diff --git a/course/lecture/lecture.md b/course/lecture/lecture.md index d8f8cfca6cbd23813b84f15ed34196c1f0e1660d..f1aa7de664bdc6f0e7afb5da7790e7c76358860e 100644 --- a/course/lecture/lecture.md +++ b/course/lecture/lecture.md @@ -22,6 +22,8 @@ The goal of this presentation is that at the end, you will be able to implement **_Contents_** +[[_TOC_]] + * I) Statement of the optimal control problem and necessary conditions of optimality * a) Definition of the optimal control problem - [Video](https://youtu.be/QUbeyLNZR8A) * b) Application of the Pontryagin Maximum Principle - [Video](https://youtu.be/xedLNn08Kn4) @@ -62,3 +64,55 @@ with $`U \subset \mathrm{R}^m`$ an arbitrary control set and with $`c`$ a smooth Jacobian $`c'(x)`$ (or $`J_c(x)`$) is of full rank for any $`x`$ satisfying the constraint $`c(x)=0`$. The solution $`u`$ belongs to the *set of control laws* $`L^\infty([0, t_f], \mathrm{R}^m)`$. +[Additional comments (video)](http://www.youtube.com/watch?v=QUbeyLNZR8A) + +### b) Application of the Pontryagin Maximum Principle + +Let us denote by + +```math + H(x,p,u) := p \, f(x,u) + p^0\, L(x,u), +``` + +the *pseudo-Hamiltonian* (that is the non-maximized Hamiltonian) associated to the optimal control problem. + +>>> + +**_Pontryagin Maximum Principle_** + +According to the PMP, if $`u`$ is solution of the problem (with $`x`$ the *associated trajectory*), +then there exists a *covector* $`p`$ (which is +[absolutely continuous](https://en.wikipedia.org/wiki/Absolute_continuity)), +a scalar $`p^0 \in \{-1, 0\}`$, a *Lagrange multiplier* $`\lambda`$, such that: + +1. $`(p, p^0) \ne (0,0)`$, + +2. $`\displaystyle \dot{x}(t) = \nabla_p H(x(t),p(t),u(t))`$, +$`\displaystyle \dot{p}(t) = -\nabla_x H(x(t),p(t),u(t))`$, a.e on $`[0, t_f]`$, + +3. $`\displaystyle H(x(t),p(t),u(t)) = \max_{w \in U} H(x(t), p(t), w)`$ a.e on $`[0, t_f]`$ + (maximization condition), + +4. $`\displaystyle p(t_f) = J_c^T(x(t_f)) \lambda = \sum_{i=1}^k \lambda_i \nabla c_i(x(t_f))`$ + (transversality condition). + +>>> + +>>> + +**_Assumptions_** + +We assume the following: + +* $`U = \mathrm{R}^m`$, +* $`\forall (x,p) \in \mathrm{R}^n \times \mathrm{R}^n`$, $`u \mapsto H(x,p,u)`$ has a unique maximum denoted $`\varphi(x,p)`$ (or $`u[x,p]`$ to recall the fact that it is the control law in feedback form), +* $`\varphi`$ is smooth, that is at least $`C^1`$. + +>>> + +Under these assumptions, the maximization condition (3) is equivalent to the first order necessary condition of optimality and we have: + +```math + \forall (x,p), \quad \nabla_u H(x,p, \varphi(x,p)) = 0. +``` +