B2.15

Optimization and Control
Part II, 2002

State Pontryagin's maximum principle (PMP) for the problem of minimizing

0Tc(x(t),u(t))dt+K(x(T))\int_{0}^{T} c(x(t), u(t)) d t+K(x(T))

where x(t)Rn,u(t)Rm,dx/dt=a(x(t),u(t))x(t) \in \mathbb{R}^{n}, u(t) \in \mathbb{R}^{m}, d x / d t=a(x(t), u(t)); here, x(0)x(0) and TT are given, and x(T)x(T) is unconstrained.

Consider the two-dimensional problem in which dx1/dt=x2,dx2/dt=ud x_{1} / d t=x_{2}, d x_{2} / d t=u, c(x,u)=12u2c(x, u)=\frac{1}{2} u^{2} and K(x(T))=12qx1(T)2,q>0K(x(T))=\frac{1}{2} q x_{1}(T)^{2}, q>0. Show that, by use of a variable z(t)=x1(t)+x2(t)(Tt)z(t)=x_{1}(t)+x_{2}(t)(T-t), one can rewrite this problem as an equivalent one-dimensional problem.

Use PMP to solve this one-dimensional problem, showing that the optimal control can be expressed as u(t)=qz(T)(Tt)u(t)=-q z(T)(T-t), where z(T)=z(0)/(1+13qT3)z(T)=z(0) /\left(1+\frac{1}{3} q T^{3}\right).

Express u(t)u(t) in a feedback form of u(t)=k(t)z(t)u(t)=k(t) z(t) for some k(t)k(t).

Suppose that the initial state x(0)x(0) is perturbed by a small amount to x(0)+(ϵ1,ϵ2)x(0)+\left(\epsilon_{1}, \epsilon_{2}\right). Give an expression (in terms of ϵ1,ϵ2,x(0),q\epsilon_{1}, \epsilon_{2}, x(0), q and TT ) for the increase in minimal cost.