Discrete Optimal Control: Second Order Optimality Conditions |
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Authors: | Roman Hilscher Vera Zeidan |
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Institution: | Department of Mathematics , Michigan State University , East Lansing, MI, 48824-1027, USA |
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Abstract: | In this paper, we present a survey and refinement of our recent results in the discrete optimal control theory. For a general nonlinear discrete optimal control problem (P) , second order necessary and sufficient optimality conditions are derived via the nonnegativity ( I S 0) and positivity ( I >0) of the discrete quadratic functional I corresponding to its second variation. Thus, we fill the gap in the discrete-time theory by connecting the discrete control problems with the theory of conjugate intervals, Hamiltonian systems, and Riccati equations. Necessary conditions for I S 0 are formulated in terms of the positivity of certain partial discrete quadratic functionals, the nonexistence of conjugate intervals, the existence of conjoined bases of the associated linear Hamiltonian system, and the existence of solutions to Riccati matrix equations. Natural strengthening of each of these conditions yields a characterization of the positivity of I and hence, sufficiency criteria for the original problem (P) . Finally, open problems and perspectives are also discussed. |
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Keywords: | Discrete Maximum Principle Linear Hamiltonian Difference System Discrete Quadratic Functional Accessory Problem Optimality Conditions Conjugate Interval Riccati Difference Equation |
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