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Harry G. Kwatny
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
O UTLINE
I NTRODUCTION
Preliminaries
Bibliography
T HE O PTIMAL C ONTROL P ROBLEM
Definition
Examples
O PTIMIZATION BASICS
Local Extrema
Constraints
VARIATIONAL C ALCULUS
Classical Variational Calculus
Free Terminal Time
Systems with Constraints
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
P RELIMINARIES
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
P RELIMINARIES
C OURSE C ONTENT
1. Introduction
I Optimization basics
I Intro to Variational Calculus
2. Variational Calculus and the Minimum Principle
I Unconstrained Control problems
I Control and State Constraints
3. Dynamic programming
I Principle of Optimality
I The Hamilton-Jacobi-Bellman Equation
4. Min-Max Optimal Control
I Min-Max Control
I Game Theory
5. Hybrid Systems
I Hybrid Systems Basics
I Hybrid Systems Optimal Control
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
B IBLIOGRAPHY
B IBLIOGRAPHY
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
D EFINITION
P ROBLEM D EFINITION
We will define the basic optimal control problem:
I Given system dynamics
x = f (x, u) , x X Rn , u U Rm
R EMARK
gT is called the terminal cost and g is the running cost. The terminal
time T can be fixed or free. The target set can be fixed or moving.
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
D EFINITION
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
E XAMPLES
x = v
v = u, |u| 1
R EMARK
This is an example of a problem with a control constraint.
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
E XAMPLES
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
E XAMPLES
x = Ax + Bu
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
E XAMPLES
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
L OCAL E XTREMA
D EFINITIONS
f (x) , x Rn
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
L OCAL E XTREMA
D EFINITIONS
D EFINITION (L OCAL M INIMA & M AXIMA )
An interior point x intD is a local minimum if there exists a
neighborhood U of x such that
f (x) f (x ) x U
It is a local maximum if
f (x) f (x ) x U
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
L OCAL E XTREMA
f
(x ) = 0
x
I Sufficient conditions. x is a minimum if
2f
(x ) > 0
x2
a maximum if
2f
(x ) < 0
x2
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
C ONSTRAINTS
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
C ONSTRAINTS
R EMARK
Note that these are the form of the previous slide.
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
C ONSTRAINTS
C ONSTRAINTS
E XAMPLE
f (x1 , x2 ) = x1 x12 + 2x22 1 , (x1 , x2 ) = x12 + x22 1
Interior:
(x1 , x2 , f ) = (0, 0.707, 0) (0, 0.707, 0) (0.577, 0, 0.385) (0.577, 0. 0.385)
Boundary:
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
T = 12 qT M (q) q
2 M (q) =
`1 (m1 + m2 ) + `22 m2 + 2`1 `2 m2 cos 2 `2 m2 (`2 + `1 cos 2 )
`2 m2 (`2 + `1 cos 2 ) `22 m2
V (q) = m1 g (g`1 (m1 + m2 ) sin 1 + g`2 m2 sin (1 + 2 ))
1 m1
2
m2
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
t2
L (q (t) , q (t)) L (q (t) , q (t))
Z
J (q (t)) = (t) + (t) dt
t1 q q
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
R EMARK
These results allow us to treat problems in which the initial and terminal times are fixed
and individual components of q(t1 ) and q(t2 ) are fixed or free. Other cases of interest
include: 1) the terminal time is free, and 2) the terminal time is related to the terminal
configuration, e.g., by a relation (q (t2 ) , t2 ) = 0.
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
Now, we want to allow both the final time and the end point to vary. The
actual end state is:
q2 = q (t2 + t) = q (t2 ) + q (t2 ) t
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
L (q (t2 ) , q (t2 ))
L (q (t2 ) , q (t2 )) q (t2 ) t = 0
q
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
L (q (t2 ) , q (t2 ))
L (q (t2 ) , q (t2 )) q (t2 ) = 0
q
L (q (t2 ) , q (t2 ))
= 0, L (q (t2 ) , q (t2 )) = 0
q
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
C ONTROL E XAMPLE
First note that in the elementary variational calculus, we could
simply replace q by x, and add the definition x = u, so that the
cost function becomes
Z t2
J (x (t)) = L (u (t) , x (t)) dt
t1
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
Z 1
1 2
x + u2 dt
J (x (t)) =
0 2
L (x (1) , u (1))
x (0) = x0 , =0
u
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
E XAMPLE 1, C ONT D
Thus, we have the equations
x 0 1 x
=
u 1 0 u
L (x (1) , u (1))
x (0) = x0 , = 0 u (1) = 0
u
Consequently,
0 1 t
x (t) 1 0 a x (t) a cosh (t) + b sinh (t)
=e =
u (t) b u (t) b cosh (t) + a sinh (t)
x0 e2 x0
a = x0 , b =
1 + e2
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
x0 + e2 x0
a = x0 , b =
1 + e2
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
E XAMPLE 1, C ONT D
The figures below show the optimal control and state
trajectories from the initial state x0 = 1,xf = 0, with t2 = 1 for the
fixed time case. For the free time case xf = 0.01.
Free terminal state, Fixed Fixed terminal state, Fixed terminal state,
time: Fixed Time: Free time:
x,u x,u
1.0
0.5
0.5
0.5
t
0.2 0.4 0.6 0.8 1.0 t
1 2 3 4 5
-0.5
t
0.2 0.4 0.6 0.8 1.0 -0.5
-1.0
-0.5 -1.0
R EMARK
In the free time case, with xf = 0.01, the final time is t2 = 4.60517. With xf = 0 the final
time is t2 = . Note that the case of free terminal state and free terminal time (not
shown) is trivial with t2 = 0.
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
(q (t) , q (t) , t) = 0
where : Rn Rn R Rm .
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
+ Lq + T q t q2 + L + T q Lq + T q q t t2
2 2
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
(q, q, t) = 0
Lq + T q t q2 = 0
2
L + T q Lq + T q q t = 0
2
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
E XAMPLE
Once again consider the problem
Z t2 1 2
x = u, J (x (t)) = x + u2 dt
0 2
(x, x) = x2 1 u2 1 = 0 u = 1
d x
Lu + T u Lx + T x = 0 =
dt 2u
R EMARK
I Note that u = 1 u = 0 almost everywhere,
I Also, t u2 dt = t
R
0
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
E XAMPLE C ONTINUED
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
I system x = u
x
I Euler equation = 2u
I constraint u = 1
I initial condition x (0) = x0
= 0 (1) = 21
I terminal condition Lu + T u
t2
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
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I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
1 3
0 = 0 =
2 4
: :
0.5
0.5
0.0
0.0
x,,J
x,,J
-0.5
-0.5
-1.0
-1.0 0.0 0.2 0.4 0.6 0.8 1.0
0.0 0.2 0.4 0.6 0.8 1.0
t
t
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
I system x = u
I Euler equation = x
2u
I constraint u = 1
I boundary conditions x (0) = x0 , x (1) = x1
x0 + kT k(1 T) = x1 (k = 1) 0 T 1
1 + x1 x0 1 + x1 (k = 1) T = kx2k0 +x1
O PTIMAL C ONTROL
I NTRODUCTION T HE O PTIMAL C ONTROL P ROBLEM O PTIMIZATION BASICS VARIATIONAL C ALCULUS
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