Existence of optimal controls for systems governed by parabolic partial differential equations with Cauchy boundary conditions

Summary This paper considers the existence of optimal controls for systems governed by a second order parabolic partial differential equation in divergence form with Cauchy conditions. As preliminary results, theorems concerning the convergence of the sequence of weak solutions corresponding to a sequence of admissible controls are proved. Two general forms of criteria are considered. The first one is taken as a function of the weak solution of the system, and the other is taken as a function of the solution of the system and control. Several theorems and corollaries on the existence of optimal controls are then presented.     

Periodic optimal control for parabolic Volterra-Lotka type equations

This paper considers the optimal harvesting control of a biological species, whose growth is governed by the parabolic diffusive Volterra-Lotka equation. We prove that such equation with L^∞ periodic coefficients has an unique positive periodic solution. We show the existence and uniqueness of an optimal control, and under certain conditions, we characterize the optimal control in terms of a parabolic optimality system. A monotone sequence which converges to the optimal control is constructed.     

General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients

In this article, we consider a linear-quadratic optimal control problem (LQ problem) for a controlled linear stochastic differential equation driven by a multidimensional Browinan motion and a Poisson random martingale measure in the general case, where the coefficients are allowed to be predictable processes or random matrices. By the duality technique, the dual characterization of the optimal control is derived by the optimality system (so-called stochastic Hamilton system), which turns out to be a linear fully coupled forward-backward stochastic differential equation with jumps. Using a decoupling technique, the connection between the stochastic Hamilton system and the associated Riccati equation is established. As a result, the state feedback representation is obtained for the optimal control. As the coefficients for the LQ problem are random, here, the associated Riccati equation is a highly nonlinear backward stochastic differential equation (BSDE) with jumps, where the generator depends on the unknown variables K, L, and H in a quadratic way (see (5.9) herein). For the case where the generator is bounded and is linearly dependent on the unknown martingale terms L and H, the existence and uniqueness of the solution for the associated Riccati equation are established by Bellman's principle of quasi-linearization.     

Distributed control in a class of nonlocal boundary-value problems

We study optimal control problems with a quadratic optimization criterion. The state of the system is described by the solution of an operator-differential equation under nonlocal boundary conditions; the control is on the righth- and side of the equation. We prove existence and uniqueness theorems for the optimal control.Translated fromMatematichni Metodi ta Fiziko-Mekhanichni Polya, Vol. 40, No. 3, 1997, pp. 50–54.     

Dual weighted residual method for optimal control of hyperbolic equations of second order

In this paper the dual weighted residual method for optimal control problems of hyperbolic equations of second order is considered. The state equation is written as a first order system in time and a posteriori error estimates separating the influences of time, space, and control discretization are derived to obtain a better accurancy of the discrete solution. A numerical example for optimal control of a nonlinear wave equation is presented. (© 2011 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Optimal control of nonlinear one-dimensional periodic wave equation with x-dependent coefficients

This paper is concerned with an optimal control problem governed by the nonlinear one dimensional periodic wave equation with x-dependent coefficients. The control of the system is realized via the outer function of the state. Such a model arises from the propagation of seismic waves in a nonisotropic medium. By investigating some important properties of the linear operator associated with the state equation, we obtain the existence and regularity of the weak solution to the state equation. Furthermore, the existence of the optimal control is proved by means of the Arzelà-Ascoli lemma and Sobolev compact imbedding theorem.     

Optimal control problem of the uncertain second‐order circuit based on first hitting criteria

First hitting criteria of a system are to initially achieve some performance indeces of the target state set. This paper primarily investigates the optimal control problem of the uncertain second‐order circuit based on first hitting criteria. First, considering time efficiency and different from the ordinary expected utility criterion over an infinite time horizon, two first hitting criteria which are reliability index and reliable time criteria are innovatively proposed. Second, assuming the circuit output voltage as an uncertain variable when the historical data is lacking, we better model the real circuit system with the uncertain second‐order differential equation which is essentially the uncertain fractional‐order differential equation. Then, based on the first hitting time theorem of the uncertain fractional‐order differential equation, the distribution function of the first hitting time under the second‐order circuit system is proposed and the uncertain second‐order circuit optimal control model (reliability index and reliable time‐based model) is transformed into corresponding crisp optimal problem. Lastly, analytic expressions of the optimal control for the reliability index model are obtained. Meanwhile, sufficient condition and guidance for parameters for the optimal solution of the reliable time‐based model are derived, and corresponding numerical examples are also given to demonstrate the fluctuation of our optimal solution for different parameters.     

Solution of a boundary control problem for a nonlinear parabolic equation

An optimal boundary control problem for a nonlinear parabolic equation of second order is considered. An existence theorem is proved and necessary optimality conditions are obtained in the form of point and integral maximum principles.Translated from Vychislitel'naya i Prikladnaya Matematika, No. 60, pp. 30–37, 1986.     

Optimal feedback control for constrained mechanical systems

An approach to minimize the control costs and ensuring a stable deviation control is the Riccati controller and we want to use it to control constrained dynamical systems (differential algebraic equations of Index 3). To describe their discrete dynamics, a constrained variational integrators [1] is used. Using a discrete version of the Lagrange-d’Alembert principle yields a forced constrained discrete Euler-Lagrange equation in a position-momentum form that depends on the current and future time steps [2]. The desired optimal trajectory (q_opt, p_opt) and according control input u_opt is determined solving the discrete mechanics and optimal control (DMOC) algorithm [3] based on the variational integrator. Then, during time stepping of the perturbed system, the discrete Riccati equation yields the optimal deviation control input u_R. Adding u_opt and u_R to the discrete Euler-Lagrange equation causes a structure preserving trajectory as both DMOC and Riccati equations are based on the same variational integrator. Furthermore, coordinate transformations are implemented (minimal, redundant and nullspace) enabling the choice of different coordinates in the feedback loop and in the optimal control problem. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Closed-form solutions of a general inequality-constrained lq optimal control problem

A general linear quadratic (LQ) optimal control problem, with the dynamic system being governed by a higher-order vector-valued ordinary differential equation and with inequality-constraints on the state vector and/or the control input, is studied. Based on an explicit characterization result, optimal solutions are obtained in closed-form. A constructive method for finding the closed-form optimal solutions is proposed, and two illustrative examples are included     

Optimal damping of selected eigenfrequencies using dimension reduction

We consider linear vibrational systems described by a system of second‐order differential equations of the form , where M and K are positive definite matrices, representing mass and stiffness, respectively. The damping matrix D is assumed to be positive semidefinite. We are interested in finding an optimal damping matrix that will damp a certain (critical) part of the eigenfrequencies. For this, we use an optimization criterion based on the minimization of the average total energy of the system. This is equivalent to the minimization of the trace of the solution of the corresponding Lyapunov equation AX + XA^T = ?GG^T, where A is the matrix obtained from linearizing the second‐order differential equation, and G depends on the critical part of the eigenfrequencies to be damped. The main result is the efficient approximation and the corresponding error bound for the trace of the solution of the Lyapunov equation obtained through dimension reduction, which includes the influence of the right‐hand side GG^T and allows us to control the accuracy of the trace approximation. This trace approximation yields a very accelerated optimization algorithm for determining the optimal damping. Copyright © 2011 John Wiley & Sons, Ltd.     

A new equation for the linear regulator problem

In this article, a new equation is derived for the optimal feedback gain matrix characterizing the solution of the standard linear regulator problem. It will be seen that, in contrast to the usual algebraic Riccati equation which requires the solution ofn(n + 1)/2 quadratically nonlinear algebraic equations, the new equation requires the solution of onlynm such equations, wherem is the number of system input terminals andn is the dimension of the state vector of the system. Utilizing the new equation, results are presented for the inverse problem of linear control theory.     

Optimal control of a nonlinear singular system with state constraints

A control system described by a nonlinear equation of parabolic type is considered in the situation where there may be no global solution. A particular optimal control problem subject to state constraints is studied. A proof of the existence of an optimal control is presented. The penalty method is used to obtain necessary conditions for optimal control. A proof of the convergence of this method is given. The successive approximation method is used to obtain an approximate solution for the conditions derived. Translated fromMatematicheskie Zametki, Vol. 60, No. 4, pp. 511–518, October, 1996.     

Strong controllability and optimal control of the heat equation with a thermal source

In this paper we consider an optimal control system described byn-dimensional heat equation with a thermal source. Thus problem is to find an optimal control which puts the system in a finite time T, into a stationary regime and to minimize a general objective function. Here we assume there is no constraints on control. This problem is reduced to a moment problem.We modify the moment problem into one consisting of the minimization of a positive linear functional over a set of Radon measures and we show that there is an optimal measure corresponding to the optimal control. The above optimal measure approximated by a finite combination of atomic measures. This construction gives rise to a finite dimensional linear programming problem, where its solution can be used to determine the optimal combination of atomic measures. Then by using the solution of the above linear programming problem we find a piecewise-constant optimal control function which is an approximate control for the original optimal control problem. Finally we obtain piecewise-constant optimal control for two examples of heat equations with a thermal source in one-dimensional.     

Diffusion approximation forGI/G/1 controlled queues

A queueing model is considered in which a controller can increase the service rate. There is a holding cost represented by functionh and the service cost proportional to the increased rate with coefficientl. The objective is to minimize the total expected discounted cost.Whenh andl are small and the system operates in heavy traffic, the control problem can be approximated by a singular stochastic control problem for the Brownian motion, namely, the so-called reflected follower problem. The optimal policy in this problem is characterized by a single numberz ^* so that the optimal process is a reflected diffusion in [0,z ^*]. To obtainz ^* one needs to solve a free boundary problem for the second order ordinary differential equation. For the original problem the policy which increases to the maximum the service rate when the normalized queue-length exceedsz ^* is approximately optimal.     

The sensitivity of optimal states to time delay

In the design and computation of optimal controls for systems that evolve in time, usually the effect of delay is ignored. However in the implementation of the computed optimal controls in the control systems often delays occur, for example through transmission via digital communication channels. The question to be addressed is whether such small delays can have large effects on a system that is steered by an optimal control. We show that for a system that is governed by the wave equation with L²-norm minimal exact Dirichlet boundary control, for arbitrarily small time-delays there are initial states such that the terminal energy is almost twice as big as the initial energy. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Snapshot location for POD in control of a linear heat equation

In the present work, we study the approximation of a distributed optimal control problem for a linear heat equation with model order reduction based on Proper Orthogonal Decomposition (POD-MOR). We show that snapshot location for control problems is crucial in model reduction. For the determination of the time instances (snapshot locations) we utilize an a-posteriori error control concept which is based on a reformulation of the optimality system of the underlying optimal control problem as a second order in time and fourth order in space elliptic system. Finally, we present a numerical test to illustrate our approach. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Highly Accurate Numerical Schemes for Stochastic Optimal Control via FBSDEs

This work is concerned with numerical schemes for stochastic optimal control problems (SOCPs) by means of forward backward stochastic differential equations (FBSDEs). We first convert the stochastic optimal control problem into an equivalent stochastic optimality system of FBSDEs. Then we design an efficient second order FBSDE solver and an quasi-Newton type optimization solver for the resulting system. It is noticed that our approach admits the second order rate of convergence even when the state equation is approximated by the Euler scheme. Several numerical examples are presented to illustrate the effectiveness and the accuracy of the proposed numerical schemes.     

Evolutionary Algorithms for Approximate Optimal Control of the Heat Equation with Thermal Sources

In this paper, optimal control problem (OCP) governed by the heat equation with thermal sources is considered. The aim is to find an optimal control which puts the system in a finite time T, into a stationary regime and to minimize a general objective function. To obtain an approximate solution of this problem, a partition of the time-control space is considered and the discrete form of the problem is converted to a quasi assignment problem. Then by using an evolutionary algorithm, an approximate optimal control function is obtained as a piecewise linear function. Numerical examples are given to show the proficiency of the presented algorithm.     

Some controllability results for the 2D Kolmogorov equation

In this article, we prove the null controllability of the 2D Kolmogorov equation both in the whole space and in the square. The control is a source term in the right-hand side of the equation, located on a subdomain, that acts linearly on the state. In the first case, it is the complementary of a strip with axis x and in the second one, it is a strip with axis x.The proof relies on two ingredients. The first one is an explicit decay rate for the Fourier components of the solution in the free system. The second one is an explicit bound for the cost of the null controllability of the heat equation with potential that the Fourier components solve. This bound is derived by means of a new Carleman inequality.