Arbitrarily Tight Bounds on a Singularly Perturbed Linear-Quadratic Optimal Control Problem

MaRDI QIDQ6283187zbMATH OpenFDO

Authors Sei Howe, Panos Parpas

Publication date 14 February 2017

Abstract: We calculate arbitrarily tight upper and lower bounds on an unconstrained control, linear-quadratic, singularly perturbed optimal control problem whose exact solution is computationally intractable. It is well known that for the aforementioned problem, an approximate solution $$ can be constructed such that it is asymptotically equivalent in $epsilon$ to the solution $V(epsilon)$ of the singularly perturbed problem in the sense that $$ for any integer $Ngeq0$ as $epsilonightarrow0$. For this approximation to be considered useful, the parameter $epsilon$ is typically restricted to be in some sufficiently small set; however, for values of $epsilon$ outside this set, a poor approximation can result. We improve on this approximation by incorporating a duality theory into the singularly perturbed optimal control problem and derive an upper bound $ch{i}_u^N(epsilon)$ and a lower bound $ch{i}_l^N(epsilon)$ of $V(epsilon)$ that hold for arbitrary $epsilon$ and, furthermore, satisfy the inequality $|ch{i}_u^N(epsilon)-ch{i}_l^N(epsilon)|=O(epsilo{n}^{N+1})$ for any integer $Ngeq0$ as $epsilonightarrow0$.

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