A singular control approach to highly damped second-order abstract equations and applications

In this paper we restudy, by a radically different approach, the optimal quadratic cost problem for an abstract dynamics, which models a special class of second-order partial differential equations subject to high internal damping and acted upon by boundary control. A theory for this problem was recently derived in [LLP] and [T1] (see also [T2]) by a change of variable method and by a direct approach, respectively. Unlike [LLP] and [T1], the approach of the present paper is based on singular control theory, combined with regularity theory of the optimal pair from [T1]. This way, not only do we rederive the basic control-theoretic results of [LLP] and [T1]—the (first) synthesis of the optimal pair, and the (first) nonstandard algebraic Riccati equation for the (unique) Riccati operator which enters into the gain operator of the synthesis—but in addition, this method also yields new results—a second form of the synthesis of the optimal pair, and a second (still nonstandard) algebraic Riccati equation for the (still unique) Riccati operator of the synthesis. These results, which show new pathologies in the solution of the problem, are new even in the finite-dimensional case. This research was made possible by NATO Collaborative Research Grant SA.5-2-05 (CRG.940161) 274/94/JARC-501, whose support is gratefully acknowledged. The research of I. Lasiecka and R. Triggiani was supported also by the National Science Foundation under Grant NSF-DMS-92-04338. The research of L. Pandolfi was written with the programs of GNAFA-CNR. The main results of the present paper were announced in [LPT].     

Almost-periodic solutions for Riccati equations of stochastic control

We consider an average quadratic cost criteria for affine stochastic differential equations with almost-periodic coefficients. Under stabilizability and detectability conditions we show that the Riccati equation associated with the quadratic control problem has a unique almost-periodic solution. In the periodic case the corresponding result is proved in [4].     

Riccati equations for generalized singular estimate control systems

We consider the Bolza problem associated with boundary/point control systems governed by strongly continuous semigroups. In continuation of our work in Lasiecka and Tuffaha [I. Lasiecka and A. Tuffaha, Riccati equations for the Bolza problem arising in boundary/point control problems governed by C ₀–semigroups satisfying a singular estimate, J. Optim. Theory Appl. 136 (2008), pp. 229–246; I. Lasiecka and A. Tuffaha, A Bolza optimal synthesis problem for singular estimate control systems, Control Cybernet 38(4B) (2009), pp. 1429–1460], we yet extend the theory to a more general class of control problems that are not analytic providing sharp blow-up rates for the regularity. Solvability of the associated Riccati equations and an optimal feedback synthesis are established. The presence of unbounded control actions, such as boundary/point controls, naturally lead to a singularity at the terminal point t?=?T of the optimal control and of the corresponding feedback operator as before. The class of control systems considered in this article is a generalization to the class usually referred to in the literature as ‘Singular Estimate Control Systems’. The prototype is still that of a PDE system consisting of coupled hyperbolic parabolic dynamics interacting on an interface with point/boundary control. The distinct feature of the class considered in this article is that the degree of unboundedness in the control is stronger than that allowed in the usual singular estimate control system configuration, giving rise to less regular optimal state trajectories.     

Existence and comparison theorems for partial differential equations of Riccati type

In this paper, we discuss the partial differential equation of Riccati type that describes the optimal filtering error covariance function for a linear distributed-parameter system with pointwise observations. Since this equation contains the Dirac delta function, it is impossible to apply directly the usual methods of functional analysis to prove existence and uniqueness of a bounded solution. By using properties of the fundamental solution and the classical technique of successive approximation, we prove the existence and uniqueness theorem. We then prove the comparison theorem for partial differential equations of Riccati type. Finally, we consider some applications of these theorems to the distributed-parameter optimal sensor location problem.     

ϵ-Optimal and Optimal Controls for the Stochastic Linear-Quadratic Problem

We study the stochastic regulator problem in Hilbert spaces for systems governed by linear stochastic differential equations with retarded controls and with state and control dependent noise. We use integral Riccati equations and no reference to a Riccati differential equation or to the Ito formula is made.     

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.     

A trace regularity result for thermoelastic equations with application to optimal boundary control

We consider a mixed problem for a Kirchoff thermoelastic plate model with clamped boundary conditions. We establish a sharp regularity result for the outer normal derivative of the thermal velocity on the boundary. The proof, based upon interpolation techniques, benefits from the exceptional regularity of traces of solutions to the elastic Kirchoff equation. This result, which complements recent results obtained by the second and third authors, is critical in the study of optimal control problems associated with the thermoelastic system when subject to thermal boundary control. Indeed, the present regularity estimate can be interpreted as a suitable control-theoretic property of the corresponding abstract dynamics, which is crucial to guarantee well-posedness for the associated differential Riccati equations.     

Fourier expansion based recursive algorithms for periodic Riccati and Lyapunov matrix differential equations

Combining Fourier series expansion with recursive matrix formulas, new reliable algorithms to compute the periodic, non-negative, definite stabilizing solutions of the periodic Riccati and Lyapunov matrix differential equations are proposed in this paper. First, periodic coefficients are expanded in terms of Fourier series to solve the time-varying periodic Riccati differential equation, and the state transition matrix of the associated Hamiltonian system is evaluated precisely with sine and cosine series. By introducing the Riccati transformation method, recursive matrix formulas are derived to solve the periodic Riccati differential equation, which is composed of four blocks of the state transition matrix. Second, two numerical sub-methods for solving Lyapunov differential equations with time-varying periodic coefficients are proposed, both based on Fourier series expansion and the recursive matrix formulas. The former algorithm is a dimension expanding method, and the latter one uses the solutions of the homogeneous periodic Riccati differential equations. Finally, the efficiency and reliability of the proposed algorithms are demonstrated by four numerical examples.     

Application of viscosity solutions of infinite-dimensional Hamilton-Jacobi-Bellman equations to some problems in distributed optimal control

We apply the recently developed Crandall and Lions theory of viscosity solutions for infinite-dimensional Hamilton-Jacobi equations to two problems in distributed control. The first problem is governed by differential-difference equations as dynamics, and the second problem is governed by a nonlinear divergence form parabolic equation. We prove a Pontryagin maximum principle in each case by deriving the Bellman equation and using the fact that the value function is a viscosity supersolution.This work was supported by the Air Force Office for Scientific Research, Grant No. AFOSR-86-0202. The author would like to thank R. Jensen for several helpful conversations regarding the problems discussed here. He would also like to thank M. Crandall for providing early preprints of his work in progress with P. L. Lions on infinite-dimensional problems.     

Optimal control of stochastic differential equations with dynamical boundary conditions

In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problems with nonstandard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a finite dimensional dynamics, which describes the boundary conditions of the internal system. In other terms, we are concerned with nonstandard boundary conditions, as the value at the boundary is governed by a different stochastic differential equation.     

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.     

A note on the regularity of solutions of infinite dimensional Riccati equations

This note is concerned with the regularity of solutions of algebraic Riccati equations arising from infinite dimensional LQR control problems. We show that distributed parameter systems described by certain parabolic partial differential equations often have a special structure that smooths solutions of the corresponding Riccati equation. This analysis is motivated by the need to find specific representations for Riccati operators that can be used in the development of computational schemes for problems where the input and output operators are not Hilbert-Schmidt. This situation occurs in many boundary control problems and in certain distributed control problems associated with optimal sensor/actuator placement.     

Riccati equation arising in the boundary control of stochastic hyperbolic systems

A Riccati equation of stochastic control theory is studied directly. The equation arises in the synthesis of a linear quadratic regulator problem for systems governed by stochastic partial differential equations of hyperbolic type, with contorl acting on the boundary through Dirichlet of Neumann conditions     

Optimal Control Problem Governed by Semilinear Parabolic Equation and its Algorithm

In this paper, an optimal control problem governed by semilinear parabolic equation which involves the control variable acting on forcing term and coefficients appearing in the higher order derivative terms is formulated and analyzed. The strong variation method, due originally to Mayne et al to solve the optimal control problem of a lumped parameter system, is extended to solve an optimal control problem governed by semilinear parabolic equation, a necessary condition is obtained, the strong variation algorithm for this optimal control problem is presented, and the corresponding convergence result of the algorithm is verified.     

Optimal control of stochastic functional differential equations with a bounded memory

This paper treats a finite time horizon optimal control problem in which the controlled state dynamics are governed by a general system of stochastic functional differential equations with a bounded memory. An infinite dimensional Hamilton–Jacobi–Bellman (HJB) equation is derived using a Bellman-type dynamic programming principle. It is shown that the value function is the unique viscosity solution of the HJB equation.     

On multivariable encryption schemes based on simultaneous algebraic Riccati equations over finite fields

New multivariable asymmetric public-key encryption schemes based on the NP-complete problem of simultaneous algebraic Riccati equations over finite fields are suggested. We also provide a systematic way to describe any set of quadratic equations over any field, as a set of algebraic Riccati equations. This has the benefit of systematic algebraic crypt-analyzing any encryption scheme based on quadratic equations, to any possible vulnerable hidden structure, in view of the fact that the set of all solutions to any given single algebraic Riccati equation is fully described in terms of all the T-invariant subspaces of some restricted dimension, where T is the matrix of coefficients of the related algebraic Riccati equation.     

Unbounded perturbation of the controllability for evolution equations

In this paper we prove that the controllability for evolution equations in Banach spaces is not destroyed, if we perturb the equation by “small” unbounded linear operator. This is done by employing a perturbation principle from linear operator theory and a characterization of surjective operators in Banach spaces. Finally, we apply these to a control system governed by partial integro-differential equations.     

Discrete matrix Riccati equations with superposition formulas

An ordinary differential equation is said to have a superposition formula if its general solution can be expressed as a function of a finite number of particular solution. Nonlinear ODE's with superposition formulas include matrix Riccati equations. Here we shall describe discretizations of Riccati equations that preserve the superposition formulas. The approach is general enough to include q-derivatives and standard discrete derivatives.     

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.

     

The Infinite-Dimensional Optimal Filtering Problem with Mobile and Stationary Sensor Networks

In this article, we introduce a framework to address filtering and smoothing with mobile sensor networks for distributed parameter systems. The main problem is formulated as the minimization of a functional involving the trace of the solution of a Riccati integral equation with constraints given by the trajectory of the sensor network. We prove existence and develop approximation of the solution to the Riccati equation in certain trace-class spaces. We also consider the corresponding optimization problem. Finally, we employ a Galerkin approximation scheme and implement a descent algorithm to compute optimal trajectories of the sensor network. Numerical examples are given for both stationary and moving sensor networks.