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• optimal control  (125)
• numerical methods  (68)
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• 1
Electronic Resource
Springer
ISSN: 1573-2878
Keywords: optimal control ; bilinear systems ; nilpotent Lie algebra ; products of exponentials
Source: Springer Online Journal Archives 1860-2000
Topics: Mathematics
Notes: Abstract This paper derives some optimization results for bilinear systems using a higher-order method by characterizing them over matrix Lie groups. In the derivation of the results, first a bilinear system is transformed to a left-invariant system on matrix Lie groups. Then, the product of exponential representation is used to express this system in canonical form. Next, the conditions for optimality are obtained by the principles of variational calculus. It is demonstrated that closed-form analytical solutions exist for classes of bilinear systems whose Lie algebra are nilpotent.
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• 2
Electronic Resource
Springer
ISSN: 1573-2878
Keywords: optimal control ; differential games ; Euler polygonal arcs ; nonsmooth analysis ; proximal aiming ; infinitesimal decrease ; discontinuous universal near-optimal feedback
Source: Springer Online Journal Archives 1860-2000
Topics: Mathematics
Notes: Abstract For a general fixed-duration optimal control problem, the proximal aiming technique of nonsmooth analysis is employed in order to construct a discontinuous feedback law, whose Euler solutions are all optimal to within a prescribed tolerance, universally for all initial data in a prescribed bounded set. The technique is adapted in order to construct universal near-saddle points for two-player fixed-duration differential games of the Krasovskii–Subbotin type.
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• 3
Electronic Resource
Springer
ISSN: 1573-2878
Keywords: Mathematical programming ; function minimization ; method of dual matrices ; computing methods ; numerical methods
Source: Springer Online Journal Archives 1860-2000
Topics: Mathematics
Notes: Abstract In Ref. 2, four algorithms of dual matrices for function minimization were introduced. These algorithms are characterized by the simultaneous use of two matrices and by the property that the one-dimensional search for the optimal stepsize is not needed for convergence. For a quadratic function, these algorithms lead to the solution in at mostn+1 iterations, wheren is the number of variables in the function. Since the one-dimensional search is not needed, the total number of gradient evaluations for convergence is at mostn+2. In this paper, the above-mentioned algorithms are tested numerically by using five nonquadratic functions. In order to investigate the effects of the stepsize on the performances of these algorithms, four schemes for the stepsize factor are employed, two corresponding to small-step processes and two corresponding to large-step processes. The numerical results show that, in spite of the wide range employed in the choice of the stepsize factor, all algorithms exhibit satisfactory convergence properties and compare favorably with the corresponding quadratically convergent algorithms using one-dimensional searches for optimal stepsizes.
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• 4
Electronic Resource
Springer
ISSN: 1573-2878
Keywords: Two-point boundary-value problems ; differential equations ; Newton-Raphson methods ; computing methods ; numerical methods
Source: Springer Online Journal Archives 1860-2000
Topics: Mathematics
Notes: Abstract A method based on matching a zero of the right-hand side of the differential equations, in a two-point boundary-value problem, to the boundary conditions is suggested. Effectiveness of the procedure is tested on three nonlinear, two-point boundary-value problems.
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• 5
Electronic Resource
Springer
ISSN: 1573-2878
Keywords: Calculus of variations ; optimal control ; computing methods ; numerical methods ; boundary-value problems ; modified quasilinearization algorithm ; nondifferential constraints
Source: Springer Online Journal Archives 1860-2000
Topics: Mathematics
Notes: Abstract This paper considers the numerical solution of optimal control problems involving a functionalI subject to differential constraints, nondifferential constraints, and terminal constraints. The problem is to find the statex(t), the controlu(t), and the parameter π so that the functional is minimized, while the constraints are satisfied to a predetermined accuracy. A modified quasilinearization algorithm is developed. Its main property is the descent property in the performance indexR, the cumulative error in the constraints and the optimality conditions. Modified quasilinearization differs from ordinary quasilinearization because of the inclusion of the scaling factor (or stepsize) α in the system of variations. The stepsize is determined by a one-dimensional search on the performance indexR. Since the first variation δR is negative, the decrease inR is guaranteed if α is sufficiently small. Convergence to the solution is achieved whenR becomes smaller than some preselected value. In order to start the algorithm, some nominal functionsx(t),u(t), π and nominal multipliers λ(t), ρ(t), μ must be chosen. In a real problem, the selection of the nominal functions can be made on the basis of physical considerations. Concerning the nominal multipliers, no useful guidelines have been available thus far. In this paper, an auxiliary minimization algorithm for selecting the multipliers optimally is presented: the performance indexR is minimized with respect to λ(t), ρ(t), μ. Since the functionalR is quadratically dependent on the multipliers, the resulting variational problem is governed by optimality conditions which are linear and, therefore, can be solved without difficulty. To facilitate the numerical solution on digital computers, the actual time θ is replaced by the normalized timet, defined in such a way that the extremal arc has a normalized time length Δt=1. In this way, variable-time terminal conditions are transformed into fixed-time terminal conditions. The actual time τ at which the terminal boundary is reached is regarded to be a component of the parameter π being optimized. The present general formulation differs from that of Ref. 3 because of the inclusion of the nondifferential constraints to be satisfied everywhere over the interval 0⩽t⩽1. Its importance lies in that (i) many optimization problems arise directly in the form considered here, (ii) there are problems involving state equality constraints which can be reduced to the present scheme through suitable transformations, and (iii) there are some problems involving inequality constraints which can be reduced to the present scheme through the introduction of auxiliary variables. Numerical examples are presented for the free-final-time case. These examples demonstrate the feasibility as well as the rapidity of convergence of the technique developed in this paper.
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• 6
Electronic Resource
Springer
ISSN: 1573-2878
Keywords: Calculus of variations ; optimal control ; global sufficient conditions ; Darboux point ; conjugate point
Source: Springer Online Journal Archives 1860-2000
Topics: Mathematics
Notes: Abstract A theory of global optimality based upon the Darboux-point concept is developed. A definition is proposed for the Darboux point, and the Darboux point is shown to exist on nonglobally optimal trajectories under relatively general conditions. A mutually exclusive classification of Darboux points is noted, and several properties are proved for one of these classes (the Type-1 Darboux point). Numerous examples are included to illustrate the Darboux-point definition and properties.
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• 7
Electronic Resource
Springer
ISSN: 1573-2878
Keywords: Nonlinear programming algorithms ; numerical methods ; anti-jamming strategies
Source: Springer Online Journal Archives 1860-2000
Topics: Mathematics
Notes: Abstract A convergence theory for a class of anti-jamming strategies for nonlinear programming algorithms is presented. This theory generalizes previous results in this area by Zoutendijk, Topkis and Veinott, Mangasarian, and others; it is applicable to algorithms in which the anti-jamming parameter is fixed at some positive value as well as to algorithms in which it tends to zero. In addition, under relatively weak hypotheses, convergence of the entire sequence of iterates is proved.
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• 8
Electronic Resource
Springer
ISSN: 1573-2878
Keywords: Calculus of variations ; optimal control ; global sufficient conditions ; Darboux point ; conjugate point
Source: Springer Online Journal Archives 1860-2000
Topics: Mathematics
Notes: Abstract A minimal sufficient condition for global optimality involving the Darboux point, analogous to the minimal sufficient condition of local optimality involving the conjugate point, is presented. The Darboux point is then characterized for optimal control problems with linear dynamics, cost functionals with a general terminal state term and an integrand quadratic in the state and control, and general terminal conditions. The Darboux point is shown to be the supremum of a sequence of conjugate points. If the terminal state term is quadratic, along with a scalar quadratic boundary condition, then the Darboux point is also the time at which the Riccati matrix becomes unbounded, giving a characterization of the unboundedness of the Riccati matrix at points which are not in general conjugate points.
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• 9
Electronic Resource
Springer
ISSN: 1573-2878
Keywords: Two-point boundary-value problems ; continuation methods ; shooting methods ; iterative numerical methods ; optimal control
Source: Springer Online Journal Archives 1860-2000
Topics: Mathematics
Notes: Abstract We consider the solution of the following two-point boundary-value problem: $$\begin{gathered} \dot x(t) = f(t,x(t),p(t)), \dot p(t) = g(t,x(t),p(t)), t \in [0,T], \hfill \\ h(x(0),p(0)) = 0, p(T) = q. \hfill \\ \end{gathered}$$ We propose a combination technique consisting of the interval length continuation method and the back-and-forth shooting method. Certain alternative ways of employing continuation are discussed, and some of them are well suited for the problem under consideration. As a test for the method, a numerical example of a problem originating in optimal control is given.
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• 10
Electronic Resource
Springer
ISSN: 1573-2878
Keywords: Human capital ; optimal control ; retarded control problems ; labor training ; economics ; maximum principle
Source: Springer Online Journal Archives 1860-2000
Topics: Mathematics
Notes: Abstract In this paper, we analyze the optimal skill mix in a model with two kinds of imperfectly substitutable labor, skilled and unskilled. The population is characterized by a distribution of innate abilities, and individuals are trained according to optimal rules or market rules (with imperfect expectations); the length of each individual's training period depends upon his innate ability. The market and optimal rules are characterized and compared, and corrective policies are investigated. This model represents a major advance over earlier models, which are based on the following assumptions: (a) either unskilled and skilled labor are perfectly substitutable or training is a necessary condition for employment; (b) individuals are innately identical; (c) in most cases, training occurs either instantaneously or with fixed lag.
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