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Lecture 18

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 1 / 25

Purpose of Lesson:

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 2 / 25

Pontryagin’s Maximum Principle

Modern optimal control theory often starts from the PMP. It is a simple,

coincise condition for an optimal control.

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 3 / 25

General control problem

Minimize functional

Zt1

J[x, u] = F0 (t, x, u)dt

t0

ẋi = Fi (t, x, u)

notice no dependence on ẋ in F0

this differs from many CoV problems

that derivatives are on the LHS.

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 4 / 25

Pontryagin’s Maximum Principle (PMP)

target (t1 , x(t1 )). Let x(t) be the trajectory corresponding to u(t).

In order that u(t) be optimal, it is necessary that there exists

p(t) = (p1 (t), p2 (t), . . . , pn (t)) and a constant scalar p0 such that

p and x are the solution to the canonical system

∂H ∂H

ẋ = and ṗ = −

∂p ∂x

n

P

where the Hamiltonian is H = pi Fi with p0 = −1

i=0

H(t, x, u, p) > H(t, x, u

b, p) for all alternate controls u

b

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 5 / 25

PMP proof sketch-1

Consider the general problem: minimize functional

Zt1

J[x, u] = F0 (t, x, u)dt

t0

subject to constraints

ẋi = Fi (t, x, u).

We can incorporate the constraints into the functional using the

Lagrange multipliers λi , e.g.

Zt1

Jb = L(t, x, ẋ, u)dt

t0

Zt1 n

X

= F0 (t, x, u)dt + λi (t) [ẋi − Fi (t, x, u)] dt

t0 i=1

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 6 / 25

PMP proof sketch-2

∂L

pi = = λi .

∂ ẋi

momentum terms pi

1 the pi are known in economics literature as marginal valuation of

xi or the shadow prices

2 shows how much a unit increment in x at time t contributes to the

optimal objective functional Jb

3 the pi are known in control as co-state variables (sometimes

written as zi ).

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 7 / 25

PMP proof sketch-3

n

X

H(t, x, p, u) = pi ẋi − L(t, x, ẋ, p, u)

i=1

Xn n

X

= pi ẋi − F0 (t, x, u) − λi (t) [ẋi − Fi (t, x, u)]

i=1 i=1

n

X

= −F0 (t, x, u) + pi Fi (t, x, u)

i=1

because λi = pi , so the ẋi terms cancel. The final result is just the

Hamiltonian as defined in the PMP.

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 8 / 25

PMP proof sketch-4

From previous slide the Hamiltonian can be written

n

X

H(t, x, p, u) = −F0 (t, x, u) + pi Fi (t, x, u)

i=1

which is the Hamiltonian defined in the PMP. Then the canonical E-L

equations (Hamilton’s equations) are

∂H dxi ∂H dpi

= and =− .

∂pi dt ∂xi dt

∂H dxi

Note that the equations ∂pi = dt just revert to

Fi (t, x, u) = ẋi

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 9 / 25

PMP proof sketch-5

What about equations for ui ?

Take the conjugate variable to be zi , and we get (by definition) that

∂L

zi = =0

∂ u̇i

∂H dzi

=− =0

∂ui dt

In fact we look for a maximum (and note this may happen on the

bounds of ui ).

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 10 / 25

PMP Example: plant growth

Plant growth problem:

fixed window of time [0, 1]

ẋ = 1 + u

cost of lights

Z1

1 2

J[u] = u dt

2

0

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 11 / 25

PMP Example: plant growth

Minimize

Z1

1 2

J[u] = u dt

2

0

ẋ = F1 (t, x, u) = 1 + u.

Hamiltonian is

1

= − u 2 + p (1 + u) .

2

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 12 / 25

PMP Example: plant growth

Hamiltonian is

1

H = − u 2 + p (1 + u) .

2

Canonical equations

∂H dx ∂H dp

= and =−

∂p dt ∂x dt

⇓ ⇓

1 + u = ẋ 0 = −ṗ

LHS ⇒ system DE

RHS ⇒ ṗ = 0 means that p = c1 where c1 is a constant.

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 13 / 25

PMP Example: plant growth

Maximum principle requires H be a maximum, for which

∂H

= −u + p = 0.

∂u

So u = p, and ẋ = 1 + u so

x = (1 + c1 ) t + c2 .

x = 2t.

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 14 / 25

PMP and natural boundary conditions

condition is not fixed, so we need natural boundary conditions.

The terminal cost φ

X ∂φ

∂φ

+ pi δxi

+ − H δt =0

∂xi t=t1 ∂t t=t1

i

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 15 / 25

PMP and natural boundary conditions

The resulting natural boundary condition is

X ∂φ

∂φ

+ pi δxi

+ − H δt = 0.

∂xi t=t1 ∂t t=t1

i

Special cases

when t1 is fixed and x(t1 ) is completely free we get

∂φ

+ pi δxi = 0, ∀i

∂xi t=t1

∂φ

− H δt = 0.

∂t t=t1

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 16 / 25

Example: stimulated plant growth

Example 18.2 (Stimulated plant growth-1)

Plant growth problem:

within a fixed window of time [0, 1]

supplement natural growth with lights as before

growth rate dictates ẋ = 1 + u

cost of lights

Z1

1 2

J[u] = u (t)dt

2

0

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 17 / 25

Plant growth problem statement

Write as a minimization problem

Z1

1 2

J[x, u] = −x(t1 ) + u dt

2

0

ẋ = 1 + u.

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 18 / 25

Plant growth: natural BC

The problem is solved as before, but we write the natural boundary

condition at x = t1 as

∂φ

+ pi = 0, ∀i

∂xi t=t1

which reduces to

−1 + pt=t = 0.

1

Given p is constant, this sets p(t) = 1, and hence the control u = 1 (as

before).

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 19 / 25

Autonomous problems

if the end-time is free (and the terminal cost is zero) then the

transversality conditions ensure H = 0 along the optimal trajectory.

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 20 / 25

PMP example: Gout

Example 18.3 (Gout-1)

Optimal treatment of Gout:

disease characterized by excess of uric acid in blood

define level of uric acid to be x(t)

in absence of any control, tends to 1 according to

ẋ = 1 − x

ẋ = 1 − x − u

drug is expensive, and unsafe (side effects)

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 21 / 25

PMP example: Gout

Example 18.3 (Gout-2)

Formulation: minimize

Zt1

1 2

J[u] = k + u 2 dt

2

0

cost vs the terminal time.

End-conditions are x(0) = 1, and we wish x(t1 ) = 0, with t1 free. The

constraint equation is

ẋ = 1 − x − u,

Hamiltonian

1 2

H=− k + u 2 + p (1 − x − u) .

2

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 22 / 25

PMP example: Gout

Example 18.3 (Gout-3)

Canonical equations

∂H dx ∂H dp

= and =−

∂p dt ∂x dt

⇓ ⇓

1 − x − u = ẋ −p = −ṗ

LHS ⇒ system DE

RHS ⇒ ṗ = p has solution p = c1 et .

Now maximize H WRT the u, i.e., find stationary point

∂H

= −u − p = 0

∂u

So, u = −p = −c1 et .

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 23 / 25

PMP example: Gout

Example 18.3 (Gout-4)

Note

this is an autonomous problem so H = const

x(0) = 1), and we get

1 2 2

H=− k + u + p (1 − x − u)

2

k 2 c2

= − − 1 − c12

2 2

=0

and so c1 = ±k .

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 24 / 25

PMP example: Gout

Example 18.3 (Gout-5)

Finally solve ẋ = 1 − x − u where u = −ket to get

k t k −t

x =1− e + e = 1 − k sinh t

2 2

The terminal condition is x(t1 ) = 0, and so

t1 = sinh−1 (1/k )

of the drug, and as k → 0 then t1 → ∞

no optimal for k = 0

when k is large, we want to get to a safe level as fast as possible,

so as k → ∞ we get t1 ∼ 1/k .

c Daria Apushkinskaya 2014 () Calculus of variations lecture 18 11. Juli 2014 25 / 25

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