Equivalent Conditions for the Solvability of Nonstandard and Singular LQ-Problems with Application to Parabolic Equations

We consider an optimal control problem with indefinite cost for an abstract model, which covers, in particular, parabolic systems in a general bounded domain. Necessary and sufficient conditions are given for the synthesis of the optimal control, which is given in terms of the Riccati operator arising from a nonstandard Riccati equation. The theory extends also a finite-dimensional frequency theorem to the infinite-dimensional setting. Applications include the heat equation with Dirichlet and Neumann controls, as well as the strongly damped Euler–Bernoulli and Kirchhoff equations with the control in various boundary conditions.     

Classical Solutions of Nonautonomous Riccati Equations Arising in Parabolic Boundary Control Problems, II

An abstract linear-quadratic regulator problem over finite time horizon is considered; it covers a large class of linear nonautonomous parabolic systems in bounded domains, with boundary control of Dirichlet or Neumann type. We give the proof of some result stated in [AT5], and in addition we prove uniqueness of the Riccati operator, provided its final datum is suitably regular. Accepted 14 October 1998     

Min-max game theory and nonstandard differential Riccati equations for abstract hyperbolic-like equations

We consider the abstract dynamical framework of Lasiecka and Triggiani (2000) [1, Chapter 9], which models a large variety of mixed PDE problems (see specific classes in the Introduction) with boundary or point control, all defined on a smooth, bounded domain Ω⊂Rⁿ, n arbitrary. This means that the input → solution map is bounded on natural function spaces. We then study min-max game theory problem over a finite time horizon. The solution is expressed in terms of a (positive, self-adjoint) time-dependent Riccati operator, solution of a non-standard differential Riccati equation, which expresses the optimal qualities in pointwise feedback form. In concrete PDE problems, both control and deterministic disturbance may be applied on the boundary, or as a Dirac measure at a point. The observation operator has some smoothing properties.     

Quadratic optimal control of stable well-posed linear systems

We consider the infinite horizon quadratic cost minimization problem for a stable time-invariant well-posed linear system in the sense of Salamon and Weiss, and show that it can be reduced to a spectral factorization problem in the control space. More precisely, we show that the optimal solution of the quadratic cost minimization problem is of static state feedback type if and only if a certain spectral factorization problem has a solution. If both the system and the spectral factor are regular, then the feedback operator can be expressed in terms of the Riccati operator, and the Riccati operator is a positive self-adjoint solution of an algebraic Riccati equation. This Riccati equation is similar to the usual algebraic Riccati equation, but one of its coefficients varies depending on the subspace in which the equation is posed. Similar results are true for unstable systems, as we have proved elsewhere.

     

Algebraic Riccati equations with non-smoothing observation arising in hyperbolic and Euler-Bernoulli boundary control problems

Summary This paper considers the optimal quadratic cost problem (regulator problem) for a class of abstract differential equations with unbounded operators which, under the same unified framework, model in particular «concrete» boundary control problems for partial differential equations defined on a bounded open domain of any dimension, including: second order hyperbolic scalar equations with control in the Dirichlet or in the Neumann boundary conditions; first order hyperbolic systems with boundary control; and Euler-Bernoulli (plate) equations with (for instance) control(s) in the Dirichlet and/or Neumann boundary conditions. The observation operator in the quadratic cost functional is assumed to be non-smoothing (in particular, it may be the identity operator), a case which introduces technical difficulties due to the low regularity of the solutions. The paper studies existence and uniqueness of the resulting algebraic (operator) Riccati equation, as well as the relationship between exact controllability and the property that the Riccati operator be an isomorphism, a distinctive feature of the dynamics in question (emphatically not true for, say, parabolic boundary control problems). This isomorphism allows one to introduce a «dual» Riccati equation, corresponding to a «dual» optimal control problem. Properties between the original and the «dual» problem are also investigated.Research partially supported by the National Science Foundation under Grant NSF-DMS-8301668 and by the Air Force Office of Scientific Research under Grant AFOSR-84-0365.     

On the existence of the stabilizing solution of generalized Riccati equations arising in zero-sum stochastic difference games: the time-varying case

In this paper, a large class of time-varying Riccati equations arising in stochastic dynamic games is considered. The problem of the existence and uniqueness of some globally defined solution, namely the bounded and stabilizing solution, is investigated. As an application of the obtained existence results, we address in a second step the problem of infinite-horizon zero-sum two players linear quadratic (LQ) dynamic game for a stochastic discrete-time dynamical system subject to both random switching of its coefficients and multiplicative noise. We show that in the solution of such an optimal control problem, a crucial role is played by the unique bounded and stabilizing solution of the considered class of generalized Riccati equations.     

Adaptive control of linear stochastic evolution systems

An adaptive control problem for some linear stochastic evolution systems in Hilbert spaces is formulated and solved in this paper. The solution includes showing the strong consistency of a family of least squares estimates of the unknown parameters and the convergence of the average quadratic costs with a control based on these estimates to the optimal average cost. The unknown parameters in the model appear affinely in the infinitesimal generator of the C ₀ semigroup that defines the evolution system. A recursive equation is given for a family of least squares estimates and the bounded linear operator solution of the stationary Riccati equation is shown to be a continuous function of the unknown parameters in the uniform operator topology     

Input dynamics and nonstandard riccati equations with applications to boundary control of damped wave and plate equations

An optimization problem for a control system governed by an analytic generator with unbounded control actions is considered. The solution to this problem is synthesized in terms of the Riccati operator, arising from a nonstandard Riccati equation. Solvability and uniqueness of the solutions to this Riccati equation are established. This theory is applied to a boundary control problem governed by damped wave and plate equations.Research of this author partially supported by NSF Grant DMS 9204338.     

Sliding Mode Techniques for Robust Trajectory Tracking as well as State and Parameter Estimation

Practical applications are often affected by uncertainties—more precisely bounded and stochastic disturbances. These have to be considered in robust control procedures to prevent a system from being unstable. Common sliding mode control strategies are often not able to cope with the mentioned impacts simultaneously, because they assume that the considered system is only affected by matched uncertainty. Another problem is the offline computation of the switching amplitude. Under these assumptions, important nonlinear system properties cannot be taken into account within the mathematical model of the system. Therefore, this paper presents sliding mode techniques, that on the one hand are able to consider bounded as well as stochastic uncertainties simultaneously, and on the other hand are not limited to the matched case. Firstly, a sliding mode control procedure taking into account both classes of uncertainty is shown. Additionally, a sliding mode observer for the simultaneous estimation of non-measurable system states and uncertain but bounded parameters is described despite stochastic disturbances. This is possible by using intervals for states and parameters in the resulting stochastic differential equations. Therefore, the Itô differential operator is involved and the system’s stability can be verified despite uncertainties and disturbances for both control and observer procedures. This operator is used for the online computation of the variable structure part gain (matrix of switching amplitudes) which is advantageous in contrast to common sliding mode procedures.     

Relatively optimal filtering on a Hilbert space for measure driven stochastic systems

In this paper we consider linear filtering for discontinuous processes determined by stochastic differential equations on a Hilbert space driven by signed measures in addition to Brownian motion. The dynamics of the observed data is governed by a differential equation driven by a square integrable martingale (not necessarily continuous) while perturbed by a signed measure. We formulate the filtering problem as an optimization problem on the space of bounded linear operator valued functions and present necessary and sufficient conditions for optimality. Further, we prove, under the assumption of finite dimensionality of the output space, that a Kalman-like filter exists and it is explicitly determined by a Riccati type evolution equation.     

Existence of solutions of two generalized riccati operator equations and their representation

The solutions of two generalized Riccati operator equations are discussed in terms of two critical parameter values, which are related to the application of optimal control under unknown disturbances. Explicit formulas for calculating these two critical parameters as well as the closedform solutions of these two generalized Riccati operator equations are given. The connection between these two parameters and a zero-sum differential game is also investigated.     

Comparison theorem for a class of Riccati differential equations and its application

We prove a comparison theorem for the solutions of Riccati matrix equations in which the diagonal entries of the matrix multiplying the linear term are perturbed by a bounded function. This theorem is used to study optimal trajectories in a pollution control problem stated in the form of a linear regulator over an infinite time horizon with a discount function of the general form.     

Über ein Transmissionsproblem mit Integro-Differentialbedingungen

In this paper we consider the problem of finding certain holomorphic functions defined on ??iR. These functions are to be such that for both the regions Re z>0 and Re z<0 they assume almost everywhere on iR boundary values which satisfy prescribed coupling conditions which are integro-differential in form. We associate with the problem a transmission operator T and give necessary and sufficient conditions in order that it should be a Fredholm operator. We then construct a bounded left- and right-regularizer for T.     

Hilbert空间中具无界控制的无限时区线性二次最优控制问题

本文研究了Hilbert空间中一类由解析半群支配的具无界控制的无限时区线性二次最优控制问题,其中指标中的控制项加权算子要求强制而状态项加权算子可允许为不定号.在指数能稳条件下,证明了任意的最优控制及其最优轨线必定连续,建立了正实引理作为此问题唯一可解的充要条件,并用代数Riccati方程的解给出了最优控制的闭环综合。     

Optimal control for linear discrete-time systems with Markov perturbations in Hilbert spaces

Email: vio{at}utgjiu.ro Received on September 12, 2007; Accepted on December 26, 2008 In this article, we discuss a quadratic control problem forlinear discrete-time systems with Markov perturbations in Hilbertspaces, which is linked to a discrete-time Riccati equationdefined on certain infinite-dimensional ordered Banach space.We prove that under stabilizability and stochastic uniform observabilityconditions, the Riccati equation has a unique, uniformly positive,bounded on N and stabilizing solution. Based on this result,we solve the proposed optimal control problem. An example illustratesthe theory.     

Parametrized riccati equations associated to input-output operators for discrete-time systems with state-dependent noise

An input-output linear time-varying discrete system with statedependent noise and mean square exponential stable evolution is considered. It is proved that if the norm of the input-output operator is less than γ then a corresponding parametrized by γ Riccati equation has a unique global bounded and stabilizing solution. An application to the estimate of a stability radius is given     

Feedback operator for a pseudoparabolic optimal control problem

The feedback operator of a linear pseudoparabolic problem with quadratic criterion is obtained by decoupling of the optimality condition. The feedback operator is shown to be related to the solution of a Riccati equation formulated in theB*-algebra of bounded linear operators onL ²(). This approach shows that the linear feedback operator may be considered as a bounded operator fromL ²() intoH ₀ ¹ (). Finally, we give a theorem establishing the convergence behavior for the feedback operators for these problems as they formally approach an analogous problem of parabolic type.This work was supported in part by the National Science Foundation, Grant No. MCS-7902037.     

Optimal control of solutions of the Showalter-Sidorov-Dirichlet problem for the Boussinesq-Love equation

An optimal control problem for a second-order Sobolev type equation with a relatively polynomially bounded operator pencil is considered. We prove the existence and uniqueness of a strong solution of the Showalter-Sidorov problem for this equation. Necessary and sufficient conditions for the existence and uniqueness of an optimal control of such solutions are obtained. We study the Showalter-Sidorov-Dirichlet problem for the Boussinesq-Love equation.     

Spectral computations: from operators to matrices

In this work we will address the problem of finding spectral values and bases for the corresponding spectral subspaces for a bounded operator on a Banach space. We will make a bridge between the spectral problem for the continuous operator and the computation of the eigenpairs of a matrix. This approximate problem results first from an approximation by a sequence of continuous operators with finite rank, followed by the reduction to a spectral problem for an operator whose domain as well as range are finite dimensional. Some discussion on defect correction procedures will be also presented. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

On periodic and bounded solutions of the operator Riccati equation

Sufficient conditions for the existence of periodic and bounded solutions of the operator Riccati equation are presented.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 45, No. 2, pp. 239–242, February, 1993.