Solution Strategies For Dynamic Optimization Problems

Dynamic Optimization
Dr. Abebe Geletu

Winter Semester 2011/2012
Ilmenau University of Technology

Department of Simulation and Optimal Processes
(SOP)
sop
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www.tu-ilmenau.de/simulation
Course Content
Topics
1. Introduction
2. Mathematical Preliminaries
- review of calculus of several variables,
- numerical methods of linear and nonlinear equations
3. Numerical Methods of Differential and Differential Algebraic Equations
- Euler methods, Rung Kuttat Methods, Collocation on finite elments
4. Modern Methods of Nonlinear Constrained Optimization Problems
- necessary Optimality Conditions (KKT conditions)
- the sequential quadratic programming (SQP) method
- the interior point method (Optional)
5. Direct Methods for Dynamic Optimization Problems
- An overview of the maximum principle
- Direct methods Collocation on finite elements
6. Introduction to Model Predictive Control (Optional)
Prerequisites: Programming under MATLAB, (Knowledge of C/C++ is advantageous)
sop
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Course Content
References:
J. T. Betts: Practical Methods for Control Using Nonlinear Programming. SIAM 2001.
R. D. Rabinet III, et al. Applied Dynamic Programming for Optimization of Dynamical
Systems. SIAM 2005.
M. Papageorgiou: Optimierung. Oldenburg. 1996.
J. Nocedal, S. J. Wright: Numerical Optimization, Springer 2006.

D. E. Kirk: Optimal Control Theory, McGraw-Hill, 1992.
Chiang: Elements of Dynamic Optimization, McGraw-Hill, 1992.
Additional references will be cited for individual topics.
Software and Resources
The Matlab ODE Toolbox
The Matlab Optimization Toolbox
The Open Modelica Simulation Environment: http://www.openmodelica.org
General Pseudospectral Optimal Control Software (GPOS): http://www.gpops.org
GAMS
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Chapter 1: Introduction
1.1 What is a system?
"A system is a self-contained entity with interconnected elements,
process and parts. A system can be the design of nature or
a human invention."
A system is an aggregation of
interactive elements.
A system has a clearly defined boundary. Outside this boundary is
the environment surrounding the system.
The interaction of the system with its environment is the most vital
aspect.
A system responds, changes its behavior, etc. as a result of
influences (impulses) from the environment.
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1.2. Some examples of systems

Water reservoir and distribution network systems
Thermal energy generation and distribution systems
Solar and/or wind-energy generation and distribution systems
Transportation network systems
Communication network systems
Chemical processing systems
Mechanical systems
Electrical systems
Social Systems
Ecological and environmental system
Biological system
Financial system
Planning and budget management system
etc
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Space and Flight Industries

Dynamic Processes:
Start up
Landing
Trajectory control
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Dynamic Processes:
Start-up
Chemical reactions
Change of Products
Feed variations
Shutdown
Chemical Industries
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Industrial Robot
Dynamic Processes:
Positionining
Transportation
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1.3. Why System Analysis and Control?

1.3.1 Purpose of systems analysis:
study how a system behaves under external influences
predict future behavior of a system and make
necessary preparations
understand how the components of a system interact
among each other
identify important aspects of a system magnify some
while subduing others, etc.
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Strategies for Systems Analysis

System analysis requires system modeling and simulation
A model is a representation or an idealization of a system.

Modeling usually considers some important aspects and
processes of a system.
A model for a system can be:
a graphical or pictorial representation
a verbal description
a mathematical formulation
indicating the interaction of components of the system
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1.3.1A. Mathematical Models

The mathematical model of a system
usually leads to a system of equations
describing the nature of the interaction of the system.
These equations are commonly known as governing laws or
model equations of the system.
The model equations can be:
time independent
steady-state model equations
time dependent
dynamic model equations
In this course, we are mainly interested in dynamical systems.
Sytems that evolove with time are known as

dynamic systems.
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Examples of Dynamic models RLC Circuit

Linear Differential Equations
x = Ax + Bu
Example RLC circuit (Ohms and Kirchhoffs Laws)
R
1 i 1
i
L
L + L v
=
v
v 1
0
C C
C 0
i
x = ,
vC
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1
R

1
i
L
L
, B = L , u = v
x = , A=
0
1
v
0
Examples of Dynamic Models Inverted Pendulum
Nonlinear Differential equations
x(t ) = f ( x(t ), u (t ), t )
Example: Cart mounted inverted one-bar pendulum

position of the cart : x
position of the cart center x , y
1
1
the angle
1
Nonlinear Model Equations

(Using Newton and DLamberts Laws)

(m + m1 ) x + m1l1 cos 1 = F + m1l1 sin 1 1

m1l1 cos 1 x + I1 + m l 1 = m1l1 sin 1 g

I1 =
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4
m1l12
3
2
11
1.3.1B Simulation
studies the response of a system under various external
influences input scenarios
for model validation and adjustment may give hint for
parameter estimation
helps identify crucial and influential characterstics
(parameters) of a system
helps investigate:
instability, chaotic, bifurcation behaviors
in a systems dynamic as caused by certain external
influences
helps identify parameters that need to be controlled
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1.3.1B. Simulation ...

In mathematical systems theory, simulation is done
by solving the governing equations of the system for
various input scenarios.
This requires algorithms corresponding to
the type of systems model equation.
Numerical methods for the solution of systems of
equations and differential equations.
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1.4 Optimization of Dynamic Systems

A system with degrees of freedom can be always
manuplated to display certain useful behavior.

Manuplation
possibility to control
Control variables are usually systems degrees of
freedom.
We ask:
What is the best control strategy that forces a
system to display required characterstics, output,
follow a trajectory, etc?
Optimal Control
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Methods of
Numerical
Optimization
Optimal Control of a space-shuttle

x1 (t ) : Position
x2 (t ) : Speed
u (t ) : Propulsive Force
The shuttle has a drive engine for

both launching and landing.
m : Mass (m = 1 kg)
Initial States:
x1 (0) = 2 m, x2 (0) = 1 m/s
Objective: To land the space vehicle at a given position , say

position 0, where it could be halted after landing.
Target states: Position x S = 0 , Speed x S = 0
1
What is the optimal strategy to bring the space-shuttle to the

desired state with a minimum energy consumption?
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Optimal Control of a space-shuttle

x1 (t ) : Position
x2 (t ) : Speed
u (t ) : Propulsive Force
m : Mass (m = 1 kg)
Model Equations:
x1 (t ) = x2 (t )
Then
Hence
u (t ) = m a(t ) = m x2 (t )
x1 0 1 x1 0
x = 0 0 x + 1 u
2
2
x1 (t ) = x2 (t )
x = Ax + Bu
x2 (t ) =
Objectives of the optimal control:

Minimization of the error:
Minimization of energy:
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x1S x1 (t ); x2S x2 (t )
u (t )
1
u (t )
m
Problem formulation:
{[
Performance function:
1
min
x1S x1 (t )
u (t ) 2
0
+ 2 x2S x2 (t )
Model (state ) equations:
x1 0 1 x1 0
x = 0 0 x + 1 u
2
2
Initial states:
x1 (0) = 2; x2 (0) = 1
Desired final states:
x1S = 0; x2S = 0
+ [u (t )] dt
2
How to solve the above optimal control problem in order to achieve

the desired goal? That is, how to determine the optimal trajectories
x1* (t ), x2* (t ) that provide a minimum energy consumption u * (t ) so

that the shuttel can be halted at the desired position?
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Optimal Operation of a Batch Reactor
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Optimal Operation of a Batch Reactor

Some basic operations of a
batch reactor
feeding Ingredients
adding chemical catalysts
Raising temprature
Reaction startups
Reactor shutdown
Chemical ractions:
2nd order
A B
1st order
C A (0) = 1 mol/l, C B (0) = 0, CC (0) = 0
Initial states:
Objective: What is the optimal temperature strategy, during the operation

of the reactor, in order to maximize the concentration of komponent B in
the final product?
Allowed limits on the temperature: 298 K T 398 K
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Mathematical Formulation:
Objective of the optimization:
Model equations:
max C B (t f )
T (t )
dC A
= k1 (T )C A2
dt
dC B
= k1 (T )C A2 k 2 (T )C B
dt
dCC
= k 2 (T )C B
dt
E
k1 (T ) = k10 exp 1
RT
E
k 2 (T ) = k 20 exp 2
RT
Process constraints:
Initial states:
298 K T 398 K
C A (0) = 1 mol/l, C B (0) = 0, CC (0) = 0
0 t tf
Time interval:
This is a nonlinear dynamic optimization problem.
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1.5 Optimization of Dynmaic Systems

General form of a dynamic optimization problem
DynOpt
min J(x, u)
with
x(t) f=
=
( x(t), u(t) ) , x(t 0 ) x 0
g1 ( x(t), u(t) ) = 0
g 2 ( x(t), u(t) ) 0
u min u u max
t0 t tf .
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a DAE system
1.6. Solution strategies for dynamic

optimization problems
Solution Strategies
Indirect Methods
Dynamic
Programming
Direct Methods
Maximum
Principle
Sequential
Method
Simultaneous Method
State and control
discretization
Nonlinear Optimization
Solution Nonlinear
Optimization Algorithms
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Solution strategies for dynamic

optimization problems
Indirect methods (classical methods)
Calculus of variations ( before the 1950s)
Dynamic programming (Bellman, 1953)
The Maximum-Principle (Pontryagin, 1956)1
Lev Pontryagin
Direct (or collocation) Methods (since the 1980s)

Discretization of the dynamic system
Transformation of the problem into a nonlinear
optimization problem
Solution of the resulting problem using optimization
algorithms
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1.7. Nonlinear Optimization formulation of

dynamic optimization problem
After discretization of DynOpt and appropriate
renaming of variables we obtain a non-linear

programming problem (NLP)
min f (x, u)
u
with
F(x, u) = 0
G(x, u) 0
u min u u max .
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Solution Strategies For Dynamic Optimization Problems

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Dynamic Optimization

Dr. Abebe Geletu

Ilmenau University of Technology

M. Papageorgiou: Optimierung. Oldenburg. 1996.

J. Nocedal, S. J. Wright: Numerical Optimization, Springer 2006.

1.2. Some examples of systems

Space and Flight Industries

1.3. Why System Analysis and Control?

Strategies for Systems Analysis

A model is a representation or an idealization of a system.

1.3.1A. Mathematical Models

Sytems that evolove with time are known as

Examples of Dynamic models RLC Circuit

Examples of Dynamic Models Inverted Pendulum

Nonlinear Differential equations

Example: Cart mounted inverted one-bar pendulum

Nonlinear Model Equations

m1l1 cos 1 x + I1 + m l 1 = m1l1 sin 1 g

1.3.1B. Simulation ...

1.4 Optimization of Dynamic Systems

manuplated to display certain useful behavior.

Optimal Control of a space-shuttle

The shuttle has a drive engine for

x1 (0) = 2 m, x2 (0) = 1 m/s

Objective: To land the space vehicle at a given position , say

What is the optimal strategy to bring the space-shuttle to the

Optimal Control of a space-shuttle

Objectives of the optimal control:

Model (state ) equations:

Desired final states:

How to solve the above optimal control problem in order to achieve

x1* (t ), x2* (t ) that provide a minimum energy consumption u * (t ) so

Optimal Operation of a Batch Reactor

Optimal Operation of a Batch Reactor

C A (0) = 1 mol/l, C B (0) = 0, CC (0) = 0

Objective: What is the optimal temperature strategy, during the operation

This is a nonlinear dynamic optimization problem.

1.5 Optimization of Dynmaic Systems

1.6. Solution strategies for dynamic

Solution strategies for dynamic

Direct (or collocation) Methods (since the 1980s)

1.7. Nonlinear Optimization formulation of

renaming of variables we obtain a non-linear

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