最优控制理论第八章.ppt

Chapter 8 The Maximum Principle: Discrete Time 8.1 Nonlinear Programming Problems We begin by starting a general form of a nonlinear programming problem. y: be an n-component column vector, a: be an r-component column vector, b: be an s-component column vector. h: En ? E1, g: En ? Er, w: En ? Es be given functions. We assume functions g and w to be column vectors with components r and s , respectively. We consider the nonlinear programming problem: subject to 8.1.1 Lagrange Multipliers Suppose we want to solve (8.1) without imposing constraint (8.2) or (8.3). The problem is now the class