Necessary optimality conditions for optimal control problems with equilibrium constraints

DOI10.1137/15M1013493MaRDI QIDQ2827481zbMATH OpenOpenAlexFDO

Publication date 20 October 2016

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.00158

Clarke stationarity Mordukhovich stationarity necessary optimality condition optimal control problem with equilibrium constraints strong stationarity weak stationarity

Mathematics Subject Classification ID

Optimality conditions for problems involving ordinary differential equations (49K15) Optimality conditions for problems involving relations other than differential equations (49K21) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Abstract: This paper introduces and studies the optimal control problem with equilibrium constraints (OCPEC). The OCPEC is an optimal control problem with a mixed state and control equilibrium constraint formulated as a complementarity constraint and it can be seen as a dynamic mathematical program with equilibrium constraints. It provides a powerful modeling paradigm for many practical problems such as bilevel optimal control problems and dynamic principal-agent problems. In this paper, we propose weak, Clarke, Mordukhovich and strong stationarities for the OCPEC. Moreover, we give some sufficient conditions to ensure that the local minimizers of the OCPEC are Fritz John type weakly stationary, Mordukhovich stationary and strongly stationary, respectively. Unlike Pontryagain's maximum principle for the classical optimal control problem with equality and inequality constraints, a counter example shows that for general OCPECs, there may exist two sets of multipliers for the complementarity constraints. A condition under which these two sets of multipliers coincide is given.

Review text

Let \([t_0, t_1 ] \subseteq\mathbb{R}\), a multifunction \(U:[t_0, t_1 ]\rightrightarrows \mathbb{R}^m\) and a dynamic function \(\phi : [t_0, t_1 ]\times \mathbb{R}^n\times \mathbb{R}^m \rightarrow \mathbb{R}^n.\) A control function \(u(.)\) is a measurable function on \([t_0, t_1 ]\) such that \(u(t) \in U (t)\) for almost every \(t\in [t_0, t_1 ].\) The state trajectory, corresponding to a given control \(u(.),\) refers to a solution \(x(.)\) of the following controlled differential equation: NEWLINE\[NEWLINE x'(t) = \phi(t, x(t), u(t))~ \mathrm{a.e.}~ t \in [t_0, t_1 ],NEWLINE\]NEWLINE NEWLINE\[NEWLINE(x(t_0), x(t_1)) \in E,NEWLINE\]NEWLINE where \(E\) is a given closed subset in \(\mathbb{R}^n\times \mathbb{R}^n\) and \(x'(t)\) is the first-order derivative of the state \(x(.)\) at time \(t.\) In optimal control, one looks for a state and control pair \((x(.), u(.))\) satisfying the state equation (1) and the boundary condition (2) so as to minimize an objective function \( J (x(.), u(.)).\)NEWLINENEWLINEHere, the authors in addition to the state equation (1) and the boundary condition (2) required that the state and control pair \((x(.), u(.))\) also satisfies some mixed equality and inequality constraints, as well as a mixed equilibrium system formulated as a complementarity system: NEWLINE\[NEWLINE0\leq G(t, x(t), u(t))\perp H (t, x(t), u(t)) \geq 0 ~ \mathrm{a.e.}~ t \in [t_0, t_1 ],NEWLINE\]NEWLINE where \(G, H : [t_0, t_1 ]\times \mathbb{R}^n\times \mathbb{R}^m\rightarrow \mathbb{R}^l.\) They introduced a class of optimal control problems with equilibrium constraints (OCPEC) as in the following: NEWLINE\[NEWLINE \min~ J (x(.), u(.))NEWLINE\]NEWLINE NEWLINE\[NEWLINE\mathrm{ s.t.}~~ x' (t) = \phi(t, x(t), u(t))~ \mathrm{a.e.}~ t \in [t_0, t_1 ],NEWLINE\]NEWLINE NEWLINE\[NEWLINEg (t, x(t), u(t)) \leq 0,~ h(t, x(t), u(t)) = 0 ~ \mathrm{a.e.}~ t \in [t_0, t_1 ],NEWLINE\]NEWLINE NEWLINE\[NEWLINE 0 \geq G(t, x(t), u(t))\perp H (t, x(t), u(t))\geq 0~~\mathrm{a.e.}~ t \in [t_0, t_1 ],NEWLINE\]NEWLINE NEWLINE\[NEWLINE u(t) \in U (t)~ \mathrm{a.e.}~ t \in [t_0, t_1 ],NEWLINE\]NEWLINE NEWLINE\[NEWLINE (x(t_0 ), x(t_1)) \in E,NEWLINE\]NEWLINE where \( g : [t_0, t_1 ]\times \mathbb{R}^n\times \mathbb{R}^m\rightarrow \mathbb{R}^{l_1}.\) and \(h: [t_0, t_1 ]\times \mathbb{R}^n\times \mathbb{R}^m\rightarrow \mathbb{R}^{l_2}.\) They proposed weak, Clarke, Mordukhovich, and strong stationarities for the (OCPEC). Moreover, They gave some sufficient conditions to ensure that the local minimizers of the (OCPEC) are Fritz John-type weakly stationary, Mordukhovich stationary, and strongly stationary.

Recommendations

Cites work

Cited in

(22)

This page was built for publication: Necessary optimality conditions for optimal control problems with equilibrium constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2827481)