A shooting algorithm for optimal control problems with singular Arcs

DOI10.1007/S10957-012-0254-8MaRDI QIDQ368721zbMATH OpenOpenAlexFDO

Authors P. Martinon, M.-Soledad Aronna, J. Frédéric Bonnans

Publication date 23 September 2013

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.0839

bang-singular control Gauss-Newton method optimal control second order optimality condition shooting algorithm singular arc stability analysis

Mathematics Subject Classification ID

Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Sensitivity, stability, well-posedness (49K40) Newton-type methods (49M15)

Abstract: In this article we propose a shooting algorithm for a class of optimal control problems for which all control variables appear linearly. The shooting system has, in the general case, more equations than unknowns and the Gauss-Newton method is used to compute a zero of the shooting function. This shooting algorithm is locally quadratically convergent if the derivative of the shooting function is one-to-one at the solution. The main result of this paper is to show that the latter holds whenever a sufficient condition for weak optimality is satisfied. We note that this condition is very close to a second order necessary condition. For the case when the shooting system can be reduced to one having the same number of unknowns and equations (square system) we prove that the mentioned sufficient condition guarantees the stability of the optimal solution under small perturbations and the invertibility of the Jacobian matrix of the shooting function associated to the perturbed problem. We present numerical tests that validate our method.

Review text

The authors investigate a shooting algorithm for the optimal control problem \(\varphi_0(x_0,x_T) \to \min\), \(\dot{x}_t=\sum_{i=0}^m u_{i,t} f_i(x_t)\) a.e. on \([0,T]\), \(\eta_j(x_0,x_T)=0\), \(j=1,\dots,d\), where the final time \(T\) is fixed, \(f_i: R^n \to R^n\) for \(i=0, \dots,m\) and \(\eta_j:R^{2n} \to R\) for \(j=1,\dots,d\). The functions \(\varphi_0\), \(f_i\), and \(\eta_j\) have Lipschitz-continuous second derivatives. In general, the shooting system has more equations than unknowns, and the Gauss-Newton method is used to compute a zero of the shooting system. This shooting algorithm is locally quadratically convergent, if the derivative of the shooting function is one-to-one at the solution. The main result of the paper asserts that the latter holds whenever a sufficient condition for weak optimality is satisfied. Numerical tests that validate the proposed method are included.

Recommendations

Cites work

Cited in

(31)

Describes a project that uses

Uses Software

This page was built for publication: A shooting algorithm for optimal control problems with singular Arcs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q368721)