optimization

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optimization

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−1 ≤ u(t) ≤ 1 ∀t ≥ 0.

Now

H(x, u, λ) = 1 + λ1 x2 + λ2 u.

We notice that ∂H

∂u

= λ2 , i.e. ∂H

∂u

does not depend on u and thus the extremum

is to be reached at the boundaries, i.e. u∗ (t) = ±1, ∀t ≥ 0. Using

u u

we see that

u∗ (t) = −sign(λ2 (t)).

Figure 8.4 depicts the result of deploying this control. Note that the control

law is discontinuous. Further, we observe that the system now needs less

time to reach the origin than in the previous ”Minimal Energy” example.

Of course, this ”success” is obtained at the cost of deploying more actuator

energy.

The simplest suﬃcient condition for optimality is of course to establish

uniqueness of the solution that appears solving the ﬁrst order necessary con-

dition. In applications it is often the case that this is possible by using

application speciﬁc knowledge.

A more generic and well understood suﬃcient condition follows directly

from the standard constrained optimization result and is can be stated as

follows.

fulﬁll the conditions in Theorem 8.5. Then, the condition

∂ 2H ∗ ∗ ∗

(x , u , λ ) > 0

∂u2

is suﬃcient for the optimality of u∗ .

Nonlinear Systems and Control — Spring 2016

Figure 8.4: Trajectories for Minimal Time Case. Arrival time T ≈ 13.

not be a local optimizer) and using the expression

∂ 2H ∗ ∗ ∗

H(x∗ , u, λ∗ ) ≈ H(x∗ , u∗ , λ∗ ) + (u − u∗ ) (x , u , λ )(u − u∗ )

∂u2

≥ H(x∗ , u∗ , λ∗ )

following property: for any given x and x∗ we have

Nonlinear Systems and Control — Spring 2016

∗ ∂f

f (x) ≥ f (x ) + (x − x∗ ), ∀x, x∗ ∈ Rn .

∂x x=x∗

Before stating the ﬁrst result we also note the following fact for the Hamil-

tonian H = H(x, u, λ).

dH ∂H ∂H ∂u

= + .

dx ∂x ∂u ∂x

if u∗ is an optimal control policy candidate, then ∂H ∂u

= 0 and we establish

that

dH ∂H

(x, u∗ , λ) = (x, u∗ , λ).

dx ∂x

Theorem 8.14 (Suﬃciency Conditions II) Let u*(t), and the correspond-

ing x∗ (t) and λ∗ (t) satisfy the minimum principle necessary condition for all

t ∈ [0, T ]. Then, u∗ is an optimal control if H(x, u∗ , λ) is convex in x and

φ(x) is convex in x.

Proof: We want to prove that

J(x0 , u) − J(x0 , u∗ ) ≥ 0,

where x satisﬁes Equation (8.1). Now u∗ = arg min H and the convexity of

H give us

H(x, u, λ) ≥ H(x, u∗ , λ)

∗ ∗ ∂H

≥ H(x , u , λ) + (x − x∗ )

∂x x∗ ,u∗ ,λ

Or equivalently

Or

= −λ[(ẋ − ẋ∗ ) − λ̇(x − x∗ )

d

= [−λ(x − x∗ )]

dt

P. Al Hokayem & E. Gallestey 143 of 201

Nonlinear Systems and Control — Spring 2016

Integrating, and using both the transversality condition and the fact that all

trajectories have the same initial condition x = x0 , we observe that

T

[L(x, u) − L(x∗ , u∗ , λ)]dt = −λ(T )(x(T ) − x∗ (T )) + λ(0))(x∗ (0) − x(0))

0

∂φ

= − (x − x∗ )

∂x x∗

∂φ

φ(x) − φ(x∗ ) ≥ |x=x∗ (x − x∗ )

∂x

This implies

∂φ

− |x=x∗ (x − x∗ ) = −φ(x) + φ(x∗ ) + α, α ≥ 0.

∂x

We now recall that

T

J[x0 , u(·)] = φ(x(T )) + L(x(t), u(t))dt.

0

J(x0 , u) − J(x, u∗ ) = α ≥ 0,

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