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1129 - 720 - Dieu Khien Toi Uu
1129 - 720 - Dieu Khien Toi Uu
6 January 2012 `Ph lc Ni dung Ph lc Bi 1Gii thiu chung 1 nh ngha 2 iu kin hn ch 3 Bi ton iu khin ti u 3.1 iu khin ti u tnh 3.2 iu khin ti u ng Bi 2 iu khin ti u tnh 1 M t ton hc. 2 Biu din hnh hc. 3 Gi thit cho li gii. 3.1 Bi ton ti u khng c gii hn. 3.2 Bi ton ti u c gii hn. Bi 3 Phng php khng dng o hm ring 1. t vn . 2. Phng php Gauss/Seidel. 3. Cc phng php khc. 3.1 Phng php Rosenbrock. 3.2 Phng php n hnh. 3.3 Phng php hng tm ngu nhin. Bi 4 Phng php o hm ring 1. t vn 2. o hm ring theo ngha hp. 3. Phng php h nhanh nht. Bi 5 Phng php hng lin hp 1. t vn . 2. Thut ton hng lin hp. Bi 6 Phng php Newton/Raphson 1. Ni dung ca phng php. 2. Thut ton Newton-Raphson. Bi 7 Cc tiu ho hm mt bin 1. t vn . 2. Phng php nht ct vng. 3. Phng php Fibonaci. Bi 8 Bi ton ti u c gii hn 1. Bi ton ti u c gii hn 2. Phng php i bin c lp Tran g 1 3 3 3 4 4 5 6 6 6 7 7 8 10 10 10 13 13 13 14 15 15 16 16 17 17 19 21 21 21 24 24 25 26 28 28 28 1
Bi 1 Gii thiu chung 1. nh ngha. iu khin ti u l mt chuyn ngnh c bn trong iu khin t ng, n c vai tr xc nh v to lp nhng lut iu khin cho h thng h thng t c ch tiu v tnh hiu qu c nh trc di dng hm mc tiu Q. Trong thc t tn ti cc bi ton iu khin ti u nh sau: - Bi ton ti u cc tiu: + Xc nh tham s ca m hnh sao cho bnh phng sai lch trung bnh gia m hnh v i tng t gi tr nh nht, v d nh hun luyn mng n-ron, nhn dng i tng, ...
x = (x1 x2 . . . xn)T l cc trng thi y = (y1 y2 . . . ym)T l cc u ra Do bi ton ti u c thc hin trn m hnh h thng, cho nn li gii ca bi ton ti u ph thuc vo chnh xc ca m hnh h thng. Nhng tn hiu khng th m t c trong cc phng trnh trn s c coi l nhiu tc ng. 3. Bi ton iu khin ti u.
xi = f i ( x1 , x 2 ..., x n , u1 , u 2 ..., u r )
vi
vit gn li thnh:
x = f ( x, u )
. vi
y = ( y1 , y 2 ,..., y m ) .
T
Cc u ra ca h thng l
y =g ( x, u )
Q = f 0 ( x, u )dt
0
, trontg
Vi bi ton iu khin ti u tnh, y chnh l bi ton cc tr vi nhng iu kin rng buc. C nhiu phng php gii bi ton cc tr, y chng ta ch nghin cu cc phng php phi tuyn: + Cc phng php khng dng o hm ring. + Cc phng php o hm ring. + Phng php hng lin hp. + Phng php Newton-Raphson. Vi bi ton iu khin ti u ng, ch nghin cu cc phng php sau: + Phng php bin phn kinh in. + Phng php cc i ca Pontrjagin + Phng php qui hoch ng ca Bellman
u U
Hm mc tiu c dng nh sau: Q = Q(u,y) = Q(u,f(u)) = Q(u) Khng mt tnh tng qut nu gi thit tiu chun ti u l: Q(u) min Bi ton iu khin ti u tnh c pht biu nh sau: Tm tn hiu ti u u* U , sao cho Q(u*) t gi tr nh nht. Khi , ta c
Q (u ) Q (u )
*
U u
(1)
Nu u* tho mn (1) vi mi u thuc U, th u* c gi l vc t ti u ton cc. Nu u* tho mn (1) vi mi u thuc ln cn u*, th u* c gi l vc t ti u cc b. 2. Biu din hnh hc. Xt h thng c hai tn hiu u vo u1 v u2. Hm mc tiu Q ch ph thuc vo u1 v u2, Q = Q(u1,u2). Gi thit hm mc tiu Q c th nh hnh 1.
u1* Vy im ti u u = * l im thuc mt phng (u1,u2), u 2
*
Q B
A O
u1
ng ng mc
u2
Hnh 1
3. Gi thit cho li gii. 3.1. Bi ton ti u khng c gii hn. - Nghim u* ca bi ton ti u khng c gii hn l mt im cc tr. Cc im cc tr tho mn h phng trnh vi phn
Q =0 u k k = 1,2..., r
hay
Q Q Q Q T =( , ,..., ) =0 u u1 u 2 u r
- Ti mi im u ca mt cong Q tn ti vc t o hm ring
Q u
, k hiu l
gradQ =
Q u
, vc t o hm ring gradQ c
+ Bc 3: Tm uk theo hng tm v khong cch bc tm. + Bc 4: Kim tra iu kin. Nu || uk - uk-1 || chuyn sang bc 5. Nu || uk - uk-1 || > quay v bc 2. + Bc 5: Nghim ti u gn ng l u* = uk vi chnh xc l .
Bi 3 Phng php khng dng o hm ring 1. t vn . Vic tm u* thng qua h phng trnh vi phn gradQ = 0 (*) khng phi l tt nht cho mi trng hp v nhng l do sau: + H phng trnh (*) c th rt phc tp. + Hm mc tiu Q c th tn ti nhiu im cc tr ti im lun tho mn h phng trnh (*). + Khng phi hm mc tiu no cng kh vi. Chnh v nhng l do ny, m cn phi c cc phng php tm nghim ti u u* m khng dng vc t o hm ring (gradient).
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c hng th k + 1 c gi tr bng 1, cc hng khc u bng khng. - Xc nh khong cch bc tm sk: sk c xc nh sao cho hm mc tiu t gi tr nh nht trn hng tm hk. sk* = argminQ(uk + skhk) + Bc 3: uk+1 = uk + sk*hk + Bc 4: Kim tra iu kin. Nguyn Hoi Nam 11
1 1 1 + s 0 u 1 = u 0 + s0 h 0 = + s0 = 1 0 1
Q(u1) =
(1 + s 0 ) 2 + 2 3 ,
ta c
Q(u 1 ) = 2(1 + s 0 ) = 0 , s 0
suy ra s0 = -1
Vy s0* = argminQ(u1) = -1 Bc 3:
1 1 1 + s 0 0 u 1 = u 0 + s0 h 0 = + s 0 = = 1 0 1 1
0 0 0 u 2 = u 1 + s1 h1 = + s1 = 1 1 1 + s1
Q (u 2 ) = 4(1 + s1 ) = 0 , s1
suy ra s1 = -1
12
0 1 s u 3 = u 2 + s2 h 2 = + s2 = 2 1 0 1
2 Q(u3) = s 2 + 2.0 3 , ta c
Q (u 3 ) = 2s 2 = 0 , s 2
suy ra s2 = 0
Vy s2* = argminQ(u3) = 0 Bc 3:
s * 0 u2 = 2 = 0 0
Sau hai vng tnh ta tm c nghim ti u u* = u2. u im ca phng php l: nu h thng c r u vo, hm mc tiu c dng chnh phng th nghim ti u u* s c tm thy sau ng r vng. 3. Cc phng php khc. 3.1 Phng php Rosenbrock.
13
u2
u1
14
3.3 Phng php hng tm ngu nhin. Hng tm ngu nhin c ly t tp ngu nhin c phn b chun, u cc hng trong khng gian. uk c tm theo hng c chn ngu nhin bc k. Nu Q(uk) < Q(uk-1) th hng tm vn c dng tm uk+1 tip theo, nu khng th chn theo hng ngc li.
15
Bi 4 Phng php o hm ring 1. t vn . Theo phng php ny, hng tm c xc nh theo vc t o hm ring ca hm mc tiu Q theo cc bin u vo gradQ. Vn t ra l tnh vc t o hm ring gradQ nh th no? Tu thuc vo hm mc tiu Q c cho di dng cng thc, bng tra hay thut ton m ta c phng php tnh gradQ khc nhau. Khi hm gradQ cho di dng cng thc, tnh gradQ theo phng php gii tch.
Q u 1 Q g r a (udk )Q= u2 : Q ur
u = uk
sau thay gi tr u = uk vo. Nu hm mc tiu Q cho di dng bng tra hoc thut ton th c cc phng php tnh gradQ nh sau: + Phng php th nht:
16
Q ui
= u = uk
Q ui
= u = uk
vi i = 1, 2, ..., r.
2. Phng php o hm ring theo ngha hp. Hng tm c hng ngc li so vi hng ca vc t o hm ring gradQ hk = - gradQ(uk). Khong cch bc tm t l vi ln ca gradQ(uk). Gi tr uk+1 c tnh theo cng thc sau: uk+1 = uk - s.gradQ(uk) Khong cch bc tm s c nh hng rt ln n tc hi t ca phng php. + Nu s nh, s bc tnh ln, s ln tnh gradQ nhiu. + Nu s ln, chui gi tr {uk} phn k. V ti im cc tr gradQ(u) = 0 nn phng php s cho mt dy {uk} hi t n mt im cc tr. Khi Q khng c im yn nga, im cc tr c th l cc b hoc ton cc. Mun tm nghim ti u u* ton cc, nn p dng phng php cho nhiu im ban u u0 khc nhau. 3. Phng php h nhanh nht.
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u1 = u0 + s0*h0 Thc hin cc bc sau vi k = 1, 2, 3, ... Bc 2: Tm hng hk sao cho: hkThk-1 = 0 Tm sk* nh sau: sk* = argminQ(uk + skhk) Bc 3: Tnh uk+1 = uk + sk*hk. Bc 4: Kim tra iu kin. Nu || uk+1 - uk || chuyn sang bc 5. Nu || uk+1 - uk || > quay v bc 2. Bc 5: Kt thc Nghim ti u gn ng u* = uk+1 vi chnh xc l . .
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Bi 5 Phng php hng lin hp 1. t vn . Xt hm mc tiu c dng chnh phng: A l ma trn n v. u = (u1 u2 . . . ur)T b = (b1 b2 . . . br)T Theo phng php Gauss/Seidel, u* c tm thy sau ng r bc. u* tho mn iu kin
Q = 0 Au + b = 0 u * = Ab . u
Q=
1 T T u Au + b u 2
Theo phng php Gauss/Seidel, cc hng tm song song vi cc trc to , xut pht t y i ti phng php hng lin hp.
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p i Av k pi A pi
T
pi
vi vi i = 1, 2, ...,r l mt c s ca khng gian Rr, c ngha l cc vc t v1, v2, ... vr c lp tuyn tnh vi nhau. Hng tm ban u p0 c th c xc nh nh vc t gradQ hoc c xc nh ngu nhin. Dc theo hng tm pk, uk c tm sao cho Q(uk) t gi tr nh nht. sk* = argminQ(uk-1 + skpk) uk = uk-1 + sk*pk 2. Thut ton hng lin hp. Chn cc vc t c s vi nh sau: vk = -gk-1 vi k = 1, 2, ..., r. Trong gk = gradQ(uk) = Auk + b. pk+1 = -gk + ekpk vi k = 0, 1, ..., r-1. Trong p0 = -g0, h s i hng
ek = p k Ag k pk A pk
T T
Dc theo hng tm pk+1, uk+1 c tm theo t uk theo nguyn tc hm Q t gi tr nh nht. Nguyn Hoi Nam 20
pk+1 = -gk + ekpk sk+1* = argminQ(uk + sk+1pk+1) Bc 3: uk+1 = uk + sk+1*pk+1 Bc 4: u* = ur Phng php hng lin hp c nhng tnh cht sau: + giTgj = 0 vi
j i
+ piTgk = 0 vi i k + Nghim ti u u* tho mn h phng trnh Au* + b = 0. Phng php ny thch hp cho hm mc tiu c dng:
Q= 1 T T u Au + b u 2
vi A l ma trn xc nh dng.
Khi hm mc tiu c dng bt k, khng ging vi dng trn ta c th dung phng php ny tm u*, tuy nhin cn phi thay i. H s i hng c tnh t Q c dng tng qut:
ek = gk g k 1
2 2
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Bi 6 Phng php Newton-Raphson 1. Ni dung ca phng php. Phng php tm nghim ti u s dng o hm bc nht v bc hai ca hm mc tiu nn phi gi thit hm mc tiu Q(u) kh vi hai ln. gii h phng trnh
Q (u ) =0 u
php gii tch, trc tin h (*) c khai trin thnh chui Taylor Nguyn Hoi Nam 22
Q( u ) 2 Q( u ) + (u k + 1 u k ) 2 =0 u uk u uk
2Q 2Q ... 2 u 1 u r u 1 t H(u) = . . . . . . , 2 2Q Q ... 2 u r u 1 u r
g k = gradQ (u k ) .
Suy ra uk+1 = uk - H-1(uk)gk 2. Thut ton Newton-Raphson. Bc 1: Cho > 0 b, chn u0 bt k. Thc hin cc bc sau vi k = 0, 1, 2, ... Bc 2: Tnh Bc 3: Tnh uk+1 = uk - H-1(uk)gk Bc 4: Kim tra iu kin. 23
g k = gradQ (u k ) .
Tnh H(uk)
phng php ny s
2Q 2 u1 H (u ) = 2 Q u u 2 1
H 1 (u ) = 1 47 8 1
2Q u1 u 2 6 1 = 2 Q 1 8 2 u 2
1 6
Bc 1:
0 u0 = 1
Bc 2:
6u + u 2 1 1 8 g0 = 1 0 = 8 , H 1 (u 0 ) = H 1 (u ) = 8u 2 + u1 47 1 1
1 6
Bc 3:
0 1 u 1 = u 0 H 1 (u 0 ) g 0 = 1 47 8 11 0 1 6 8 = 0
1 6
Bc 3:
0 1 u 2 = u 1 H 1 (u 1 ) g 1 = 0 47 8 10 0 1 6 0 = 0
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c th ci t thnh thut ton, chng ta s s dng mt s phng php c bn tm sk* m khng dng o hm. Ta bit Q(uk + skhk) l hm s mt bin, ch phc thuc vo sk, cho nn ta ch xt bi ton cc tiu ho hm mt bin. - Xt hm s mt bin Q(s), gi thit hm s Q(s) tho mn cc iu kin sau: + Q(s) n iu gim khi 0 < s < s* + Q(s) n iu tng khi s* < s + s* l nghim ti u. + Bit mt im s = s1. th ca hm mc tiu Q(s) c dng nh hnh 1. Q(s) f(x)
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, nh vy 0 x 1 .
Khi hm Q(s) = Q(xs1) = f(x), f(x) c th nh hnh 2. f(x) c mt im cc tiu duy nht x* trong khong (0 1), f(1) > f(0). [0 1] c gi l khong nghim. Nguyn tc tm nghim x* l thu nh khong nghim qua tng bc. Trong khong [0 1] chn 2 gi tr bt k x1 v x2 sao cho: 0 < x1 < x2 < 1. Xt cc trng hp sau: + Nu f(x1) < f(x2), khong nghim mi c chn l [0 x2]. + Nu f(x1) f(x2), khong nghim mi c chn l [x1 1]. Vn cn li l chn x1 v x2 nh th no tc hi t l cao nht, tc l tc tm thy x* nhanh nht. 2. Phng php nht ct vng. Xc nh x1, x2 sao cho sau mi ln chia c hai pha u c t l gia khong ln v ton b khong nghim bng t l khong nh chia cho khong ln. Xt khong nghim bt k [xmin xmax]. Gi d l di l khong nghim d = xmax - xmin. Ly hai im x1 < x2 i xng nhau qua im gia ca khong nghim [xmin xmax]. di khong ln l: x2 - xmin v xmax - x1 di khong nh l: xmax - x2 v x1 - xmin Ta c biu thc sau:
( x 2 x min ) 2 = d ( x max x 2 )
, suy ra
x 2 x min = d
5 1 , 2
a=
5 1 = 0,618 2
27
28
c chn t trc. Ta c:
n +1 H s thu nh khong nghim th nht l: 1 = F n +2 n H s thu nh khong nghim th hai l: 2 = F n +1 n k +2 H s thu nh khong nghim th k l: k = F n k +3 2 H s thu nh khong nghim th n l: n = F 3
Sau n ln thu nh khong nghim, khong nghim mi c h s thu nh khong nghim so khong nghim ban u l:
= 1 2 ... n =
1 Fn +2
Thut ton tm nghim x* gn ng theo phng php Fibonaci. Bc 1: Gn xmin = 0; xmax = 1; > 0 b. Tnh f(xmin) v f(xmax). Tm n tho mn iu kin:
1 < Fn +2
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x x
Bc 3: Tnh f(x1), f(x2). + Nu f(x1) < f(x2), gn xmax = x2 + Nu f(x1) f(x2), gn xmin = x1 Gn k = k + 1 Kim tra: k > n chuyn sang bc 4, ngc li quay v bc 2. Bc 4: Nghim ti u gn ng x* c th c chn l mt im bt k thuc khong [xmin xmax]
Bi 8 Bi ton ti u c gii hn 1. Bi ton ti u c gii hn. Cho m hnh h thng c dng nh sau: y = f(u) vi u = (u1 u2 . . . ur)T cc u vo y = (y1 y2 . . . ym)T cc u ra U l min thch hp ca cc bin u vo, c nh ngha
T nh sau: U = {u = (u1 , u 2 ..., u ) u k min u k u k max ; k = 1 r}
u U
Thc cht ca bi ton ti u c gii hn l tm nghim ti u u* trong iu kin u b gii hn bi min thch hp U.
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th
u U
Sau khi tm c v*, ta s tm c u* = *). (v Tu theo min gii hn U m ta c th chn mt trong cc phng php chuyn v sau: +
uk 0 :
Thay
2 u k = vk
+ + +
uk a :
Thay u k =
2v k a 1 + v k2 1 2 vk (u k max u k min ) 2 1 + vk
u k min u k u k max
u u k min k max u k
3. Phng php s dng hm pht v hm chn. 3.1 Hm pht. Trong qu trnh tm tng bc nghim ti u, hm pht c c s dng thng bo rng ti thi im hin ti, gi tr uk ra ngoi min U.
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mt s dng ln.
, nghim ti u u* c
3.2 Hm chn. Trong qu trnh tm tng bc nghim ti u, hm chn c s dng ngn cn vic gi tr uk hin ti c th s vt ra ngoi min U. Vic ngn cn ca hm chn thng l bng nhng gi tr rt ln (mt cch khng bnh thng) ti nhng im gn bin, bn trong hoc bn ngoi Thay Q(u) = Q(u) + S(u), vi iu kin: S(u) = 0 nu u cch xa bin. S(u) = + nu u gn bin.
l
mt s dng ln.
u () = arg min Q (u , ) min
*
p dng cc phng php gii bi ton ti u khng rng buc tm nghim , nghim ti u u* c tm theo cng thc sau: Nguyn Hoi Nam 32
33
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