scholarly journals Optimal control problems with multiple characteristic time points in the objective and constraints

Automatica ◽  
2008 ◽  
Vol 44 (11) ◽  
pp. 2923-2929 ◽  
Author(s):  
R.C. Loxton ◽  
K.L. Teo ◽  
V. Rehbock
Keyword(s):  
Optimal Control ◽  
Characteristic Time ◽  
Optimal Control Problems ◽  
Control Problems ◽  
Multiple Characteristic ◽  
Time Points

scholarly journals Numerical solution of an optimal control problem with variable time points in the objective function

2002 ◽  
Vol 43 (4) ◽  
pp. 463-478 ◽  
Author(s):  
K. L. Teo ◽  
Y. Liu ◽  
W. R. Lee ◽  
L. S. Jennings ◽  
S. Wang
Keyword(s):  
Optimal Control ◽  
Optimal Control Problem ◽  
Control Problem ◽  
Optimal Control Problems ◽  
Piecewise Linear ◽  
Linear Functions ◽  
Control Problems ◽  
Time Points ◽  
Variable Time ◽  
Control Functions

AbstractIn this paper, we consider the numerical solution of a class of optimal control problems involving variable time points in their cost functions. The control enhancing transform is first used to convert the optimal control problem with variable time points into an equivalent optimal control problem with fixed multiple characteristic time (MCT). Using the control parametrization technique, the time horizon is partitioned into several subintervals. Let the partition points also be taken as decision variables. The control functions are approximated by piecewise constant or piecewise linear functions in accordance with these variable partition points. We thus obtain a finite dimensional optimization problem. The control parametrization enhancing control transform (CPET) is again used to convert approximate optimal control problems with variable partition points into equivalent standard optimal control problems with MCT, where the control functions are piecewise constant or piecewise linear functions with pre-fixed partition points. The transformed problems are essentially optimal parameter selection problems with MCT. The gradient formulae for the objective function as well as the constraint functions with respect to relevant decision variables are obtained. Numerical examples are solved using the proposed method.

scholarly journals On the Discontinuity of the Costates for Optimal Control Problems With Coulomb Friction

2000 ◽  
Author(s):  
Brian J. Driessen ◽  
Nader Sadegh
Keyword(s):  
Optimal Control ◽  
Coulomb Friction ◽  
Optimal Control Problems ◽  
Minimum Time ◽  
Control Problems ◽  
Time Points ◽  
Discontinuous Functions ◽  
Time Problem ◽  
Switching Functions ◽  
Minimum Time Problem

Abstract This work points out that the costates are actually discontinuous functions of time for optimal control problems with Coulomb friction. In particular these discontinuities occur at the time points where the velocity of the system changes sign. To our knowledge, this has not been noted before. This phenomenon is demonstrated on a minimum-time problem with Coulomb friction and the consistency of discontinuous costates and switching functions with respect to the input switches is shown.

On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems

2020 ◽  
Vol 26 ◽  
pp. 41
Author(s):  
Tianxiao Wang
Keyword(s):  
Optimal Control ◽  
Closed Loop ◽  
Optimal Control Problems ◽  
Mean Field ◽  
Open Loop ◽  
Time Inconsistency ◽  
Control Problems ◽  
Linear Quadratic ◽  
Linear Quadratic Optimal Control ◽  
Equilibrium Strategies

This article is concerned with linear quadratic optimal control problems of mean-field stochastic differential equations (MF-SDE) with deterministic coefficients. To treat the time inconsistency of the optimal control problems, linear closed-loop equilibrium strategies are introduced and characterized by variational approach. Our developed methodology drops the delicate convergence procedures in Yong [Trans. Amer. Math. Soc. 369 (2017) 5467–5523]. When the MF-SDE reduces to SDE, our Riccati system coincides with the analogue in Yong [Trans. Amer. Math. Soc. 369 (2017) 5467–5523]. However, these two systems are in general different from each other due to the conditional mean-field terms in the MF-SDE. Eventually, the comparisons with pre-committed optimal strategies, open-loop equilibrium strategies are given in details.

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