Feedback control methodologies for nonlinear systems

DOI10.1023/A:1004607114958MaRDI QIDQ5925731zbMATH OpenOpenAlexFDO

Authors S. C. Beeler, Hien Tran, H. Thomas Banks

Publication date 19 February 2001

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

Full work available at URL https://doi.org/10.1023/a:1004607114958, http://www.lib.ncsu.edu/resolver/1840.4/666

Hamilton-Jacobi-Bellman equation infinite horizon necessary optimality conditions numerical method optimal feedback control state-dependent Riccati equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Numerical methods based on necessary conditions (49M05) Newton-type methods (49M15) Optimal feedback synthesis (49N35) Numerical optimization and variational techniques (65K10)

Review text

In the first part of the paper the authors recall in a succinct manner five distinct numerical methods in the literature for computing the optimal feedback control \(u^*(.):\Omega \to R^k\) of an infinite-horizon autonomous problem that consists in the minimization of the functionals: \[ J(x_0;u(.)):=\int_0^\infty [(x(t))^TQx(t)+(u(t))^TRu(t)]dt, \;x_0\in \Omega \;\subset R^n, \] subject to: \[ x'(t)=f(x(t))+Bu(t), \;u(t)\in R^k \text{ a.e. }([0,\infty)), \;x(0)=x_0. \] In the second part, one uses tables and figures to report computer numerical results of each of the five methods on four examples taken from the same bibliographical sources; moreover, comparing the performance of the methods regarding computational time, overall cost and ``flops, the authors reach some conclusions and make suitable recommendations for choosing the ``best method for each type of problem, depending on certain characteristics such as ``the nature of nonlinearities, the ``size of the system, etc.. One may note that, as in most recent papers on numerical methods in optimal control, very little of the abundant ``optimal control theory [e.g., \textit{M. Bardi} and \textit{I. Capuzzo-Dolcetta}, ``Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations (1997; Zbl 0890.49011)]) is actually used; for instance, in the first three methods it is (implicitly) assumed that the value function: \[ V(x_0):= \inf_{u(.)}J(x_0;u(.)), \quad x_0\in \Omega, \] is smooth (even analytical) and the optimal feedback control is given by the (Carathéodory's) formula: \[ u^*(x):=-(1/2)R^{-1}B^TDV(x), \quad x\in \Omega, \] while in the last two methods it is assumed (also implicitly) that any ``normal extremal satisfying the transversality condition is optimal. Similar results and examples may be found in [\textit{W. Prager}, Calcolo 37, No. 2, 97-123 (2000; Zbl 0956.65050)] while a rather complex but rigorous theory of \(\varepsilon\)-optimal feedback control may be found in [\textit{H. Ishii} and \textit{S. Koike}, Ann. Inst. Henri Poincaré, Anal. Non Linéaire 17, No. 4, 473-502 (2000; Zbl 0969.49019)].

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