: DESCRIBING THE SYSTEM AND EVALUATING ITS PERFORMANCE Introduction 3 1.1 Problem Formulation 3 1.2 State Variable Representation of Systems 16 1.3 Concluding Remarks 22 References 23 Problems 23 The Performance Measure 29 2.1 Performance Measures for Optimal Control Problems 29 2.2 Selecting a Performance Measure 34 2.3 Selection of a Performance Measure: The Carrier Landing of a Jet Aircraft 42 References 47 Problems 47 PART II: DYNAMIC PROGRAMMING Dynamic Programming 53 3.1. The Optimal Control Law 53 3.2 The Principle of Optimality 54 vil viii Contents 3.3 Application of the Principle of Optimality to Decision-Making 55 3.4 Dynamic Programming Applied to a Routing Problem 56 3.5 An Optimal Control System 58 3.6 Interpolation 64 3.7 A Recurrence Relation of Dynamic Programming 67 3.8 Computational Procedure for Solving Control Problems 70 3.9 Characteristics of Dynamic Programming Solution 75 3.10 Analytical Results—Discrete Linear Regulator Problems 78 3.11 The Hamilton-Jacobi-Bellman Equation 86 3.12 Continuous Linear Regulator Problems 90 3.13 The Hamilton-Jacobi-Bellman Equation—Some Observations 93 3.14 Summary 94 References 95 Problems 96 PART Ill: THE CALCULUS OF VARIATIONS AND PONTRYAGIN’S MINIMUM PRINCIPLE The Calculus of Variations 107 4.1 Fundamental Concepts 108 4.2 Functionals of a Single Function 123 4.3 Functionals Involving Several Independent Functions 143 4.4 Piecewise-Smooth Extremals 154 4.5 Constrained Extrema 161 4.6 Summary 177 References 178 Problems 178 The Variational Approach to Optimal Control Problems 184 5.1 Necessary Conditions for Optimal Control 184 5.2 Linear Regulator Problems 209 5.3 Pontryagin’s Minimum Principle and State Inequality Constraints 227 5.4 Minimum-Time Problems 240 5.5 Minimum Control-Effort Problems 259 5.6 Singular Intervals in Optimal Control Problems 291 5.7 Summary and Conclusions 308 References 309 Problems 310 3. 4. PART IV: ITERATIVE NUMERICAL TECHNIQUES FOR FINDING OPTIMAL CONTROLS AND TRAJECTORIES Numerical Determination of Optimal Trajectories 6.1 Two-Point Boundary-Value Problems 330 6.2 The Method of Steepest Descent 331 6.3 Variation of Extremals 343 6.4 Quasilinearization 357 6.5 Summary of Iterative Techniques for Solving Two-Point Boundary-Value Problems 371 6.6 Gradient Projection 373 References 408 Problems 409 PART V: CONCLUSION Summation 7.1 The Relationship Between Dynamic Programming and the Minimum Principle 417 7.2 Summary 423 7.3 Controller Design 425 7.4 Conclusion 427 References 427 APPENDICES Useful Matrix Properties and Definitions 429 Difference Equation Representation of Linear Sampled-Data Systems 432 Special Types of Euler Equations 434 Answers to Selected Problems 437 Index 443 ix 329 417 429 Describing the System and Evaluating Its Performance Introduction Classical control system design is generally a trial-and-error process in which various methods of analysis are used iteratively to determine the design parameters of an “acceptable” system. Acceptable performance is generally defined in terms of time and frequency domain criteria such as rise time, settling time, peak overshoot, gain and phase margin, and bandwidth. Radi- cally different performance criteria must be satisfied, however, by the com- plex, multiple-input, multiple-output systems required to meet the demands of modern technology. For example, the design of a spacecraft attitude control system that minimizes fuel expenditure is not amenable to solution by classical methods. A new and direct approach to the synthesis of these complex systems, called optimal control theory, has been made feasible by the development of the digital computer. The objective of optimal control theory is to determine the control signals that will cause a process to satisfy the physical constraints and at the same time minimize (or maximize) some performance criterion. Later, we shall give a more explicit mathematical statement of “the optimal control prob- lem,” but first let us consider the matter of problem formulation. 1.1 PROBLEM FORMULATION The axiom “A problem well put is a problem half solved” may be a slight exaggeration, but its intent is nonetheless appropriate. In this section, we 3 4 Describing the System and Evaluating Its Performance Sec, 7.1 shall review the important aspects of problem formulation, and introduce the notation and nomenclature to be used in the following chapters. The formulation of an optimal control problem requires: 1. A mathematical description (or model) of the process to be controlled. 2. A statement of the physical constraints. 3. Specification of a performance criterion. The Mathematical Model A nontrivial part of any control problem is modeling the process. The objective is to obtain the simplest mathematical description that adequately predicts the response of the physical system to all anticipated inputs. Our discussion will be restricted to systems described by ordinary differential equations (in state variable form).t Thus, if x, (0), X(t), ..., *,(f) are the state variables (or simply the states) of the process at time t, and u, (2), U2(t), «+» Um(t) are control inputs to the process at time ft, then the system may be described by n first-order differential equations X(t) = 4,00, (9), x22), ..., x,(4), 1), 42D), «- -, Mnl(2), 1) Ka(t) = (2,1), X2(0), -- +» XA(1)s U1 (E), Ua(2), «- +s Um(A), f) (11-1) X(t) = ,(%,(2), X2(t), « «+ X(t), Hy(2), M(t), «. Unt), OF We shall define x(t) x(t) x(t) & x,(t) as the state vector of the system, and + The reader will find the concepts much the same for discrete systems (see [A-1]). t Note that x,(¢) is in general a nonlinear time-varying function a; of the states, the control inputs, and time. Sec. 1.7 Introduction u,(t) u,(t) u(t) & u,,(t) as the control vector. The state equations can then be written x) = a(x(?), ul”), 1), ( where the definition of a is apparent by comparison with (1.1-1). Car 1.1-1a) ee, oO e Figure 1-1 A simplified control problem Example 1.1-1. The car shown parked in Fig. 1-1 is to be driven in a straight line away from point O. The distance of the car from O at time t is denoted by d(t). To simplify the model, let us approximate the car by a unit point mass that can be accelerated by using the throttle or decelerated by using the brake. The differential equation is dt) = a(t) + BO, (1.1-2) where the control @ is throttle acceleration and-f is braking deceleration. Selecting position and velocity as state variables, that is, x(t) 2 d(t) and x,(t) 2 d(t), and letting > ) u(t) & a(t) and w() 2 BO), we find that the state equations become %1(2) = x2(¢) X(t) = u(t) + (0), or, using matrix notation, (1.1-3) x) = [o al x(t) + F i u(). (1.1-3a) This is the mathematical model of the process in state form. 6 Describing the System and Evaluating Its Performance Sec. 1.7 Before we move on to the matter of physical constraints, let us consider two definitions that will be useful later. Let the system be described by Eq. (1.1-la) for t € [to, t,].t DEFINITION 1-1 A history of control input values during the interval [r,, t,] is de- noted by u and is called a control history, or simply a control. DEFINITION 1-2 A history of state values in the interval [t,, t,] is called a state tra- Jjectory and is denoted by x. The terms “history,” “curve,” “function,” and “trajectory” will be used interchangeably. It is most important to keep in mind the difference between a function and the value of a function. Figure 1-2 shows a single-valued func- tion of time which is denoted by x. The value of the function at time ¢, is denoted by x(z,). x(t) Figure 1-2 A function, x, and its value at time ¢;, x(t1) Physical Constraints After we have selected a mathematical model, the next step is to define the physical constraints on the state and control values. To illustrate some typical constraints, let us return to the automobile whose model was deter- mined in Example 1.1-1. Example 1.1-2. Consider the problem of driving the car in Fig. 1-1 between the points O and e. Assume that the car starts from rest and stops upon reaching point e. t This notation means fp <1 < ty. Sec. 1.1 Introduction 7 First let us define the state constraints. If #9 is the time of leaving O, and ty is the time of arrival at e, then, clearly, X1(to) = 0 (1.1-4 xi(ty) =e. : In addition, since the automobile starts from rest and stops at e, to) =0 X2(to) (1-5) X2(t~) = 0. In matrix notation these boundary conditions are xa) =[§]=0 and xia =| 5 | (1.1-6) 7 0 : oy ; If we assume that the car does not back up, then the additional constraints 0< xt 0, and the maximum deceleration is M, > 0, then the controls must satisfy 0

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