A direct Newton method for calculus of variations

DOI10.1016/S0377-0427(01)00427-7MaRDI QIDQ1349148zbMATH OpenWikidataFDO

Authors Yuri Levin, Mikhail Nediak, Adi Ben-Israel

Publication date 21 May 2002

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0377-0427(01)00427-7

zbMATH Keywords

approximate solutionscalculus of variationsconvergencediscretized problemEuler-Lagrange equationMoore-Penrose inverseNewton methodstationary point

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Newton-type methods (49M15) Numerical optimization and variational techniques (65K10)

Review text

The paper deals with a direct Newton method for calculus of variations. Here the system of equations: \(f_i(x_1,x_2,\dots, x_n)= 0\), \(i= 1,2,\dots, m\) and Newton iterations for this system that use the Moore-Penrose inverse of the Jacobian matrix, is considered. Under standard assumptions, the Newton interactions converge quadratically to a stationary point of the sum-of-squares \(\sum_i f^2_i\). Approximating the derivatives \(\dot x\) as differences \((\Delta x/\Delta t)\) with \(\Delta t= h\), the Newton method to the system obtained by discretizing the integral \(\int^{t_1}_{t_0} (t,x,\dot x) dt\), is applied. Main result: The approximate solutions \(y_{h_n}\) of the discretized problem are shown to converge to a solution of the Euler-Lagrange boundary value problem \((d/dt)\partial L/\partial\dot x=\partial L/\partial x\) with the degree of approximation linear in \(h\), if the Lagrangian \(L(t,x,\dot x)\) is twice continuously differentiable. Higher continuous derivatives of \(L\) guarantee higher-order of approximation.

Recommendations

• Local convergence of Newton's method in the classical calculus of variations
• Gradient methods for the numerical solution of the problem of the variational calculus in the classical formulation
• Newton's method in the context of gradients
• Newton's method, differential equations, and the Lagrangian principle for necessary extremum conditions
• Discrete Variable Methods for the m-Dependent Variable, Nonlinear Extremal Problem in the Calculus of Variations

Cites work

• A Newton method for systems of \(m\) equations in \(n\) variables.
• A Newton-Raphson method for the solution of systems of equations
• Case studies in trajectory optimization: trains, planes, and other pastimes
• Convergence of Newton-like methods for singular operator equations using outer inverses
• scientific article; zbMATH DE number 45061 (Why is no real title available?)
• scientific article; zbMATH DE number 1206370 (Why is no real title available?)
• Numerical derivatives and nonlinear analysis

Cited in

(7)

• Gradient methods for the numerical solution of the problem of the variational calculus in the classical formulation
• Newton's method, differential equations, and the Lagrangian principle for necessary extremum conditions
• scientific article; zbMATH DE number 5926294 (Why is no real title available?)
• scientific article; zbMATH DE number 3846327 (Why is no real title available?)
• Shifted-Jacobi series direct method for variational problems
• Local convergence of Newton's method in the classical calculus of variations
• A numerical solution of problems in calculus of variation using direct method and nonclassical parameterization

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