最优控制理论 第三章.pptVIP

Chapter 3 The Maximum Principle: Mixed Inequality Constraints 3.1 A Maximum Principle for Problems with Mixed Inequality Constraints State equation: where x(t) ? En, u(t) ? Em and f: En x Em xE1 ? En is assumed to be continuously differentiable. Objective function: where F: En x Em x E1 ? E1, and S: En x E1 ? E1 are continuously differentiable and T is the terminal time. u(t), t?[0,T] is admissible if it is piecewise continuous and satisfies the mixed constraints. where g: En x Em xE1 ? Eq is continuously differentiable and terminal inequality and equality constraints: where a: En x E1 ? Ela and b: En x E1 ? Elb are continuously differentiable. Full rank or constraint qualifications condition holds for all arguments x(t), u(t), t, t ?[0,T], and hold for all possible values of x(T) and T. Hamiltonian function H: En x Em x En x E1 ? E1 is where ?? En (a row vector). Lagrangian function L: En x Em x En x Eq x E1 ? E1 is where ??Eq is a row vector, whose components are called Lagrange multipliers. Lagrange multipliers satisfy the complimentary slackness conditions: Special Case: In the case of terminal constraint (3.6), the terminal conditions on the state and the adjoint variables in (3.11) will be, respectively, Furthermore, if the terminal time T in (3.1)-(3.5) is unspecified, there is an additional necessary transversality condition for T* to be optimal if T* ?(0,?) . Remark 3.1: We should have H=?0F+?f in (3.7) with ?0 ? 0. However, we can set ?0=1 in most applications Remark 3.2: If the set Y in (3.6) consists of a single point Y={k}, then as in (2.75), the transversality condition reduces to simply ?*(T) equals to a constant to be determined, since x*(T)=k. In this case, salvage value function S can be disregarded. Example 3.1: Consider the problem: subject to Note that constraints (3.16) are of the mixed type (3.3). They can also be rewritten as 0 ? u ? x. Solution: The Hami