Optimal control problems with delays in state and control variables subject to mixed control-state constraints
Optimal control problems with delays in state and control variables are studied. Constraints are imposed as mixed control–state inequality constraints. Necessary optimality conditions in the form of Pontryagin's minimum principle are established. The proof proceeds by augmenting the delayed con...
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| Published in: | Optimal control applications & methods Vol. 30; no. 4; pp. 341 - 365 |
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| Main Authors: | , , |
| Format: | Journal Article |
| Language: | English |
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Chichester, UK
John Wiley & Sons, Ltd
01.07.2009
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| ISSN: | 0143-2087, 1099-1514 |
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| Abstract | Optimal control problems with delays in state and control variables are studied. Constraints are imposed as mixed control–state inequality constraints. Necessary optimality conditions in the form of Pontryagin's minimum principle are established. The proof proceeds by augmenting the delayed control problem to a nondelayed problem with mixed terminal boundary conditions to which Pontryagin's minimum principle is applicable. Discretization methods are discussed by which the delayed optimal control problem is transformed into a large‐scale nonlinear programming problem. It is shown that the Lagrange multipliers associated with the programming problem provide a consistent discretization of the advanced adjoint equation for the delayed control problem. An analytical example and numerical examples from chemical engineering and economics illustrate the results. Copyright © 2008 John Wiley & Sons, Ltd. |
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| AbstractList | Optimal control problems with delays in state and control variables are studied. Constraints are imposed as mixed control-state inequality constraints. Necessary optimality conditions in the form of Pontryagin's minimum principle are established. The proof proceeds by augmenting the delayed control problem to a nondelayed problem with mixed terminal boundary conditions to which Pontryagin's minimum principle is applicable. Discretization methods are discussed by which the delayed optimal control problem is transformed into a large-scale nonlinear programming problem. It is shown that the Lagrange multipliers associated with the programming problem provide a consistent discretization of the advanced adjoint equation for the delayed control problem. An analytical example and numerical examples from chemical engineering and economics illustrate the results. Optimal control problems with delays in state and control variables are studied. Constraints are imposed as mixed control–state inequality constraints. Necessary optimality conditions in the form of Pontryagin's minimum principle are established. The proof proceeds by augmenting the delayed control problem to a nondelayed problem with mixed terminal boundary conditions to which Pontryagin's minimum principle is applicable. Discretization methods are discussed by which the delayed optimal control problem is transformed into a large‐scale nonlinear programming problem. It is shown that the Lagrange multipliers associated with the programming problem provide a consistent discretization of the advanced adjoint equation for the delayed control problem. An analytical example and numerical examples from chemical engineering and economics illustrate the results. Copyright © 2008 John Wiley & Sons, Ltd. |
| Author | Kern, D. Maurer, H. Göllmann, L. |
| Author_xml | – sequence: 1 givenname: L. surname: Göllmann fullname: Göllmann, L. email: goellmann@fh-muenster.de organization: Department of Mechanical Engineering, Münster University of Applied Sciences, Münster, Germany – sequence: 2 givenname: D. surname: Kern fullname: Kern, D. organization: Weierstrass Institute for Applied Analysis and Stochastics (WIAS), Berlin, Germany – sequence: 3 givenname: H. surname: Maurer fullname: Maurer, H. organization: Department of Numerical Analysis and Applied Mathematics, University of Münster, Münster, Germany |
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| References_xml | – reference: Oğuztöreli MN. Time-Lag Control Systems. Academic Press: New York, 1966. – reference: Colonius F, Hinrichsen D. Optimal control of functional differential systems. SIAM Journal on Control and Optimization 1978; 16(6):861-879. – reference: Ray WH, Soliman MA. The optimal control of processes containing pure time delays-I, necessary conditions for an optimum. Chemical Engineering Science 1970; 25:1911-1925. – reference: Clarke FH, Wolenski PR. The sensitivity of optimal control problems to time delay. SIAM Journal on Control and Optimization 1991; 29(5):1176-1215. – reference: Hager W. Runge-Kutta methods in optimal control and the transformed adjoint system. Numerische Mathematik 2000; 87:247-282. – reference: May RM. Time-delay versus stability in population models with two and three tropic levels. Ecology 1973; 54:315-325. – reference: Halanay A. Optimal controls for systems with time lag. SIAM Journal on Control 1968; 6:215-234. – reference: Soliman MA, Ray WH. Optimal control of multivariable systems with pure time delays. Automatica 1971; 7:681-689. – reference: Angell TS, Kirsch A. On the necessary conditions for optimal control of retarded systems. Applied Mathematics and Optimization 1990; 22:117-145. – reference: Oh SH, Luus R. Optimal feedback control of time-delay systems. AIChE Journal 1976; 22(1):140-147. – reference: Soliman MA, Ray WH. On the optimal control of systems having pure time delays and singular arcs. International Journal of Control 1972; 16(5):963-976. – reference: Guinn T. Reduction of delayed optimal control problems to nondelayed problems. Journal of Optimization Theory and Applications 1976; 18:371-377. – reference: Chan WL, Yung SP. Sufficient conditions for variational problems with delayed argument. Journal of Optimization Theory and Applications 1993; 76:131-144. – reference: Kharatishvili GL. A Maximum Principle in External Problems with Delays. Mathematical Theory on Control. Academic Press: New York, 1967. – reference: May RM. Stability and Complexity in Model Ecosystems (2nd edn). Princeton University Press: Princeton, NJ, 1975. – reference: Kharatishvili GL. Maximum principle in the theory of optimal time-delay processes. Doklady Akademii Nauk USSR 1961; 136:39-42. – reference: Hestenes MR. Calculus of Variations and Optimal Control Theory. Wiley: New York, 1966. – reference: Dadebo S, Luus R. Optimal control of time-delay systems by dynamic programming. Optimal Control Applications and Methods 1992; 13:29-41. – reference: Wächter A, Biegler LT. On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming. Mathematical Programming 2006; 106:25-57. – reference: Fourer R, Gay DM, Kernighan BW. AMPL: A Modeling Language for Mathematical Programming. The Scientific Press: South San Francisco, CA, 1993. – reference: Banks HT. 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| SubjectTerms | Chemical engineering Delay delays in state and control Discretization discretization methods Mathematical analysis Mathematical models mixed control-state inequality constraints Nonlinear programming Optimal control optimal control of a CSTR reactor optimal fishing Pontryagin's minimum principle retarded optimal control problems Terminals |
| Title | Optimal control problems with delays in state and control variables subject to mixed control-state constraints |
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