Optimality and sensitivity for semilinear bang-bang type optimal control problems

Ursula Felgenhauer

International Journal of Applied Mathematics and Computer Science (2004)

  • Volume: 14, Issue: 4, page 447-454
  • ISSN: 1641-876X

Abstract

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In optimal control problems with quadratic terminal cost functionals and systems dynamics linear with respect to control, the solution often has a bang-bang character. Our aim is to investigate structural solution stability when the problem data are subject to perturbations. Throughout the paper, we assume that the problem has a (possibly local) optimum such that the control is piecewise constant and almost everywhere takes extremal values. The points of discontinuity are the switching points. In particular, we will exclude the so-called singular control arcs, see Assumptions 1 and 2, Section 2. It is known from the results by Agrachev et al. (2002) stating that regularity assumptions, together with a certain strict second-order condition for the optimization problem formulated in switching points, are sufficient for strong local optimality of a state-control solution pair. This finite-dimensional problem is analyzed in Section 3 and optimality conditions are formulated (Lemma 2). Using well-known results concerning solution sensitivity for mathematical programs in R^n (Fiacco, 1983) one may further conclude that, under parameter changes in the problem data, the switching points will change Lipschitz continuously. The last section completes these qualitative statements by calculating sensitivity differentials (Theorem 2, Lemma 6). The method requires a simultaneous solution of certain linearized multipoint boundary value problems.

How to cite

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Felgenhauer, Ursula. "Optimality and sensitivity for semilinear bang-bang type optimal control problems." International Journal of Applied Mathematics and Computer Science 14.4 (2004): 447-454. <http://eudml.org/doc/207709>.

@article{Felgenhauer2004,
abstract = {In optimal control problems with quadratic terminal cost functionals and systems dynamics linear with respect to control, the solution often has a bang-bang character. Our aim is to investigate structural solution stability when the problem data are subject to perturbations. Throughout the paper, we assume that the problem has a (possibly local) optimum such that the control is piecewise constant and almost everywhere takes extremal values. The points of discontinuity are the switching points. In particular, we will exclude the so-called singular control arcs, see Assumptions 1 and 2, Section 2. It is known from the results by Agrachev et al. (2002) stating that regularity assumptions, together with a certain strict second-order condition for the optimization problem formulated in switching points, are sufficient for strong local optimality of a state-control solution pair. This finite-dimensional problem is analyzed in Section 3 and optimality conditions are formulated (Lemma 2). Using well-known results concerning solution sensitivity for mathematical programs in R^n (Fiacco, 1983) one may further conclude that, under parameter changes in the problem data, the switching points will change Lipschitz continuously. The last section completes these qualitative statements by calculating sensitivity differentials (Theorem 2, Lemma 6). The method requires a simultaneous solution of certain linearized multipoint boundary value problems.},
author = {Felgenhauer, Ursula},
journal = {International Journal of Applied Mathematics and Computer Science},
keywords = {strong local optima; optimality conditions; sensitivity differentials; bang-bang control; stability in optimal control; solution structure},
language = {eng},
number = {4},
pages = {447-454},
title = {Optimality and sensitivity for semilinear bang-bang type optimal control problems},
url = {http://eudml.org/doc/207709},
volume = {14},
year = {2004},
}

TY - JOUR
AU - Felgenhauer, Ursula
TI - Optimality and sensitivity for semilinear bang-bang type optimal control problems
JO - International Journal of Applied Mathematics and Computer Science
PY - 2004
VL - 14
IS - 4
SP - 447
EP - 454
AB - In optimal control problems with quadratic terminal cost functionals and systems dynamics linear with respect to control, the solution often has a bang-bang character. Our aim is to investigate structural solution stability when the problem data are subject to perturbations. Throughout the paper, we assume that the problem has a (possibly local) optimum such that the control is piecewise constant and almost everywhere takes extremal values. The points of discontinuity are the switching points. In particular, we will exclude the so-called singular control arcs, see Assumptions 1 and 2, Section 2. It is known from the results by Agrachev et al. (2002) stating that regularity assumptions, together with a certain strict second-order condition for the optimization problem formulated in switching points, are sufficient for strong local optimality of a state-control solution pair. This finite-dimensional problem is analyzed in Section 3 and optimality conditions are formulated (Lemma 2). Using well-known results concerning solution sensitivity for mathematical programs in R^n (Fiacco, 1983) one may further conclude that, under parameter changes in the problem data, the switching points will change Lipschitz continuously. The last section completes these qualitative statements by calculating sensitivity differentials (Theorem 2, Lemma 6). The method requires a simultaneous solution of certain linearized multipoint boundary value problems.
LA - eng
KW - strong local optima; optimality conditions; sensitivity differentials; bang-bang control; stability in optimal control; solution structure
UR - http://eudml.org/doc/207709
ER -

References

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