2.3 Calculus of Variations Fixed Ends With Constraints

FIXED-END TIME AND FIXED-END
PROBLEM: WITH CONSTRAINTS

Optimal Control: Calculus of Variations 37
Extrema of functions with conditions
Consider the extrema of a function (x
1
, x
2
) with two
interdependent variables x
1
and x
2
, subject to the condition
g x
1
, x
2
= u
Approach 1: Direct method
As a necessary condition for extrema, we have
J =
o
ox
1
Jx
1
+
o
ox
2
Jx
2
= u
Without constraint case: optimum is where
]
x
1
=
]
x
2
= u.
For with constraint case, Jx
1
and Jx
2
are not arbitrary, but
related as:
Jg =
og
ox
1
Jx
1
+
og
ox
2
Jx
2
= u
Arbitrarily choose one of two variables, say x
1
, as an
independent variable. Then x
2
becomes dependent variable.
Then Jx
2
= -
gx
1
gx
2
Jx
1
provided
g
x
2
= u.

Therefore,
J =
o
ox
1
Jx
1
+
o
ox
2
Jx
2
=
o
ox
1
Jx
1
-
o
ox
2
og ox
1
/
og ox
2
/
Jx
1

=
o
ox
1
-
o
ox
2
og ox
1
/
og ox
2
/
Jx
1
= u
As Jx
1
is arbitrary and can not be zero,
]
x
1
-
]
x
2
g x
1
/
g x
2
/
= u.
Or,
o
ox
1
og
ox
2
-
o
ox
2
og
ox
1
= u
Alternatively,
]
x
1
]
x
2
g
x
1
g
x
2
= u
The following two equations solved simultaneously to find a
solution of the problem:
1.
]
x
1
g
x
2
-
]
x
2
g
x
1
= u
2. g(x
1
, x
2
) = u

Some Facts:
First equation is also know as Jacobian of and g.
Tedious to solve for higher order problems.
Approach 2: Lagrange Multiplier method
An augmented Lagrangian function is formed:
L x
1
, x
2
, z = x
1
, x
2
+ zg(x
1
, x
2
)
Where, z is Lagrange multiplier, a parameter to be determined.

With g x
1
, x
2
= u, L x
1
, x
2
, z = x
1
, x
2
.
Therefore, necessary condition for extrema is that
J = JL = u
JL = J + zJg = u
Since and g are functions of both x
1
and x
2
:
JL = J + zJg =
o
ox
1
Jx
1
+
o
ox
2
Jx
2
+ z
og
ox
1
Jx
1
+
og
ox
2
Jx
2
=
o
ox
1
+ z
og
ox
1
Jx
1
+
o
ox
2
+z
og
ox
2
Jx
2
= u

JL = J +zJg =
o
ox
1
+z
og
ox
1
Jx
1
+
o
ox
2
+z
og
ox
2
Jx
2
= u
Since both Jx
1
and Jx
2
are not independent, let Jx
1
is
independent. Then Jx
2
is dependent differential.
Further, let z is so chosen that one of the coefficient becomes
zero. Let the coefficient of Jx
2
is made zero by choosing a value
of z as z
-
, that is
o
ox
2
+z
-
og
ox
2
= u
Therefore,
]
x
1
+ z
g
x
1
Jx
1
= u.
Since Jx
1
is independent variable:
o
ox
1
+z
-
og
ox
1
= u
L x
1
, x
2
, z = x
1
, x
2
+zg x
1
, x
2

Further,
L
x
= g x
1
-
, x
2
-
= u

Combining the three equations:
L
x
1
=
]
x
2
+z
-
g
x
2
= u
L
x
2
=
]
x
1
+z
-
g
x
1
= u
L
x
= g x
1
-
, x
2
-
= u
To be solved simultaneously
By eliminating z
-
from first two equations:
o
ox
1
og
ox
2
-
o
ox
2
og
ox
1
= u
The same can be extended for multiple constraints, i.e. g
1
x
1
, x
2
= u,
g
2
x
1
, x
2
= u,
Extrema of Functionals with Constraints
Pioblem Befinition: Extiemize the functional
[ = _ I x
1
t , x
2
t , x
1
t , x
2
t , t Jt
t
]
t
0

subject to the constraint (plant or system equations)

g(x
1
t , x
2
t , x
1
t , x
2
t ) = u

with fixed end-point conditions:
x
1
t
0
= x
10
; x
2
t
0
x
20
x
1
t
]
= x
1]
; x
2
t
]
= x
2]

Six Steps for Solution
Step 1: Lagrangian
Step 2: Variations and Increment
Step 3: First Variation
Step 4: Fundamental Theorem
Step 5: Fundamental Lemma
Step 6: Euler-Lagrange Equation
Step 1 : Lagrangian
Pioblem Befinition: Extiemize the functional
[
u
= _ L x
1
t , x
2
t , x
1
t , x
2
t , z t , t Jt
t
]
t
0

where z t is the Lagrange multiplier and

L = I x
1
t , x
2
t , x
1
t , x
2
t , t +z(t)g(x
1
t , x
2
t , x
1
t , x
2
t )

Step 2 : Variations and Increment
Consiuei the vaiiations:
x
t = x
-
t +ox
t ; x
t = x
-
t + ox
t ; i = 1,2
Then the vaiiation in [
u
is:
A[
u
= [
u
(x
1
t +ox
1
t , x
2
t +ox
2
t , x
1
t +ox
1
t , x
2
t
+ ox
2
t , t) - [
u
x
1
t , x
2
t , x
1
t , x
2
t , t

Step 3 : First Variations
Tayloi seiies expansion of [
u
:
[
u
= _ L x
1
t , x
2
t , x
1
t , x
2
t , z t , t Jt
t
]
t
0

[
u
x
1
-
t + ox
1
t , x
2
-
t + ox
2
t , x
1
-
t +ox
1
t , x
2
-
t + ox
2
t , t
= [
u
+o[
u
+
1
2!
o
2
[
u
+
o[
u
= _ _
oL
ox
1
-
ox
1
t +
oL
ox
2
-
ox
2
t +
oL
ox
1
-
ox
1
t
t
]
t
0
+
oL
ox
2
-
ox
2
t _ Jt

Step 3 : First Variations (contd)
As befoie integiating by paits of the expiessions involving
ox
t , i = 1,2:
_
oL
ox
-
ox
t Jt
t
]
t
0
= u -_
J
Jt
oL
ox
-
ox
(t)Jt
t
]
t
0

Theiefoie,
o[
u
= _
oL
ox
1
-
-
J
Jt
oL
ox
1
-
ox
1
t Jt
t
]
t
0
+ _
oL
ox
2
-
-
J
Jt
oL
ox
2
-
ox
2
t Jt
t
]
t
0

Step 4 : Fundamental Theorem
Applying funuamental theoiem, we make o[
u
= u.
Recollect that both ox
1
anu ox
2
can not be inuepenuent. We make
ox
1
as uepenuent anu ox
2
as the inuepenuent one.
Next, we choose z
-
(t) in such a way that the factoi involving ox
1

in o[
u
vanishes, i.e. z
-
(t) is the solution of
oL
ox
1
-
-
J
Jt
oL
ox
1
-
= u
Then o[
u
becomes,
o[
u
= _
oL
ox
2
-
-
J
Jt
oL
ox
2
-
ox
2
t Jt
t
]
t
0

Step 5 : Fundamental Lemma
o[
u
= _
oL
ox
2
-
-
J
Jt
oL
ox
2
-
ox
2
t Jt
t
]
t
0

Now, since ox
2
t is inuepenuent vaiiable, invoke funuamental
lemma to wiite
oL
ox
2
-
-
J
Jt
oL
ox
2
-
= u
Then the first variation o[
u
becomes zero.
Step 6 : Euler-Lagrange Equation
Combining all the equations along with the conuition that
L
x
-
=
u, one wiite the necessaiy conuition foi an extiemum is:
oL
ox
1
-
-
J
Jt
oL
ox
1
-
= u
oL
ox
2
-
-
J
Jt
oL
ox
2
-
= u
oL
oz
-
-
J
Jt
oL
oz
-
= u
1.
L
x
= u since L is independent of z

2. The Lagrange multiplier enables to look at the problem as if
both the x
1
(t) and x
2
t are independent variable.
Example
Minimize the performance index
[ = _ x
2
t + u
2
(t) Jt
1
0

with boundary conditions x u = 1 and x 1 = u and subject to
the condition (plant equation)
x t = -x t +u(t)
Solution by Direct method
[ =
]
x
2
t +u
2
(t) Jt
1
0
; x u = 1; x 1 = u; x t = -x t + u(t)
Replacing u(t) from the condition in [, one gets
[ = _ x
2
t + x t + x t
2
Jt
1
0

= _ 2x
2
t + x
2
t + 2x t x t Jt
1
0

= _ I Jt
1
0

Now, one can minimize [ in straight forward way.
[ =
]
x
2
t +u
2
(t) Jt
1
0
; x u = 1; x 1 = u; x t = -x t + u(t)
Invoke Euler-Lagrange equation:
oI
ox
-
-
J
Jt
oI
ox
-
= u

I = 2x
2
t +x
2
t + 2x t x t
oI
ox
-
= 4x
-
t + 2x
-
t
oI
ox
-
= 2x
-
t +2x
-
(t)
oI
ox
-
-
J
Jt
oI
ox
-
= 4x
-
t + 2x
-
t -
u
ut
2x
-
t + 2x
-
t = u
[ =
]
x
2
t +u
2
(t) Jt
1
0
; x u = 1; x 1 = u; x t = -x t + u(t)
Solution of Euler-Lagrange equation:
oI
ox
-
-
J
Jt
oI
ox
-
= 4x
-
t + 2x
-
t -
u
ut
2x
-
t + 2x
-
t = u
Simplifying,
x
-
t - 2x
-
t = u
Solution of the above is:
x
-
t = C
1
c
- 2t
+C
2
c
2t

The constants C
1
and C
2
can be determined using boundary
conditions as:
C
1
=
1
1-c
-2 2
and C
2
=
1
1-c
2 2

[ =
]
x
2
t +u
2
(t) Jt
1
0
; x u = 1; x 1 = u; x t = -x t + u(t)
Solution of x
-
t is:
x
-
t = C
1
c
- 2t
+C
2
c
2t

Corresponding optimal control input is:
u
-
t = x
-
t + x
-
t
= C
1
1 - 2 c
- 2t
+C
2
1 + 2 c
2t

Comment: Although the method appears to be simple, it is not
always possible to eliminate u t in the expression of [ especially
for higher-order systems.
Solution by Lagrange Multiplier Method
[ =
]
x
2
t +u
2
(t) Jt
1
0
; x u = 1; x 1 = u; x t = -x t + u(t)
The condition can be written as:
g = x t + x t - u t = u
Now, we form an augmented functional:
[ = _ x
2
t + u
2
t + z t x t +x t - u t Jt
1
0
= _ LJt
1
0

L = x
2
t +u
2
t + z t x t + x t - u t
[ =
]
x
2
t +u
2
(t) Jt
1
0
; x u = 1; x 1 = u; x t = -x t + u(t)
L = x
2
t +u
2
t + z t x t + x t - u t
Invoke the optimality conditions:
oL
ox
1
-
-
J
Jt
oL
ox
1
-
= u
oL
ox
2
-
-
J
Jt
oL
ox
2
-
= u
oL
oz
-
-
J
Jt
oL
oz
-
= u

[ =
]
x
2
t +u
2
(t) Jt
1
0
; x u = 1; x 1 = u; x t = -x t + u(t)
L = x
2
t +u
2
t + z t x t + x t - u t
Invoke the optimality conditions:
oL
ox
1
-
-
J
Jt
oL
ox
1
-
= u = 2x
-
t + z
-
t - z
t = u
oL
ox
2
-
-
J
Jt
oL
ox
2
-
= u = 2u
-
t - z
-
t = u
oL
oz
-
-
J
Jt
oL
oz
-
= u = x
-
t + x
-
t - u
-
t = u

[ =
]
x
2
t +u
2
(t) Jt
1
0
; x u = 1; x 1 = u; x t = -x t + u(t)
2x
-
t + z
-
t - z
t = u ; 2u
-
t - z
-
t = u ; x
-
t + x
-
t -
u
-
t = u
From last two equations:
z
-
t = 2u
-
t = 2(x
-
t + x
-
t )
Replacing above in the first equation:
2x
-
t + z
-
t -z
t = u
= 2x
-
t +2 x
-
t +x
-
t - 2 x t + x t = u
= x
-
t - 2x
-
t = u
Then the same solution prevails as the direct method.

2.3 Calculus of Variations Fixed Ends With Constraints

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

2.3 Calculus of Variations Fixed Ends With Constraints

Uploaded by

Copyright:

Available Formats

FIXED-END TIME AND FIXED-END

PROBLEM: WITH CONSTRAINTS

You might also like