Static

Optimization
Trihastuti Agustinah
Electrical Engineering Department
Institut Teknologi Sepuluh Nopember
1.1 Optimization without constraints

A scalar performance index 𝐿(𝑢) is a function of control vector 𝑢 ∈ 𝑅𝑚

Objective: determine the value of u that minimizes 𝐿(𝑢)

– Taylor series expansion of an increment in L:

1
𝑑𝐿 = 𝐿𝑇𝑢 𝑑𝑢 + 𝑑𝑢𝑇 𝐿𝑢𝑢 𝑑𝑢 + 𝑂(3) …(1)
2

– Gradient of L:
𝜕𝐿
𝐿𝑢 ≜
𝜕𝑢
– Hessian matrix:

𝜕2 𝐿
𝐿𝑢𝑢 = → curvature matrix
𝜕𝑢2
1.1 Optimization without constraints

Critical or stationary point: zero increment dL for all increment du

𝐿𝑢 = 0

For the critical point to be a local minimum:

𝐿𝑢𝑢 > 0 → positive definite

– If Luu is negative definite, the critical point is a local maximum

– If Luu is indefinite, the critical point is a saddle point

– If Luu is semidefinite, then the higher terms of the expansion (1) must be
examined to determine the type of critical point
Example 1: Quadratic surfaces
Let 𝑢 ∈ 𝑅2 and

1 𝑇
𝐿 𝑢 = 𝑢 𝑄𝑢 + 𝑆 𝑇 𝑢
2

𝑞11 𝑞12 𝑠1
where 𝑄 = 𝑞 𝑞22 ; 𝑆 = 𝑠2
12

Determine the type of the critical point.

– Critical point:

𝑇 𝑇
1 𝜕𝑢𝑇 𝜕 𝑢 𝑄𝑢 𝜕(𝑆 𝑇 𝑢)𝑇
𝐿𝑢 = 𝑄𝑢 + +
2 𝜕𝑢 𝜕𝑢 𝜕𝑢

1
= 𝑄𝑢 + 𝑄 𝑇 𝑢 + 𝑆 = 𝑄𝑢 + 𝑆 = 0
2
Example 1: Quadratic surfaces

– The optimal control: – The point u* is a minimum if 𝐿𝑢𝑢 > 0

𝑢∗ = −𝑄 −1 𝑆 – Maximum if 𝐿𝑢𝑢 < 0
– Saddle point if 𝑄 < 0
– Hessian matrix:
𝜕𝐿𝑢 – The extremal value of L(u):
𝐿𝑢𝑢 = =𝑄
𝜕𝑢 1 ∗ 𝑇 ∗
𝐿(𝑢∗ ) = 𝑢 𝑄𝑢 + 𝑆 𝑇 𝑢∗
2
1 𝑇
= −𝑄 −1 𝑆 𝑄(−𝑄 −1 𝑆) + 𝑆 𝑇 (−𝑄 −1 𝑆)
2
1 𝑇 −1 1
= 𝑆 𝑄 𝑆 + 𝑆 𝑇 𝑄 −1 𝑆 = − 𝑆 𝑇 𝑄 −1 𝑆
2 2
Example 1: Quadratic surfaces
Let 𝑢 ∈ 𝑅2 and
1 𝑇 – Definiteness test via leading minors:
𝐿 𝑢 = 𝑢 𝑄𝑢 + 𝑆 𝑇 𝑢 𝑚1 = 1 = 1 → positive
2
1 1 0 1 1
𝑄= ;𝑆= 𝑚2 = = 1 → positive
1 2 1 1 2
Determine the type of the critical point. – The point u* is a minimum, since 𝐿𝑢𝑢 > 0
– The minimum value of L(u*):
– The optimal control: 𝐿 𝑢∗ =
1 1 1 1
+ 0 1
1
1 −1
2 −1 0 1 2 1 2 −1 −1
𝑢∗ = −𝑄−1 𝑆 = − =
−1 1 1 −1 1
=−
2
– Hessian matrix:
1 1
𝐿𝑢𝑢 = 𝑄 =
1 2
1.2 Optimization with equality constraints
Let the scalar performance index 𝐿(𝑥, 𝑢) is a function of the control vector
𝑢 ∈ 𝑅𝑚 and a state vector 𝑥 ∈ 𝑅𝑛
– Objective: determine the control vector u that minimizes 𝐿(𝑥, 𝑢) and the
same time satisfies the constraint equation 𝑓 𝑥, 𝑢 = 0
– Necessary conditions:
At a stationary point, dL is equal to zero in the first order
approximation with respect to du when df is zero

𝑑𝐿 = 𝐿𝑇𝑢 𝑑𝑢 + 𝐿𝑇𝑥 𝑑𝑥 = 0 and 𝑑𝑓 = 𝑓𝑢 𝑑𝑢 + 𝑓𝑥 𝑑𝑥 = 0

 Hamiltonian approach
Hamiltonian function:
𝐻 𝑥, 𝑢, 𝜆 = 𝐿 𝑥, 𝑢 + 𝜆𝑇 𝑓(𝑥, 𝑢)

where 𝜆 ∈ 𝑅𝑛 is a Lagrange multiplier

– To determine x, u, and , the increments in H:

𝑑𝐻 = 𝐻𝑥𝑇 𝑑𝑥 + 𝐻𝑢𝑇 𝑑𝑢 + 𝐻𝜆𝑇 𝑑𝜆

– Note:

𝜕𝐻
𝐻𝜆 = = 𝑓(𝑥, 𝑢)
𝜕𝜆
 Hamiltonian approach
Necessary conditions for a minimum point of 𝐿(𝑥, 𝑢) that also
satisfies the constraint 𝑓 𝑥, 𝑢 = 0

𝜕𝐻
=𝑓=0
𝜕𝜆

𝜕𝐻
= 𝐿𝑥 + 𝑓𝑥𝑇 𝜆 = 0
𝜕𝑥

𝜕𝐻
= 𝐿𝑢 + 𝑓𝑢𝑇 𝜆 = 0
𝜕𝑢

By introducing Lagrange multipliers, the problem of minimizing 𝐿(𝑥, 𝑢)

subject to the constraint 𝑓 𝑥, 𝑢 = 0 is replaced with the problem of
minimizing the Hamiltonian 𝐻 𝑥, 𝑢, 𝜆 without constraints.
 Hamiltonian approach
Sufficient conditions to ensure a minimum, the curvature
matrix with constant f equal to zero is positive definite

The curvature matrix can be obtained using

𝑓
𝐿𝑢𝑢 = 𝐻𝑢𝑢 − 𝑓𝑥𝑇 𝑓𝑥−𝑇 𝐻𝑥𝑢 − 𝐻𝑢𝑥 𝑓𝑥−1 𝑓𝑢 + 𝑓𝑢𝑇 𝑓𝑥−𝑇 𝐻𝑥𝑥 𝑓𝑥−1 𝑓𝑢
Example 2: Quadratic surface with linear constraint
The performance index is as given in Example 1:
1 1 1 𝑥 𝑥
𝐿 𝑥, 𝑢 = 𝑥 𝑢 + 0 1
2 1 2 𝑢 𝑢
Renamed the scalar components 𝑢1 , 𝑢2 as 𝑥, 𝑢 respectively.
The constraint:
𝑓 𝑥, 𝑢 = 𝑥 − 3 = 0
Find the stationary point 𝑢∗ and minimum value of 𝐿 𝑥, 𝑢
Example 2: Quadratic surface with linear constraint
The Hamiltonian is
𝑇 1 2
𝐻 𝑥, 𝑢, 𝜆 = 𝐿 𝑥, 𝑢 + 𝜆 𝑓 𝑥, 𝑢 = 𝑥 + 𝑥𝑢 + 𝑢2 + 𝑢 + 𝜆(𝑥 − 3)
2
Necessary conditions for stationary point:
𝜕𝐻
𝐻𝜆 = =𝑥−3=0 …(i)
𝜕𝜆
𝜕𝐻
𝐻𝑥 = =𝑥+𝑢+𝜆 =0 …(ii)
𝜕𝑥
𝜕𝐻
𝐻𝑢 = = 𝑥 + 2𝑢 + 1 = 0 …(iii)
𝜕𝑢
Solving in the order (i), (iii), (ii) yields 𝑥 = 3, 𝑢 = −2 and 𝜆 = −1
The stationary point: (𝑥, 𝑢)∗ = (3, −2)
Example 3: Quadratic performance index with linear constraint

Consider the quadratic performance index – The conditions for a stationary point:
1 𝑇 1 𝑇
𝐿 𝑥, 𝑢 = 𝑥 𝑄𝑥 + 𝑢 𝑅𝑢 𝐻𝜆 = 𝑥 + 𝐵𝑢 + 𝑐 = 0 …(i)
2 2
with linear constraint 𝐻𝑥 = 𝑄𝑥 + 𝜆 = 0 …(ii)
𝑓 𝑥, 𝑢 = 𝑥 + 𝐵𝑢 + 𝑐 = 0
𝐻𝑢 = 𝑅𝑢 + 𝐵𝑇 𝜆 = 0 …(iii)
where 𝑥 ∈ 𝑅𝑛 , 𝑢 ∈ 𝑅𝑚 , 𝑓 ∈ 𝑅𝑛 , 𝜆 ∈ 𝑅𝑛 ; 𝑄, 𝑅, and 𝐵 are
matrices The stationary point u* in term of :
Assume that 𝑄 > 0 and 𝑅 > 0 (both symmetric) 𝑢∗ = −𝑅−1 𝐵𝑇 𝜆
Determine the critical point. According to (ii)
𝜆 = −𝑄𝑥
– The Hamiltonian:
Taking into account (4) results in
𝐻 𝑥, 𝑢, 𝜆 = 𝐿 𝑥, 𝑢 + 𝜆𝑇 𝑓(𝑥, 𝑢)
1 𝑇 1 𝑇 λ = 𝑄𝐵𝑢 + 𝑄𝑐
= 𝑥 𝑄𝑥 + 𝑢 𝑅𝑢 + 𝜆𝑇 (𝑥 + 𝐵𝑢 + 𝑐)
2 2
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