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÷
 

‡   

 
 is used in
optimal control theory to find the best possible
control for taking a dynamic system from one
state to another, especially in the presence of
constraints for the state or input controls. One
of these methods is the max principle which
was initially proposed by Pontryagin. It was
formulated by the Russian mathematician Lev
Semenovich Pontryagin and his students. It has
a general case as the Euler-Lagrangian
equation of the calculus of variations.
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?

A






:

subject to Q = Q(K) with : and Ë:
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e are not looking for a single optimal value C*, but for values C that produce an
optimal value for the integral (or aggregate discounted consumption over time).
?he principle states informally that the Hamiltonian

„
   O 


  
O? 
  


where  is a vector of co-state variables of the same dimension as the state
variables  
must be minimized over the set of all permissible
controls U, as seen in the second Euler-Lagrange
equation.
„

   O 

O


„
   O 

:



hich is the necessary condition for optimum value.

‡ First Pontryagin proved that a necessary condition
for solving the optimal control problem is that the
control should be chosen so as to optimize the
Hamiltonian; that is:
(1-24)
„
O


O
„„„„„„„„„„„„„„„„„„„„„„ ÚV„„„„„„„„„ Ú: 
„

‡ In case of closed and bounded control region, the optimal

control „ 
 O 
is found by optimizing „
   O 
w.r.t u
in the given control region U, while treating other variables as
if they are constants.
‡ ?herefore, „ 
 O 
is the admissible control vector for which
„
   O 
is maximum or (minimum).
‡ ?hen he generalized ³Pontryagin's maximum
principle´ which states that the optimal state
trajectory  *, optimal control u *, and
corresponding Lagrange multiplier vector Ȝ *
must optimize the Hamiltonian so that:
„ 
 O 


  
 O 
 O 

(1-25)

   O 



‡ ?hen after he introduced the general theorem: if

u*(.) is an optimal control, then there exist a
function H*(.), is called the co-state, that
satisfies a certain maximization principle.
‡ Using Pontryagin Principle in solving Optimal Control
Problems can be summarized in the following steps:
‡ Given the plant equation as in equation (1-15)
‡ Given the performance index as in equation (1-14)
‡ Given the control variable constraints
Step 1: Form the Pontryagin function as in equation (1-
17)
Step 2: ÷inimize H w.r.t all admissible control vectors to
find u*
Step 3: Find the Pontryagin function H* by substitute u*
in step 1.
Step 4: Solve the state and co-state equations with the
boundary conditions given.
Step 5: Substitution of results 4 into step 2 results in the
Optimum Control u*.
Y

Given the plant equation as





 

„„„„„„„„„„ „„„„„  

X  





?he performance index to be minimized



A

 

  r


:
?he control inequality constraints are given by.
„ 


„„„„„„„„„„„„„  „„„

: 


  :
Step 1. pontryagin function
 



6 

  O  O  O
 
Step 2: minimize H subject to inequality constraint which results in
the following equation (þ
uuu

)




O 


?hus for O


the control u is given by 


XO


and when O

l we find that the control minimizes H is:

X  O 

l




 O 

 X

?he optimal control strategy is given in the figure below:



m O



-m

-m

If the boundary conditions are given then optimal control u(t) can be found
solving the state and co-state equations.
 ? ÷
 
  
   

e begin by starting a general form of a

nonlinear programming problem.

j: be an -component column vector,

: be an
-component column vector,
: be an -component column vector.
þ be given functions
e assume functions  and þ to be column
vectors with components
and ,respectively.
e consider the nonlinear programming
problem:

subject to
ith equality constraints, we can use the
Lagrangian as:

where O is an
component row vector
?he necessary condition for j* to be a
(maximum) solution to be (1) and (2) is that
there exists an
- component row vector O such
that:

j O 
j  O
: and
:
j O

Finding out j and O

ë    





:
j j j
 


However, the conditions in (8) are new and are

particular to the inequality-constrained
problem.
Y



  e form the Lagrangian

?he necessary conditions (6)-(8) become

 

  
:





 
From (9) we get = 4, which also satisfies (10).
Hence, this solution, which makes (4)=16, is a
possible candidate for the maximum solution.
 
Here from (9) we get  = - 4, which does not
satisfy the inequality   0 in (11).

From these two cases we conclude that the

optimum solution is *4 and
Y

 solve the problem:

   ?he Lagrangian is

?he necessary conditions are

 X 
: 






   0
From (12) we obtain = 4 , which does not
satisfy (13), thus, infeasible solution.

  =6
(13) holds. From (12) we get  4, so that (14)
holds. ?he optimal solution is then

since it is the only solution satisfying the

necessary conditions.
Y

 Find the shortest distance between
the point (2.2) and the point solving the
following :
?he Lagrangian function for this problem is


?he necessary conditions are











From  we see that either  =0 or j =1,i.e., we

are on the boundary of the semicircle. If  =0, we see
from 
 that =2. But =2 does not satisfy 
 for
any j , and hence we conclude and j =1.
From (21) we conclude that either or j=0. If
, then from (16), (17) and  0, we get
j. Solving the latter with j =1 , gives
; and

 j

 j


   


  ;  
If j=0, then 
 is not satisfied the two points are
shown in figure. Of the two points found that satisfy
the necessary conditions, clearly the point

  is the nearest point and solves the closest-

 j



point problem. ?he other point
  j





is in fact
the farthest point.
 j


È


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rt t i t

X X

l
t it  È