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# Nonlinear Systems and Control — Spring 2016

## and constrained input

−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∗ = arg min H(u) = arg min λ2 (t)u(t)

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.

## 8.4 Suﬃcient Conditions for Optimality

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.

## Theorem 8.12 (Suﬃciency Conditions I) Let us assume that (x∗ , λ∗ , u∗ )

fulﬁll the conditions in Theorem 8.5. Then, the condition

∂ 2H ∗ ∗ ∗
(x , u , λ ) > 0
∂u2
is suﬃcient for the optimality of u∗ .

## P. Al Hokayem & E. Gallestey 141 of 201

Nonlinear Systems and Control — Spring 2016

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

## Proof: The results is proved by contradiction (i.e assuming that u∗ might

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∗ )

## Deﬁnition 8.13 A function f : Rn → R is called convex when it fulﬁlls the

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

## P. Al Hokayem & E. Gallestey 142 of 201

Nonlinear Systems and Control — Spring 2016

## A smooth convex function f fulﬁlls the following condition


∗ ∂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

## L(x, u) − (x∗ , u∗ ) ≥ −λf (x, u) + λf (x∗ , u∗ ) − λ̇(x − x∗ )

= −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∗

## Then, since φ is convex, we know that

∂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

## Thus, after simple manipulations we obtain

J(x0 , u) − J(x, u∗ ) = α ≥ 0,