Necessary conditions for optimal control problems with state constraints

Necessary conditions of optimality are derived for optimal control problems with pathwise state constraints, in which the dynamic constraint is modelled as a differential inclusion. The novel feature of the conditions is the unrestrictive nature of the hypotheses under which these conditions are shown to be valid. An Euler Lagrange type condition is obtained for problems where the multifunction associated with the dynamic constraint has values possibly unbounded, nonconvex sets and satisfies a mild `one-sided' Lipschitz continuity hypothesis. We recover as a special case the sharpest available necessary conditions for state constraint free problems proved in a recent paper by Ioffe. For problems where the multifunction is convex valued it is shown that the necessary conditions are still valid when the one-sided Lipschitz hypothesis is replaced by a milder, local hypothesis. A recent `dualization' theorem permits us to infer a strengthened form of the Hamiltonian inclusion from the Euler Lagrange condition. The necessary conditions for state constrained problems with convex valued multifunctions are derived under hypotheses on the dynamics which are significantly weaker than those invoked by Loewen and Rockafellar to achieve related necessary conditions for state constrained problems, and improve on available results in certain respects even when specialized to the state constraint free case.

Proofs make use of recent `decoupling' ideas of the authors, which reduce the optimization problem to one to which Pontryagin's maximum principle is applicable, and a refined penalization technique to deal with the dynamic constraint.

     

State constrained optimal control problems with time delays

In a recent, related, paper, necessary conditions in the form of a Maximum Principle were derived for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions covered fixed end-time problems and, under additional hypotheses, free end-time problems. These conditions improved on previous conditions in the following respects. They provided the first fully non-smooth Pontryagin Maximum Principle for problems involving delays in both state and control variables, only special cases of which were previously available. They provide a strong version of the Weierstrass condition for general problems with possibly non-commensurate control delays, whereas the earlier literature does so only under structural assumptions about the dynamic constraint. They also provided a new ‘two-sided’ generalized transversality condition, associated with the optimal end-time. This paper provides an extension of the Pontryagin Maximum Principle of the earlier paper for time delay systems, to allow for the presence of a unilateral state constraint. The new results fully recover the necessary conditions of the earlier paper when the state constraint is absent, and therefore retain all their advantages but in a setting of greater generality.     

Natural boundary conditions in the calculus of variations

We prove necessary optimality conditions for problems of the calculus of variations on time scales with a Lagrangian depending on the free end‐point. Copyright © 2010 John Wiley & Sons, Ltd.     

On optimal control problems with general boundary conditions

It is shown that the necessary optimality conditions for optimal control problems with terminal constraints and with given initial state allow also to obtain in a straightforward way the necessary optimality conditions for problems involving parameters and general (mixed) boundary conditions. In a similar manner, the corresponding numerical algorithms can be adapted to handle this class of optimal control problems.This research was supported in part by the Commission on International Relations, National Academy of Sciences, under Exchange Visitor Program No. P-1-4174.The author is indebted to the anonymous reviewer bringing to his attention Ref. 9 and making him aware of the possible use of generalized inverse notation when formulating the optimality conditions.     

A note on the free terminal time transversality condition

This note clarifies some issues dealing with the necessary condition for the optimal terminal time in free terminal time optimal control problems. It is shown that this condition is independent of the other maximum principle conditions and a simple proof is presented. Also the economic interpretation of the condition is provided.     

Optimal Control of Non-convex Measure-driven Differential Inclusions

Necessary conditions for optimality in control problems with differential-inclusion dynamics have recently been developed in the non-convex case by Clarke, Vinter, and others. Using appropriate reparametrizations of the time variable, we extend these results to systems whose dynamics involve a differential inclusion where a vector-valued measure appears. An auxiliary result central to our proof is an extension of existing free end-time necessary conditions to Clarke’s stratified framework.     

Necessary and sufficient conditions for discrete and differential inclusions of elliptic type

This paper deals for the first time with the Dirichlet problem for discrete (PD), discrete approximation problem on a uniform grid and differential (PC) inclusions of elliptic type. In the form of Euler-Lagrange inclusion necessary and sufficient conditions for optimality are derived for the problems under consideration on the basis of new concepts of locally adjoint mappings. The results obtained are generalized to the multidimensional case with a second order elliptic operator.     

Adaptive stability in combinatorial optimization problems

We consider a general approach to the construction of necessary, sufficient, and necessary and sufficient conditions that allow to ‘adapt’ a known optimal solution of an abstract combinatorial problem with a certain structure to a change in the initial data set for a fixed cost function ‘easily’ from the combinatorial point of view. We call this approach adaptive stability. Apparently, it is the first time that the approach is described for an abstract problem in a rigorous mathematical formalization.     

Fractured solutions in the calculus of variations

We derive necessary conditions and sufficient conditions for a strong minimum of a variational problem over a class of functions which allow for a finite number of fractures (simple discontinuities) in the dependent variable. Our analysis is applicable, with some modification, to variational problems which arise in the optimization of hydrodynamically lubricated bearings.     

Optimality conditions for fractional variational problems with dependence on a combined Caputo derivative of variable order

We establish necessary optimality conditions for variational problems with a Lagrangian depending on a combined Caputo derivative of variable fractional order. The endpoint of the integral is free, and thus transversality conditions are proved. Several particular cases are considered illustrating the new results.     

KKT conditions for weak compact convex sets,theorems of the alternative,and optimality conditions

We present several equivalent conditions for the Karush–Kuhn–Tucker conditions for weak^? compact convex sets. Using them, we extend several existing theorems of the alternative in terms of weak^? compact convex sets. Such extensions allow us to express the KKT conditions and hence necessary optimality conditions for more general nonsmooth optimization problems with inequality and equality constraints. Furthermore, several new equivalent optimality conditions for optimization problems with inequality constraints are obtained.     

Problems with free boundaries for nonlinear parabolic equations

We establish necessary conditions for the existence of effects of space localization and stabilization in time that are qualitatively new for evolutionary equations. We suggest constructive methods for the solution of the corresponding one-dimensional problems with free boundaries that appear in ecology and medicine. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 49, No. 10, pp. 1360–1372, October, 1997.     

Minimax Control of Parabolic Systems with Dirichlet Boundary Conditions and State Constraints

In this paper we formulate and study a minimax control problem for a class of parabolic systems with controlled Dirichlet boundary conditions and uncertain distributed perturbations under pointwise control and state constraints. We prove an existence theorem for minimax solutions and develop effective penalized procedures to approximate state constraints. Based on a careful variational analysis, we establish convergence results and optimality conditions for approximating problems that allow us to characterize suboptimal solutions to the original minimax problem with hard constraints. Then passing to the limit in approximations, we prove necessary optimality conditions for the minimax problem considered under proper constraint qualification conditions. Accepted 7 June 1996     

The maximum principle in optimal control problems with concentrated and distributed delays in controls

In the present work there has been posed and studied a general nonlinear optimal problem and a quasi-linear optimal problem with fixed time and free right end. It contains absolutely continuous monotone delays in phase coordinates and absolutely continuous monotone and distributed delays in controls. For these problems the necessary and, respectively, sufficient conditions of optimality in the form of the maximum principle have been proved.     

Optimal processes in smooth-convex minimization problems

The paper elaborates a general method for studying smooth-convex conditional minimization problems that allows one to obtain necessary conditions for solutions of these problems in the case where the image of the mapping corresponding to the constraints of the problem considered can be of infinite codimension. On the basis of the elaborated method, the author proves necessary optimality conditions in the form of an analog of the Pontryagin maximum principle in various classes of quasilinear optimal control problems with mixed constraints; moreover, the author succeeds in preserving a unified approach to obtaining necessary optimality conditions for control systems without delays, as well as for systems with incommensurable delays in state coordinates and control parameters. The obtained necessary optimality conditions are of a constructive character, which allows one to construct optimal processes in practical problems (from biology, economics, social sciences, electric technology, metallurgy, etc.), in which it is necessary to take into account an interrelation between the control parameters and the state coordinates of the control object considered. The result referring to systems with aftereffect allows one to successfully study many-branch product processes, in particular, processes with constraints of the “bottle-neck” type, which were considered by R. Bellman, and also those modern problems of flight dynamics, space navigation, building, etc. in which, along with mixed constraints, it is necessary to take into account the delay effect. The author suggests a general scheme for studying optimal process with free right endpoint based on the application of the obtained necessary optimality conditions, which allows one to find optimal processes in those control systems in which no singular cases arise. The author gives an effective procedure for studying the singular case (the procedure for calculating a singular control in quasilinear systems with mixed constraints. Using the obtained necessary optimality conditions, the author constructs optimal processes in concrete control systems. __________ Translated from Sovremennaya Matematika i Ee Prilozheniya (Contemporary Mathematics and Its Applications), Vol. 42, Optimal Control, 2006.     

Remarks on nonlocal boundary value problems at resonance

We show that it is important to allow the nonlinear term to change sign when discussing existence of a positive solution for multipoint, or more general nonlocal, boundary value problems in the resonant case. When the nonlinear term has a fixed sign we obtain simple necessary and sufficient conditions for the existence of positive solutions.     

Flocking in multi-agent systems with active virtual leader and time-varying delays coupling

In this paper, we presented a practical control protocol for flocking problems that is based only on the three classical assumptions for flocking systems. Some necessary and sufficient conditions that allow the agents to follow the leader when its acceleration is known and estimate the tracking errors when it is unknown are obtained for particular case. Some numerical simulations are also provided to show the validity of the theories.     

Value-Restricted Functions for Robust and Simultaneous Stability

Different problems, like robust stability of interval plants, stability dependent of delay, and simultaneous stabilizability of three systems are treated via a single method. The value set properties for certain derived functions allow usage of computational analytic inequalities. This approach leads to necessary conditions for the parameters of the stability problems. (© 2005 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Optimization under Generalized Equation Constraints in Asplund Spaces

In this article, necessary optimality conditions for mathematical programming problems under generalized equation constraints problems are studied in Asplund spaces. We consider a very general version of the problem and derive necessary optimality conditions under various hypothesis on the problem data and sacrificing the differentiability assumption.