HS 2007

151-0563-00

Optimale Regelung
H. P. Geering

2V Mi 13–15 ML F38 ab 26. September

1U Mi 15–16 ML F38 ab 3. Oktober

Skript:
H. P. Geering
Optimal Control with Engineering Applications
Springer, 2007, ISBN 978-3-540-69437-3

Assistenten: Simon Keel, Florian Herzog, Gabriel Dondi

Testatbedingung: 5 von 6 Übungen akzeptiert.

Prüfung: eine halbe Stunde, mündlich

Topics:
• optimal open-loop control (Pontryagin)
• optimal closed-loop control (HJB)
• differential games ( ↔ robust control)

Methods:
• calculus of variations
• geometry

• ordinary and partial differential equations

 ProblemA

Problem A:
Optimal control problem with a fixed final state

Find a piecewise continuous control u : [ta , tb ] → Ω ⊆ Rm ,

such that the constraints

x(ta ) = xa
ẋ(t) = f (x(t), u(t), t) t ∈ [ta , tb ]
x(tb ) = xb

are satisfied and such that the cost functional

 tb
J(u) = K(tb ) + L(x(t), u(t), t) dt
ta

is minimized;

Subproblem A.1: tb is fixed,

Subproblem A.2: tb is free (tb > ta ).

Remark: ta , xa ∈ Rn , xb ∈ Rn are specified; Ω ⊆ Rm is

time-invariant.
 moving target

Problem A.2 with a “moving target”:

Find a piecewise continuous control u : [ta , tb ] → Ω ⊆ Rm ,
such that the constraints

x(ta ) = xa
ẋ(t) = f (x(t), u(t), t) t ∈ [ta , tb ]
x(tb ) = g(tb )

are satisfied and such that the cost functional

 tb
J(u) = K(tb ) + L(x(t), u(t), t) dt
ta

is minimized.

Remark: ta , xa ∈ Rn are specified; Ω ⊆ Rm is time-invariant.

 ProblemB

Problem B:
Optimal control problem with a partially constrained
final state
Find a piecewise continuous control u : [ta , tb ] → Ω ⊆ Rm ,
such that the constraints

x(ta ) = xa

ẋ(t) = f (x(t), u(t), t) t ∈ [ta , tb ]

x(tb ) ∈ S

are satisfied and such that the cost functional

 tb
J(u) = K(x(tb ), tb ) + L(x(t), u(t), t) dt
ta

is minimized;

Subproblem B.1: tb is fixed,

Subproblem B.2: tb is free (tb > ta ).

Remark: ta , xa ∈ Rn , S ⊆ Rn are specified; Ω ⊆ Rm is

time-invariant.
 ProblemC

Problem C:
Optimal control problems with a free final state

Find a piecewise continuous control u : [ta , tb ] → Ω ⊆ Rm ,

such that the constraints

x(ta ) = xa
ẋ(t) = f (x(t), u(t), t) t ∈ [ta , tb ]

are satisfied and such that the cost functional

 tb
J(u) = K(x(tb ), tb ) + L(x(t), u(t), t) dt
ta

is minimized;

Subproblem C.1: tb is fixed,

Subproblem C.2: tb is free (tb > ta ).

Remark: ta , xa ∈ Rn are specified; Ω ⊆ Rm is time-invariant.

 ProblemD

Problem D:
Optimal control problems with state constraints

Find a piecewise continuous control u : [ta , tb ] → Ω ⊆ Rm ,

such that the constraints

x(ta ) = xa
ẋ(t) = f (x(t), u(t), t) t ∈ [ta , tb ]
x(t) ∈ Ωx (t) t ∈ [ta , tb ]
x(tb ) ∈ S

Ωx (t) = {x ∈ Rn | G(x, t) ≤ 0; G : Rn × [ta , tb ] → R}

S = {x ∈ Rn | GS (x) ≤ 0; GS : Rn → R}

are satisfied and such that the cost functional

 tb
J(u) = K(x(tb ), tb ) + L(x(t), u(t), t) dt
ta

is minimized;

Subproblem D.1: tb is fixed,

Subproblem D.2: tb is free (tb > ta ).

Remark: ta , xa ∈ Rn are specified, Ω ⊆ Rm is time-invariant.

Static Optimization:
Problem:
Minimize a scalar functons of several variables which are
unconstrainded (S = Rn ) or constrained to a set (S ⊂ Rn ):

f : S ⊆ Rn → R

a) unconstrained:
minimize f (x) for x ∈ Rn

b) constrained:
minimize f (x) for x ∈ S ⊂ Rn

Methods:
• calculus of variations
• Lagrange multiplier method

• geometry
Geometry:
• gradient ∇x f of f (x)
∂f
• hyperplane ∇x f T δx = δx = 0
∂x
• open half space ∇x f T δx > 0
• open half space ∇x f T δx < 0

• tangent cone T (S, xo )

• normal cone T ∗ (S, xo )

• transversality condition

• the Lagrange multiplier vector

• tangent plains of f in Rn+1

• the singular case with λo0 = 0

• geometry of the optimal control problem
at the fixed final time tb