Necessary conditions of fractional optimal control problems with state constraints in the sense of Riemann‐Liouville

This paper is devoted to the optimal control problem of a fractional dynamic system with state constraints in the sense of Riemann‐Liouville. By means of the needle variation, we establish the Pontryagin's maximum principle for the optimal control problem. Moreover, when such a necessary condition is singular in some sense, we investigate the “second‐order” necessary conditions accordingly. As an application, two examples are presented to demonstrate the accuracy and efficiency of the result.     

Maximum principle for optimal control of vibrations of a dynamic Gao beam in contact with a rigid foundation

In our preceding paper, we studied an optimal control problem of vibrations of a dynamic Gao beam in contact with a reactive foundation and derived the Pontryagin maximum principle for the controlled system in fixed final horizon case. As a follow-up, in this paper, we focus on the investigation of the Gao beam that may come in contact with a rigid foundation underneath it. In this case, the nonlinear viscoelastic beam equation is equipped with the Signorini condition. By the Dubovitskii and Milyutin functional analytical approach, we investigate the new optimal control problem with multiple inequality constraints and present further original results of current interests.     

Necessary optimality conditions for quasisingular controls in a step control problem

Necessary second-order optimality conditions are obtained for one class of optimal control problems for step systems. __________ Translated from Kibernetika i Sistemnyi Analiz, No. 1, pp. 101–115, January–February 2008.     

Optimal control of vibrations of a dynamic Gao beam in contact with a reactive foundation

In this paper, we investigate the optimal control of vibrations of a nonlinear viscoelastic beam, which is acted upon by a horizontal traction, that may come in contact with a reactive foundation underneath it. By the Dubovitskii and Milyutin functional analytical approach, we derive the Pontryagin maximum principle of the system governed by the Gao beam equation. And the first-order necessary optimality condition is presented for the optimal control problem in fixed final horizon case. Finally, we also sketch the numerical solution based on the obtained theoretical results.     

A varying terminal time structure for stochastic optimal control under constrained condition

In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal control problem, we investigate a novel stochastic maximum principle, which differs from the traditional optimal control problem under state constraints. The optimal pair of the optimal control model can be verified via this new stochastic maximum principle.     

The relaxed optimal control problem for Mean-Field SDEs systems and application

The present study deals with a new approach of optimal control problems where the state equation is a Mean-Field stochastic differential equation, and the set of strict (classical) controls need not be convex and the diffusion coefficient depends on the term control. Our consideration is based on only one adjoint process, and the necessary conditions as well as a sufficient condition for optimality in the form of a relaxed maximum principle are obtained, with application to Linear quadratic stochastic control problem with mean-field type.     

An optimal control algorithm for nuclear reactor load cycling

An optimal control algorithm for reactor reactivity controls during CANDU4 nuclear station load cycling is presented. The minimized performance index is reactor operating cost during a load cycling interval. The algorithm is developed using Pontryagin's Maximum principle. A novel non-iterative technique for determining the adjoint multiplier initial values in the resulting two point boundary value problem is used. The analysis considers standard fuel, booster fuel, moderator poison and liquid zone controllers as available reactivity control devices.     

Necessary and sufficient conditions of risk‐sensitive optimal control and differential games for stochastic differential delayed equations

In this paper, we consider risk‐sensitive optimal control and differential games for stochastic differential delayed equations driven by Brownian motion. The problems are related to robust stochastic optimization with delay due to the inherent feature of the risk‐sensitive objective functional. For both problems, by using the logarithmic transformation of the associated risk‐neutral problem, the necessary and sufficient conditions for the risk‐sensitive maximum principle are obtained. We show that these conditions are characterized in terms of the variational inequality and the coupled anticipated backward stochastic differential equations (ABSDEs). The coupled ABSDEs consist of the first‐order adjoint equation and an additional scalar ABSDE, where the latter is induced due to the nonsmooth nonlinear transformation of the adjoint process of the associated risk‐neutral problem. For applications, we consider the risk‐sensitive linear‐quadratic control and game problems with delay, and the optimal consumption and production game, for which we obtain explicit optimal solutions.     

A pseudo‐stochastic approach for optimal decision making under limited information: a case of an aggregate production system

In this study, which is both analytical and numerical, we compute the effective information horizon (EIH), i.e., the minimal time interval over which future information is relevant for optimal control and for measuring the performance of a single part‐type production system. Optimal control modeling and process solving, which consider aspects of decision making with limited forecast, are exemplified by a single part‐type production system. Specifically, the analysis reveals practical situations in which there is both a performance loss as well as feasibility violation when only information expected within the planning horizon is considered. The analysis is carried out by developing a pseudo‐stochastic model. We follow previous “pseudo‐stochastic” approaches that solve stochastic control problems by using deterministic, optimal control methods. However, we model the expected influences of all future events, including those that are beyond the planning horizon, as encapsulated by their density functions and not only by their mean values.     

带Markov跳的离散时间随机控制系统的最大值原理

本文研究一类同时含有Markov跳过程和乘性噪声的离散时间非线性随机系统的最优控制问题, 给出并证明了相应的最大值原理. 首先, 利用条件期望的平滑性, 通过引入具有适应解的倒向随机差分方程, 给出了带有线性差分方程约束的线性泛函的表示形式, 并利用Riesz定理证明其唯一性. 其次, 对带Markov跳的非线性随机控制系统, 利用针状变分法, 对状态方程进行一阶变分, 获得其变分所满足的线性差分方程. 然后, 在引入Hamilton函数的基础上, 通过一对由倒向随机差分方程刻画的伴随方程, 给出并证明了带有Markov跳的离散时间非线性随机最优控制问题的最大值原理, 并给出该最优控制问题的一个充分条件和相应的Hamilton-Jacobi-Bellman方程. 最后, 通过 一个实际例子说明了所提理论的实用性和可行性.     

A simulation‐based algorithm for optimal pricing policy under demand uncertainty

We propose a simulation‐based algorithm for computing the optimal pricing policy for a product under uncertain demand dynamics. We consider a parameterized stochastic differential equation (SDE) model for the uncertain demand dynamics of the product over the planning horizon. In particular, we consider a dynamic model that is an extension of the Bass model. The performance of our algorithm is compared to that of a myopic pricing policy and is shown to give better results. Two significant advantages with our algorithm are as follows: (a) it does not require information on the system model parameters if the SDE system state is known via either a simulation device or real data, and (b) as it works efficiently even for high‐dimensional parameters, it uses the efficient smoothed functional gradient estimator.     

A model of optimal control over a nonlinear multidimensional innovation diffusion process

A model of competitive innovation diffusion is considered. The model is based on the Lotka-Volterra system and an initial-boundary problem for a system of quasilinear parabolic equations. The maximum principle is proved for the problem of diffusion of two competitive innovations, and sufficient conditions of existence of optimum control are obtained for the system. A numerical algorithm is constructed for solving optimum control problems, and numerical results for a model example are presented. __________ Translated from Kibernetika i Sistemnyi Analiz, No. 4, pp. 120–133, July–August 2008.     

聚合物驱最优控制问题求解算法的设计与实现

为了获得聚合物驱油的最大利润,通过最优控制来确定聚合物的最佳注入策略是一种有效的方法。该最优控制问题的数值解涉及到油藏数值模拟、伴随方程和非线性规划问题。给出了基于面向对象的算法设计方案及其实现细节。利用全隐式差分格式离散化聚合物驱模型,并采用Newton-Raphson求解所得到非线性方程组,在求解前向模型的同时构造了伴随方程。对一个三维聚合物驱注入问题进行了实例求解,表明了所实现算法的实用性和有效性。     

Global maximum principle for the forward–backward stochastic optimal control problem with poisson jumps

This paper is concerned with the forward–backward stochastic optimal control problem with Poisson jumps. A necessary condition of optimality in the form of a global maximum principle as well as a sufficient condition of optimality are presented under the assumption that the diffusion and jump coefficients do not contain the control variable, and the control domain need not be convex. The case where there are some state constraints is also discussed. A financial example is discussed to illustrate the application of our result. Copyright © 2011 John Wiley and Sons Asia Pte Ltd and Chinese Automatic Control Society     

A numerical method for solving a nonlinear 2-D optimal control problem with the classical diffusion equation

This paper presents a numerical solution for solving a nonlinear 2-D optimal control problem (2DOP). The performance index of a nonlinear 2DOP is described with a state and a control function. Furthermore, dynamic constraint of the system is given by a classical diffusion equation. It is preferred to use the Ritz method for finding the numerical solution of the problem. The method is based upon the Legendre polynomial basis. By using this method, the given optimisation nonlinear 2DOP reduces to the problem of solving a system of algebraic equations. The benefit of the method is that it provides greater flexibility in which the given initial and boundary conditions of the problem are imposed. Moreover, compared with the eigenfunction method, the satisfactory results are obtained only in a small number of polynomials order. This numerical approach is applicable and effective for such a kind of nonlinear 2DOP. The convergence of the method is extensively discussed and finally two illustrative examples are included to observe the validity and applicability of the new technique developed in the current work.     

随机运动目标搜索问题的最优控制模型

提出了Rn空间中做布朗运动的随机运动目标的搜索问题的最优控制模型.采用分析的方法来研究随机运动目标的最优搜索问题,并将原问题转化为由一个二阶偏微分方程(HJB方程)所表示的确定性分布参数系统的等价问题,推导出随机运动目标的最优搜索问题的HJB方程,并证明了该方程的解即是所寻求的最优搜索策略.由此给出了一个计算最优搜索策略的算法和一个实例.     

Necessary conditions for a class of optimal multiprocess with state constraints

In this article, we derive a maximum principle for a special class of free end time optimal control of multiprocesses involving a family of control systems acting in different regions defined by state constraints. We are mainly interested in problems with contiguous time intervals. The main feature of our maximum principle is that it covers the case where some of the regions considered may not be visited. This means that the intervals where the corresponding control systems are active may be reduced to a single point. The derivation of our maximum principle is done by reformulating the optimal multiprocess problem as an equivalent fixed time state constrained optimal control problem. This reformulated problem is also of interest since it provides the means to solve optimal multiprocess problems numerically via the direct method. We illustrate our findings with an example concerning the path planning of an autonomous underwater vehicle (AUV) using a simple kinematic model derived for simulations. We use simplified point‐mass model for the motion of an AUV in a horizontal plane and we assume that the ocean currents are known. We recast this problem as the multiprocess optimal control problem of interest and we study it via simulations presenting computational results partially validated by the maximum principle.     

A maximum principle based combined method for scheduling in a flexible manufacturing system

A continuous time dynamic model of discrete scheduling problems for a large class of manufacturing systems is considered in the present paper. The realistic manufacturing based on multi-level bills of materials, flexible machines, controllable buffers and deterministic demand profiles is modeled in the canonical form of optimal control. Carrying buffer costs are minimized by controlling production rates of all machines that can be set up instantly. The maximum principle for the model is studied and properties of the optimal production regimes are revealed. The solution method developed rests on the iterative approach generalizing the method of projected gradient, but takes advantage of the analytical properties of the optimal solution to reduce significantly computational efforts. Computational experiments presented demonstrate effectiveness of the approach in comparison with pure iterative method.     

非线性动力学系统最优控制问题的保辛求解方法

基于对偶变量变分原理提出了求解非线性动力学系统最优控制问题的一种保辛数值方法.以时间区段一端状态和另一端协态作为混合独立变量,在时间区段内采用拉格朗日插值近似状态变量与协态变量,然后利用对偶变量变分原理并将非线性最优控制问题转化为非线性方程组的求解,最终得到求解非线性动力学系统最优控制问题的保辛数值方法.数值实验验证了本文算法在求解精度与求解效率上的有效性.