A noniterative algebraic solution for Riccati equations satisfying two-point boundary-value problems

A noniterative algebraic method is presented for solving differential Riccati equations which satisfy two-point boundary-value problems. This class of numerical problems arises in quadratic optimization problems where the cost functionals are composed of both continuous and discrete state penalties, leading to piecewise periodic feedback gains. The necessary condition defining the solution for the two-point boundary value problem is cast in the form of a discrete-time algebraic Riccati equation, by using a formal representation for the solution of the differential Riccati equation. A numerical example is presented which demonstrates the validity of the approach.The authors would like to thank Dr. Fernando Incertis, IBM Madrid Scientific Center, who reviewed this paper and pointed out that the two-point boundary-value necessary condition could be manipulated into the form of a discrete-time Riccati equation. His novel approach proved to be superior to the authors' previously proposed iterative continuation method.     

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.

     

Nonlinear optimal feedback control for lunar module soft landing

In this paper, the task of achieving the soft landing of a lunar module such that the fuel consumption and the flight time are minimized is formulated as an optimal control problem. The motion of the lunar module is described in a three dimensional coordinate system. We obtain the form of the optimal closed loop control law, where a feedback gain matrix is involved. It is then shown that this feedback gain matrix satisfies a Riccati-like matrix differential equation. The optimal control problem is first solved as an open loop optimal control problem by using a time scaling transform and the control parameterization method. Then, by virtue of the relationship between the optimal open loop control and the optimal closed loop control along the optimal trajectory, we present a practical method to calculate an approximate optimal feedback gain matrix, without having to solve an optimal control problem involving the complex Riccati-like matrix differential equation coupled with the original system dynamics. Simulation results show that the proposed approach is highly effective.     

General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients

In this article, we consider a linear-quadratic optimal control problem (LQ problem) for a controlled linear stochastic differential equation driven by a multidimensional Browinan motion and a Poisson random martingale measure in the general case, where the coefficients are allowed to be predictable processes or random matrices. By the duality technique, the dual characterization of the optimal control is derived by the optimality system (so-called stochastic Hamilton system), which turns out to be a linear fully coupled forward-backward stochastic differential equation with jumps. Using a decoupling technique, the connection between the stochastic Hamilton system and the associated Riccati equation is established. As a result, the state feedback representation is obtained for the optimal control. As the coefficients for the LQ problem are random, here, the associated Riccati equation is a highly nonlinear backward stochastic differential equation (BSDE) with jumps, where the generator depends on the unknown variables K, L, and H in a quadratic way (see (5.9) herein). For the case where the generator is bounded and is linearly dependent on the unknown martingale terms L and H, the existence and uniqueness of the solution for the associated Riccati equation are established by Bellman's principle of quasi-linearization.     

Quadratic integral games and causal synthesis

The game problem for an input-output system governed by a Volterra integral equation with respect to a quadratic performance functional is an untouched open problem. In this paper, it is studied by a new approach called projection causality. The main result is the causal synthesis which provides a causal feedback implementation of the optimal strategies in the saddle point sense. The linear feedback operator is determined by the solution of a Fredholm integral operator equation, which is independent of data functions and control functions. Two application examples are included. The first one is quadratic differential games of a linear system with arbitrary finite delays in the state variable and control variables. The second is the standard linear-quadratic differential games, for which it is proved that the causal synthesis can be reduced to a known result where the feedback operator is determined by the solution of a differential Riccati operator equation.

     

STUDY OF CRYSTAL GROWTH AND SOLUTE PRECIPITATION THROUGH FRONT TRACKING METHOD

Crystal growth and solute precipitation is a Stefan problem. It is a free boundary problem for a parabolic partial differential equation with a time-dependent phase interface. The velocity of the moving interface between solute and crystal is a local function. The dendritic structure of the crystal interface, which develops dynamically, requires high resolution of the interface geometry. These facts make the Lagrangian front tracking method well suited for the problem. In this paper, we introduce an upgraded version of the front tracking code and its associated algorithms for the numerical study of crystal formation. We compare our results with the smoothed particle hydrodynamics method （SPH） in terms of the crystal fractal dimension with its dependence on the Damkohler number and density ratio.     

On the refined integral method for the one-phase Stefan problem with time-dependent boundary conditions

Refined integral heat balance is developed for Stefan problem with time-dependent temperature applied to exchange surface. The method is applied to phase change in the half-plane and ordinary differential equation is obtained for the solid/liquid interface. The results are compared to those obtained by heat balance integral, perturbation and numerical methods.     

Pritchard-Salamon系统的可稳定化性和代数Riccati方程

在本文中,我们给出了光滑Pritchard－Salamon系统（简称PS系统）能以紧算子为可容反馈可稳定化的充分必要条件．应用此结果,我们给出了光滑PS系统中的代数Riccati方程的所有非负自伴解的参数化表示,把[1]中的主要结果推广到了光滑PS系统．     

Optimal feedback control for constrained mechanical systems

An approach to minimize the control costs and ensuring a stable deviation control is the Riccati controller and we want to use it to control constrained dynamical systems (differential algebraic equations of Index 3). To describe their discrete dynamics, a constrained variational integrators [1] is used. Using a discrete version of the Lagrange-d’Alembert principle yields a forced constrained discrete Euler-Lagrange equation in a position-momentum form that depends on the current and future time steps [2]. The desired optimal trajectory (q_opt, p_opt) and according control input u_opt is determined solving the discrete mechanics and optimal control (DMOC) algorithm [3] based on the variational integrator. Then, during time stepping of the perturbed system, the discrete Riccati equation yields the optimal deviation control input u_R. Adding u_opt and u_R to the discrete Euler-Lagrange equation causes a structure preserving trajectory as both DMOC and Riccati equations are based on the same variational integrator. Furthermore, coordinate transformations are implemented (minimal, redundant and nullspace) enabling the choice of different coordinates in the feedback loop and in the optimal control problem. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Linear–quadratic stochastic two-person nonzero-sum differential games: Open-loop and closed-loop Nash equilibria

In this paper, we consider a linear–quadratic stochastic two-person nonzero-sum differential game. Open-loop and closed-loop Nash equilibria are introduced. The existence of the former is characterized by the solvability of a system of forward–backward stochastic differential equations, and that of the latter is characterized by the solvability of a system of coupled symmetric Riccati differential equations. Sometimes, open-loop Nash equilibria admit a closed-loop representation, via the solution to a system of non-symmetric Riccati equations, which could be different from the outcome of the closed-loop Nash equilibria in general. However, it is found that for the case of zero-sum differential games, the Riccati equation system for the closed-loop representation of an open-loop saddle point coincides with that for the closed-loop saddle point, which leads to the conclusion that the closed-loop representation of an open-loop saddle point is the outcome of the corresponding closed-loop saddle point as long as both exist. In particular, for linear–quadratic optimal control problem, the closed-loop representation of an open-loop optimal control coincides with the outcome of the corresponding closed-loop optimal strategy, provided both exist.     

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??We study the linear quadratic optimal stochastic control problem which is jointly driven by Brownian motion and L\'{e}vy processes. We prove that the new affine stochastic differential adjoint equation exists an inverse process by applying the profound section theorem. Applying for the Bellman's principle of quasilinearization and a monotone iterative convergence method, we prove the existence and uniqueness of the solution of the backward Riccati differential equation. Finally, we prove that the optimal feedback control exists, and the value function is composed of the initial value of the solution of the related backward Riccati differential equation and the related adjoint equation.     

Numerical approximation of the LQR problem in a strongly damped wave equation

The aim of this work is to obtain optimal-order error estimates for the LQR (Linear-quadratic regulator) problem in a strongly damped 1-D wave equation. We consider a finite element discretization of the system dynamics and a control law constant in the spatial dimension, which is studied in both point and distributed case. To solve the LQR problem, we seek a feedback control which depends on the solution of an algebraic Riccati equation. Optimal error estimates are proved in the framework of the approximation theory for control of infinite-dimensional systems. Finally, numerical results are presented to illustrate that the optimal rates of convergence are achieved.     

Synchronization of non-autonomous chaotic systems with time-varying delay via delayed feedback control

In this paper, we investigate the synchronization of non-autonomous chaotic systems with time-varying delay via delayed feedback control. Using a combination of Riccati differential equation approach, Lyapunov-Krasovskii functional, inequality techniques, some sufficient conditions for exponentially stability of the error system are formulated in form of a solution to the standard Riccati differential equation. The designed controller ensures that the synchronization of non-autonomous chaotic systems are proposed via delayed feedback control and intermittent linear state delayed feedback control. Numerical simulations are presented to illustrate the effectiveness of these synchronization criteria.     

A numerical method based on integro‐differential formulation for solving a one‐dimensional Stefan problem

A numerical method based on an integro‐differential formulation is proposed for solving a one‐dimensional moving boundary Stefan problem involving heat conduction in a solid with phase change. Some specific test problems are solved using the proposed method. The numerical results obtained indicate that it can give accurate solutions and may offer an interesting and viable alternative to existing numerical methods for solving the Stefan problem. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2008     

Sequential synthesis of time-optimal control for linear systems with disturbances

A method of sequential synthesis of time-optimal control for a linear system with unknown disturbances is considered. A system of linear algebraic equations is obtained which relates the increments of phase coordinates to the increments of initial conditions of a normalized adjoint system and to the increment of control completion time. Evaluations consist in solving repeatedly a system of linear algebraic equations and integrating a matrix differential equation on the displacement intervals of control switching times and on the displacement interval of final control time. A procedure of correcting the switching times and the completion time in moving along the phase trajectory of a controllable object is examined. Simple and constructive conditions are specified for a discontinuous mode to occur, for a representation point to move along the switching manifolds, and for the optimal control structure to transform in moving along the phase trajectory of a system with uncontrollable disturbance. A computational algorithm is presented. It is proved that a sequence of controls converges locally at a quadratic rate and globally to a time-optimal control.     

A locking-free scheme for the LQR control of a Timoshenko beam

In this paper we analyze a locking-free numerical scheme for the LQR control of a Timoshenko beam. We consider a non-conforming finite element discretization of the system dynamics and a control law constant in the spatial dimension. To solve the LQR problem we seek a feedback control which depends on the solution of an algebraic Riccati equation. An optimal error estimate for the feedback operator is proved in the framework of the approximation theory for control of infinite dimensional systems. This estimate is valid with constants that do not depend on the thickness of the beam, which leads to the conclusion that the method is locking-free. In order to assess the performance of the method, numerical tests are reported and discussed.     

Adjoint-Based Optimal Boundary Control of a Stefan Problem System Fully Coupled with Navier-Stokes Equations

Free boundary and moving boundary problems, that can be used to model crystal growth or the solidification and melting of pure materials, receive growing attention in science and technology. The optimal control of these problems appear even more interesting since certain desired shapes of the boundaries improve, e.g., the material quality in the case of crystal growth. We consider the so called two-phase Stefan problem that models a solid and a liquid phase separated by a moving interface. In the work presented, we take a sharp interface model approach and define a quadratic tracking-type cost functional that penalizes the deviation of the interface from the desired state at a final time as well as the control costs. Following the “optimize-then-discretize” paradigm, we formulate a first order optimality system using the formal Lagrange approach and derive the adjoint PDE system that provides the needed gradient of the cost functional. By means of an example setup of a container with an in- and outflow of water and a cooling unit at the bottom, we illustrate how the derived formulations can be used to achieve a desired interface between the solid and the fluid phase by controlling the flow at the inlet. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

A new equation for the linear regulator problem

In this article, a new equation is derived for the optimal feedback gain matrix characterizing the solution of the standard linear regulator problem. It will be seen that, in contrast to the usual algebraic Riccati equation which requires the solution ofn(n + 1)/2 quadratically nonlinear algebraic equations, the new equation requires the solution of onlynm such equations, wherem is the number of system input terminals andn is the dimension of the state vector of the system. Utilizing the new equation, results are presented for the inverse problem of linear control theory.     

On the Finite Element Approximation of an Elliptic Variational Inequality Arising from an Implicit Time Discretization of the Stefan Problem

A semi-discretization in time of the weak formulation of thetwo phase Stefan moving boundary problem results in an ellipticboundary value problem with a non-linear jump discontinuitywhich can be set as an elliptic variational inequality. Thepurpose of this paper is to consider a finite element approximationto the inequality. Assuming that the solution is in H² and thatthe length of the free boundary is finite an error estimateis proved. The resulting algebraic problem is one of solvinga system of nonlinear equations associated with a diagonal multivaluedmonotone mapping. An S.O.R. method is given and shown to beglobally convergent.