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Primer on optimal control theory

✍ Scribed by Speyer J.L., Jacobson D.H.


Publisher
SIAM
Year
2010
Tongue
English
Leaves
314
Series
Advances in Design and Control
Category
Library

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✦ Synopsis


The performance of a process for example, how an aircraft consumes fuel can be enhanced when the most effective controls and operating points for the process are determined. This holds true for many physical, economic, biomedical, manufacturing, and engineering processes whose behavior can often be influenced by altering certain parameters or controls to optimize some desired property or output. Primer on Optimal Control Theory provides a rigorous introduction to analyzing these processes and finding the best modes of control and operation for them. It makes optimal control theory accessible to a large class of engineers and scientists who are not mathematicians but have a basic mathematical background and need to understand the sophisticated material associated with optimal control theory. The book presents the important concepts of weak and strong control variations leading to local necessary conditions as well as global sufficiency of Hamilton Jacobi Bellman theory. It also gives the second variation for local optimality where the associated Riccati equation is derived from the transition matrix of the Hamiltonian system. These ideas lead naturally to the development of H2 and H-infinity synthesis algorithms. Audience: This book will enable applied mathematicians, engineers, scientists, biomedical researchers, and economists to understand, appreciate, and implement optimal control theory at a level of sufficient generality and applicability for most practical purposes and will provide them with a sound basis from which to proceed to higher mathematical concepts and advanced systems formulations and analyses. Contents: List of Figures; Preface; Chapter 1: Introduction; Chapter 2: Finite-Dimensional Optimization; Chapter 3: Systems with General Performance Criteria; Chapter 4: Terminal Equality Constraints; Chapter 5: Linear-Quadratic Control Problem; Chapter 6: Linear-Quadratic Differential Games; Appendix: Background; Bibliography; Index.

✦ Table of Contents


Contents......Page 6
List of Figures......Page 10
Preface......Page 11
1 Introduction......Page 12
1.1 Control Example......Page 13
1.2 General Optimal Control Problem......Page 16
1.3 Purpose and General Outline......Page 18
2.1 Motivation for Considering Parameter Minimization for Functional Optimization......Page 21
2.2 Unconstrained Minimization......Page 24
2.3 Minimization Subject to Constraints......Page 38
Problems......Page 59
3.1 Introduction......Page 62
3.2 Linear Dynamic Systems with General Performance Criterion......Page 64
3.3 Nonlinear Dynamic System......Page 73
3.4 Strong Variations and the Strong Form of the Pontryagin Minimum Principle......Page 83
3.5 Su.cient Conditions for Global Optimality: The Hamilton–Jacobi–Bellman Equation......Page 92
3.6 Unspeci.ed Final Time......Page 108
Problems......Page 111
4.1 Introduction......Page 120
4.2 Linear Dynamic System with General Performance Criterion and Terminal Equality Constraints......Page 122
4.3 Weak First-Order Optimality with Nonlinear Dynamics and Terminal Constraints......Page 131
4.4 Strong First-Order Optimality......Page 142
4.5 Unspeci.ed Final Time......Page 151
4.6 Minimum Time Problem Subject to Linear Dynamics......Page 154
4.7 Su.cient Conditions for Global Optimality: The Hamilton–Jacobi–Bellman Equation......Page 157
Problems......Page 161
Introduction......Page 163
5.1 Second Variation: Motivation for the Analysis of the LQ Problem......Page 164
5.2 Preliminaries and LQ Problem Formulation......Page 169
5.3 First-Order Necessary Conditions for Optimality......Page 170
5.4 LQ Problem without Terminal Constraints: Transition Matrix Approach......Page 176
5.5 LQ Problem with Linear Terminal Constraints: Transition Matrix Approach......Page 200
5.6 Solution of the Matrix Riccati Equation: Additional Properties......Page 213
5.7 LQ Regulator Problem......Page 221
5.8 Necessary and Su.cient Conditions for Free Terminal Time......Page 225
5.9 Summary......Page 233
Problems......Page 235
6.1 Introduction......Page 239
6.2 LQ Di.erential Game with Perfect State Information......Page 240
6.3 Disturbance Attenuation Problem......Page 243
A.1 Topics from Calculus......Page 269
A.2 Linear Algebra Review......Page 281
A.3 Linear Dynamical Systems......Page 301
Bibliography......Page 305
Index......Page 310


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