Implicit Euler approximation and optimization of one-sided Lipschitzian differential inclusions

DOI10.1090/CONM/659/13152MaRDI QIDQ3187429zbMATH OpenOpenAlexFDO

Authors Boris S. Mordukhovich, Yuan Tian

Publication date 2 September 2016

Published in Nonlinear Analysis and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.2207, http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.745.9777

zbMATH Keywords

differential inclusionsimplicit Euler approximationoptimization

Mathematics Subject Classification ID

Ordinary differential inclusions (34A60) Existence theories for optimal control problems involving relations other than differential equations (49J21) Nonsmooth analysis (49J52) Set-valued and variational analysis (49J53) Optimality conditions for problems involving relations other than differential equations (49K21) Sensitivity, stability, well-posedness (49K40) Discrete approximations in optimal control (49M25) Nonlinear programming (90C30)

Abstract: This paper concerns the study of the generalized Bolza problem governed by differential inclusions satisfying the so-called "relaxed one-sided Lipschitzian" (ROSL) condition with respect to the state variables subject to various types of nonsmooth endpoint constraints. We construct discrete approximations of differential inclusions with ROSL right-hand sides by using the implicit Euler scheme for approximating time derivatives, and then we justify an appropriate well-posedness of such approximations. Our principal result establishes the strong approximation (in the sense of the $W^{1,2}$ norm convergence) of an "intermediate" (between strong and weak minimizers) local optimal solution of the continuous-time Bolza problem under the ROSL assumption by optimal solutions of the implicitly discretized finite-difference systems. Finally, we derive necessary optimality conditions for the discretized Bolza problems via suitable generalized differential constructions of variational analysis. The obtained results on the well-posedness of discrete approximations and necessary optimality conditions allow us to justify a numerical approach to solve the generalized Bolza problem for one-sided Lipschitzian differential inclusions by using discrete approximations constructed via the implicit Euler scheme.

Cited in

(6)

• Semilinear parabolic differential inclusions with one-sided Lipschitz nonlinearities
• Localized solvability of relaxed one-sided Lipschitz inclusions in Hilbert spaces
• The time-freezing reformulation for numerical optimal control of complementarity Lagrangian systems with state jumps
• Towards optimal space-time discretization for reachable sets of nonlinear control systems
• Optimality conditions for Bolza type problems with maximal monotone operators
• Theoretical analysis of a finite-volume scheme for a stochastic Allen-Cahn problem with constraint

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