A numerical algorithm for singular optimal LQ control systems

DOI10.1007/S11075-008-9254-ZMaRDI QIDQ834655zbMATH OpenOpenAlexFDO

Authors M. Delgado-Téllez, A. Ibort

Publication date 27 August 2009

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.2194

zbMATH Keywords

algorithmdifferential algebraic equationslinear-quadratic optimal controlnumerical resultspresymplectic formsingular optimal controlsingular value decomposition

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Discrete approximations in optimal control (49M25) Linear-quadratic optimal control problems (49N10) Numerical optimization and variational techniques (65K10)

Abstract: A numerical algorithm to obtain the consistent conditions satisfied by singular arcs for singular linear-quadratic optimal control problems is presented. The algorithm is based on the presymplectic constraint algorithm (PCA) by Gotay-Nester cite{Go78,Vo99} that allows to solve presymplectic hamiltonian systems and that provides a geometrical framework to the Dirac-Bergmann theory of constraints for singular Lagrangian systems cite{Di49}. The numerical implementation of the algorithm is based on the singular value decomposition that, on each step allows to construct a semi-explicit system. Several examples and experiments are discussed, among them a family of arbitrary large singular LQ systems with index 3 and a family of examples of arbitrary large index, all of them exhibiting stable behaviour.

Review text

A numerical algorithm is developed for singular linear-quadratic(LQ) optimal control problems. The algorithm is based on the presymplectic constrained algorithm(PCA) of \textit{M. J. Gotay, J. M. Nester} and \textit{G. Hinds} [J. Math. Phys. 19, 2388--2399 (1978; Zbl 0418.58010)]. The linear differential-algebraic equation obtained from the singular LQ systems has a presymplectic form. Because the PCA preserves the structure of the system, it leads to consistent states and co-states. In the numerical implementation, at each iteration step a semi-explicit system is constructed which results from singular value decomposition. Numerical results for small LQ systems of arbitrary dimension and large index problems demonstrate the stable behavior of the algorithm.

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Cited in

(5)

• A linearization algorithm for optimizing control systems subject to singular value inequalities
• A numerical algorithm for singular optimal control synthesis using continuation methods
• Numerical procedure for solving a class of singular optimal control problems
• Morse families in optimal control problems
• Computation of singular linear quadratic optimal control

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