An Introduction to the Mathematical Theory. of Nonlinear Control Systems
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1 An Introduction to the Mathematical Theory of Nonlinear Control Systems Alberto Bressan S.I.S.S.A., Via Beirut 4, Trieste Italy and Department of Mathematical Sciences, NTNU, N-7491 Trondheim, Norway 1. Definitions and examples of nonlinear control systems 2. Relations with differential inclusions 3. Properties of the set of trajectories 4. Optimal control problems 5. Existence of optimal controls 6. Necessary conditions for optimality: the Pontryagin Maximum Principle 7. Viscosity solutions of Hamilton-Jacobi equations 8. Bellman s Dyanmic Programming Principle and sufficient conditions for optimality 0
2 Control Systems ẋ = f(x,u) x IR n, u U IR m (1) x(0) = x 0 (2) Atrajectoryofthesystemisanabsolutely continuousmapt x(t)suchthatthere exist a measurable control function t u(t) U, such that ẋ(t) = f ( x(t),u(t) ) for a.e. t [0,T]. Basic assumptions 1 - Sublinear growth f(x,u) C ( 1+ x ) u U, x IR n guarantees that solutions remain uniformly bounded, for t [0, T]. 2 - Lipschitz continuity f(x,u) f(y,u) L x y u U, x,y IR n if x( ), y( ) are trajectories corresponding to the same control function u( ), this implies x(t) y(t) e Lt x(0) y(0) hence the Cauchy problem (1)-(2) has a unique solution. Equivalent Differential Inclusion ẋ G(x). = { f(x,u); u U } (3) A trajectory of (3) is an absolutely continuous map t x(t) such that ẋ(t) G ( x(t) ) for almost every t [0,T]. 1
3 Optimization problems Select a control function u( ) that performs an assigned task optimally, w.r.t. a given cost criterion. Open-loop control u = u(t) is a (possibly discontinuous) function of time. Yields an O.D.E. of the form ẋ(t) = g(x,t). = f ( x, u(t) ) where g is Lipschitz continuous in x, measurable in t. For solutions of the O.D.E., standard existence and uniqueness results hold, for Caratheodory solutions Closed-loop (feedback) control u = u(x) is a (possibly discontinuous) function of space. Yields an O.D.E. of the form ẋ(t) = g(x). = f ( x, u(x) ) where g is measurable, possibly discontinuous. For solutions of the O.D.E., no general existence and uniqueness result is available 2
4 1 - Navigation Problem x(t) = position of a boat on a river v(x) velocity of the water Control system ẋ = f(x,u) = v(x)+ρu u 1 Differential inclusion ẋ F(x) = { v(x)+ρu ; u 1 } v 3
5 2 - Systems with scalar control entering linearly ẋ = f(x)+g(x)u u [ 1,1] ẋ F(x) = { f(x)+g(x)u ; u [ 1,1] } g x 2 f 0 x 1 Stabilization in minimum time: Find a control u( ) that steers the system to the origin in minimum time. 4
6 Example 2 ẍ = u u [ 1,1] {ẋ = v v = u { x(0) = x0 v(0) = v 0 Find feedback control u = U(x,v) steering the system to the origin in minimum time. v u = 1 u = 1 0 x 5
7 Regularity of Multifunctions The Hausdorff distance between two compact sets Ω 1,Ω 2 IR n is d H (Ω 1,Ω 2 ). = min { ρ : Ω 1 B(Ω 2,ρ) and Ω 2 B(Ω 1,ρ) } B(Ω,ρ). = neighborhood of radius ρ around the set Ω ρ 1 Ω 1 ρ 1 Ω 1 ρ 2 Ω 2 Ω 2 B( Ω 1, ρ 1 ) d H (Ω 1,Ω 2 ) = max{ρ 1,ρ 2 } ρ 1 = maximum distance of points p Ω 1 from Ω 2 ρ 2 = maximum distance of points p Ω 2 from Ω 1 A multifunction x G(x) IR n is Lipschitz continuous if d H ( G(x), G(y) ) L x y x,y IR n. If U IR m is compact and f is Lipschitz continuous, then the multifunction x G(x). = { f(x,u); u U } is Lipschitz continuous 6
8 Equivalence with Differential Inclusions Control System: ẋ = f(x,u) u U (1) Differential Inclusion: ẋ G(x) (2) F(x) = {f(x,u) ; u U} C U x F(x) x Theorem 1 (A. Filippov). If f is continuous and U is compact, the set of (Caratheodory) trajectories of (1) coincides with the set of trajectories of (2), with G(x). = { f(x,u); u U } If ẋ(t) G ( x(t) ) a.e., for each fixed t there exists u(t) U such that ẋ(t) = f ( x(t),u(t) ). The map t u(t) can be chosen to be measurable. Theorem 2 (A. Ornelas). Let x G(x) be a bounded, Lipschitz continuous multifunction with convex, compact values. Then there exists a Lipschitz continuous function f : IR n U IR n such that G(x). = { f(x,u); u U } for all x. Here the U (the set of control values) is the closed unit ball in IR n. 7
9 Dynamics of a Control System Describe the set of all trajectories of the control system ẋ = f(x,u) u U, x(0) = x 0 (1) Describe the Reachable set at time T: R(T). = { x(t); x( ) is a trajectory of (1) } R(T) x 0 Ideal case: an explicit formula for R(T) More realistic goal: derive properties of the reachable set A priori bounds: R(T) B(x 0, ρ) Is R(T) closed, connected, with non-empty interior? (Local controllability) Is R(T) a neighborhood of x 0, for all T > 0? (Global controllability) Does every point x IR n lie in the reachable set R(T), for T suitably large? 8
10 Linear Systems ẋ = Ax+Bu, x(0) = 0 (4) A is a n n matrix, B is n m, u IR m. x(t) = T 0 e (T s)a Bu(s)ds (5) e ta t k A k = k! k=0 Theorem 3. For every T > 0, the reachable set is R(T) = span { B, AB,A 2 B,,A n 1 B } Proof. R(T) is clearly a vector space range ( e ta) span{i,a,a 2,...} = span { I,A,A 2,...A n 1} Hence, by (5), R(T) span { B, AB,A 2 B,,A n 1 B }. Viceversa, p R(T) implies dx k (t) p, = 0 for all k, t 0. dt At time t = 0, taking a constant control u(t) ω, one finds p, A k Bω = 0 for all k 0, ω IR m p span{b,ab,a 2 B,...A n 1 B} 9
11 Connectedness The reachable set R(T) is always connected x 1 = x(t,u 1 ), x 2 = x(t,u 2 ) u θ (t). = { u1 (t) if t [0,θT] u 2 (t) if t ]θt, T] θ x(t, u θ ) is a path inside R(T), connecting x 1 with x 2 x 2 R(T) x θ x 0 x( θt, u 1 ) x 1 10
12 Closure Example 3. The set of trajectories may not be closed. ẋ = u u { 1,1}, x(0) = 0 For each k 1, define the control u : [0,T] { 1,1} { 1 u n (t) = 1 [ ] if t 2jT/2n, (2j +1)T/2n if t [ (2j 1)T/2n, 2jT/2n ] (6) The trajectories t x n (t) satisfy x n (t) x (t) 0 uniformly on [0,T] but x (t) 0 is not a trajectory of the system. x 8 0 x 32 T 11
13 Example 4. The reachable set R(T) IR 2 may not be closed. (ẋ 1,ẋ 2 ) = (u,x 2 1 ) u { 1,1}, (x 1,x 2 )(0) = (0,0) (7) Choosing the controls u n ( ) in (6), at time T we reach the points P n = ( 0, T 3 /12n 2) P n (0,0) as n, but (0,0) / R(T). Indeed, for any trajectory of the system x 2 (T) = T 0 x 2 1 (s)ds = 0 only if x 1 (t) 0 for all t, hence ẋ 1 (t) = u(t) = 0 for almost every t. Against the assumption u(t) { 1, 1} x 2 P n 0 x 1 12
14 Theorem 4 (A. Filippov). Let x G(x) be a Lipschitz continuous multifunction with compact, convex values. Then, for every T 0 the set of solutions of is closed w.r.t. uniform convergence. ẋ G(x), x(0) = x 0 t [0,T] Corollary. Under the previous assumptions, the set of trajectories is a compact subset of C ( [0,T] ). Moreover, the reachable set R(T) is compact. Proof. Consider a sequence of trajectories ẋ n (t) G ( x n (t) ) t [0,T] x n (t) x(t) uniformly on [0,T] Clearly x( ) is Lipschitz continuous, hence differentiable a.e. 13
15 Assume ẋ(t) / G ( x(t) ) at some time t. Then ẋ(t) is separated by a hyperplane from the convex set G ( x(t) ) p, ẋ(t) 3δ + max p, ω ω G(x(t)) x(t+εt) x(t) p, 2δ + max p, ω ε ω G(x(t)) (8) p. x(t) G(x(t)) 3δ x(t) G(x(t)) On the other hand, by continuity of G, for y x(t) ρ small. Hence max p, ω δ + max p, ω ω G(y) ω G(x(t)) x n (t+εt) x n (t) p, max p, ω δ + max p, ω ε ω G(y), y x(t) ρ ω G(x(t)) Letting n, we obtain x(t+εt) x(t) p, δ + max p, ω ε ω G(x(t)) (9) in contradiction with (8). 14
16 Convex Closure and Extreme Points Let Ω IR n be any compact set The convex closure of Ω, written coω, is the smallest closed convex set which contains Ω. It admits the representation { n } coω = θ i ω i ω i Ω, θ i 0, θi = 1 i=0 Hence, if Ω IR n, the convex closure coω coincides with the set of all convex combinations of n+1 elements of Ω. ω 5 ω 4 ω 3 ω ω 6 ω 2 ω 1 A point ω Ω is an extreme point if it CANNOT be written as a convex combination ω = k θ i ω i, θ i [0,1], i=1 θi = 1, ω i Ω, ω i ω The set of extreme points is written as extω 15
17 Ω co Ω ext Ω Ω IR n compact = extω Ω coω = co ( extω ) Density Theorems Let x G(x) be a multifunction with compact values. We compare the solutions of the differential inclusions ẋ extg(x) (10) ẋ G(x) (11) ẋ cog(x) (12) Theorem 5 (Relaxation). Let the multifunction x G(x) be Lipschitz continuous with compact values. Then set of trajectories of (10) is dense on the set of trajectories of (12) 16
18 Bang-bang Property Assume that, for every solution of one can find a solution of ẋ cog(x) t [0,T], x(0) = x 0 ẏ extg(x) t [0,T], x(0) = x 0 such that y(t) = x(t). Then we say that the multifunction G has the bang-bang property. y x(t)=y(t) x x 0 Theorem 6 (Bang-Bang for Linear Systems). Let U IR m be compact. Then, for every solution of ẋ(t) = Ax(t)+Bu(t), x(0) = x 0, u(t) U, t [0,T] there exists a solution of ẏ(t) = Ay(t)+Bu(t), y(0) = x 0, u(t) extu, t [0,T] such that y(t) = x(t) In general, the bang-bang property does not hold for nonlinear systems (Example 4) 17
19 A Lyapunov-type Convexity Theorem f 1,...,f N L 1( [0,T]; IR n) consider a pointwise convex combination of the f i f(t). = θ 1,...,θ N : [0,T] [0,1], N θ i (t)f i (t) i=1 θi (t) = 1 for all t f 2 f 2 ~ f f 1 f 1 0 T 0 T J 2 Theorem 7. There exists a partition N [0,T] = J i, i=1 J i J k = 0 if i k such that T 0 f(t)dt = N i=1 J i f i (t)dt 18
20 Proof of Theorem 7. Consider the set of coefficients of convex combinations Γ. = { (w 1,...w N ); w i (t) [0,1], N w i (t) = 1, i=1 T 0 w i (t)f i (t)dt = i T 0 f(t)dt } 1. Γ is non-empty, because (θ 1,...,θ N ) Γ 2. Γ L is closed and convex, hence compact in a weak topology 3. By the Krein-Milman Theorem, Γ has an extreme point (w 1,...,w n ) 4. By extremality, the functions w i : [0,T] [0,1] actually take values in {0,1} 5. Take J i = { t [0,T]; wi (t) = 1} Proof of Theorem 6. Consider any control u : [0,T] U IR m. Then u(t) = m θ i (t)u i (t) i=0 u i (t) extu Using the control u( ), the terminal point is x(t) = T 0 e (T s)a Bu(s)ds = T 0 m θ i (t)e (T s)a Bu i (s)ds i=0 Apply previous theorem with f i (s) = e (T s)a Bu i (s). For a suitable partition [0,T] = J 0 J 1 J m, one has Hence the control x(t) = m i=0 u (t) = u i (t) J i e (T s)a Bu i (s)ds if t J i takes values in extu and reaches exactly the same terminal point x(t). 19
21 Baire Category Approach Baire Category Theorem. Let K be a complete metric space, (K n ) n 1 a sequence of open, dense subsets. Then n 1 K n is non-empty and dense in K. Alternative proof of the Bang-Bang Theorem We can assume that all sets G(x) are convex. Assume there exists at least one trajectory of ẋ(t) G ( x(t) ), x(0) = x 0, x(t) = x 1 The set K of all such trajectories is then a non-empty, compact subset of C ( [0,T] ). In particular, K is a complete metric space. x(t) G(x) x 0 x 1 Under suitable assumptions on the multifunction G, the set K ext of solutions of ẋ extg(x), x(0) = x 0, x(t) = x 1 can be written as the intersection of countably many open dense subsets K n K Hence by the Baire Cathegory Theorem, K ext This technique applies to a class of concave multifunctions G, introduced in (Bressan-Piccoli, J.Diff.Equat. 1995) 20
22 1. For each compact, convex set Ω IR n, define the function ϕ Ω : Ω [0, [ as ϕ Ω (p). = sup { ( 1 0 X(s) p 2 ds ) 1/2 ; X : [0,1] Ω, 1 0 X(s)ds = p } Observe that ϕ 2 Ω (p) is the maximum variance among all random variables X taking values inside Ω, whose expected value is E[X] = p. 2. Each function ϕ Ω is 0, concave, continuous and ϕ Ω (p) = 0 iff p extω 3. The functional Φ ( x( ) ) T. (ẋ(t) ) = ϕ dt G(x) is well defined for all trajectories of ẋ G(x) Moreover Φ ( x( ) ) = 0 iff ẋ(t) extg ( x(t) ) for a.e. t [0,T] 4. The sets K n. = { x( ) K; Φ(x) < 1/n } are open and dense in K 5. By the Baire Cathegory Theorem, K ext = n 1 K n. 0 This shows that, (in a topological sense) almost all solutions of ẋ G(x) are actually solutions of ẋ extg(x). ϕ Ω (p) p Ω 21
23 Chattering Controls Given a control system on IR n ẋ = f(x,u) u U (1) for each x, the set of velocities G(x) =. { f(x,u); u U } may not be convex. We seek a new control system such that ẋ = f(x,ũ) ũ Ũ (13) G(x). = { f(x,ũ); ũ Ũ} = cog(x) Since every ω cog(x) is a convex combination of n+1 vectors in G(x), the system (13) can be defined as follows: { } =. n (θ 0,θ 1,...,θ n ); θ i [0,1], θ i = 1 i=0 Ũ. = U U (n+1 times) f(x,ũ) = f(x,u 1,...,u n,θ 0,...,θ n ) = n θ i f(x,u i ) (14) i=0 The system (14) is called a chattering system A control ũ = (u 0,...,u n,θ 0,...,θ n ) Ũ is called a chattering control The set of trajectories of a chattering system is always closed in C ( [0,T] ) The reachable set R(T) is compact. Every trajectory of (13) can be uniformly approximated by trajectories of the original system (1) 22
24 Lie Brackets Given two smooth vector fields f,g, their Lie bracket is defined as [f,g]. = (Dg) f (Df) g In other words, [f,g] is the directional derivative of g in the direction of f minus the directional derivative of f in the direction of g. Exponential notation for the flow map: τ (expτf)(x) denotes the solution of the Cauchy problem dw dτ = f(w), w(0) = x The Lie bracket can be equivalently characterized as 1 [ (exp( εg) )( ) ] [f,g](x) = lim exp( εf) (expεg)(expεf)(x) x ε 0 ε 2 f [f,g] x g f g (exp εf)(x) The Lie algebra generated by the vector fields f 1,...,f n is the space of vector fields generated by the f i and by all their iterated Lie brackets [f i,f j ], [ fi, [f j,f k ] ], [ [fi, [f j,f k ] ], f l ],... 23
25 Local Controllability ẋ = m f i (x)u i u i [ 1, 1] (15) i=1 x(0) = x 0 IR n Theorem 8. If the linear span of all iterated Lie brackets of f 1,...,f n at x 0 is the whole space IR n, then the system (15) is locally controllable. That means: for every T > 0 the reachable set R(T) is a neighborhood of x 0. More difficult case: a drift f 0 is present. m ẋ = f 0 (x)+ f i (x)u i u i [ 1, 1] (16) i=1 Theorem 9 (Sussmann-Jurdjevic). If the linear span of all iterated Lie brackets of f 0,f 1,...,f n at x 0 is the whole space IR n, then for every T > 0 the set of points reachable within time T has non-empty interior. Local controllability for (16) is a hard problem! 24
26 Example 5. The position of a car is described by P = (x,y,θ). The first two variables x, y determine the location of the baricenter, while θ determines the orientation. If the car advances with unit speed steering to the right, its motion satisfies dp dt = f(p). = (cosθ, sinθ, 1). On the other hand, if the car steers to the left, its motion satisfies dp dt = g(p). = (cosθ, sinθ, 1). y θ [ f, g ] f g g f x Inatypicalparkingproblem, oneneedstoshiftthecartowardoneside, without changing its orientation. This is obtained by the manouver: 1. right-forward, 2. left-forward, 3. right-backward, 4. left-backward. Indeed, the sequence of these four actions generates the Lie bracket [f,g] = (Dg) f (Df) g = 2(sinθ, cosθ, 0) which is precisely the desired motion. 25
27 The system on IR 3 is locally controllable. Indeed, P = f(p)u 1 +g(p)u 2, u 1,u 2 [ 1, 1] span { f(p), g(p), [f,g](p) } = IR 3 because it contains the three vectors (cos θ, sin θ, 1), (cos θ, sin θ, 1) and (sinθ, cosθ, 0) Example 6. The system on IR 2 {ẋ1 = u ẋ 2 = x 2 1 u [ 1, 1] (17) (x 1,x 2 )(0) = (0,0) is not locally controllable. Indeed, for every trajectory x 2 (T) = T 0 x 2 1 (s)ds 0 We can write (17) in the form ẋ = f 0 (x)+f 1 (x)u f 0 = (0, x 2 1 ), f 1 = (1,0) In this case [f 1,f 0 ] = (0,2x 1 ), [ f1, [f 1,f 0 ] ] = (0,2) hence the vectors f 1 and [ f 1, [f 1,f 0 ] ] span IR 2. For every T > 0 the reachable set R(T) has non-empty interior. 26
28 Optimal Control Problems ẋ = f(x,u) u U, t [0,T] (1) x(0) = x 0 IR n (2) Among all trajectories of (1)-(2), we seek one which is optimal w.r.t. some cost criterion: Mayer Problem minimize J = ψ ( x(t) ) (18) Lagrange Problem minimize J = T 0 ϕ ( t, x(t), u(t) ) dt (19) Bolza Problem minimize J = T 0 ϕ ( t, x(t), u(t) ) dt+ψ ( x(t) ) (20) ϕ(x,u) = running cost per unit time ψ(x) = terminal cost 27
29 The minimization is always performed among all control functions u : [0,T] U One may also add a terminal constraint, requiring for some set S IR n x(t) S (21) Basic assumptions: The cost functions ϕ, ψ are continuous. The set S is closed. Equivalence of various formulations 1. A Mayer Problem can be written as a Lagrange Problem, taking We are then minimizing ϕ(x,u). = ψ(x) f(x,u) T 0 ψ ( x(t) ) f ( x(t), u(t) ) dt = = T 0 T 0 ψ ( x(t) ) ẋ(t)dt ( d dt ψ( x(t) ) ) dt = ψ ( x(t) ) ψ ( ) x 0 2. A Lagrange Problem can be written as a Mayer Problem, introducing a new variable x n+1 with and defining This yields the terminal cost x n+1 (0) = 0, ẋ n+1 = ϕ ( t, x(t), u(t) ) ψ(x). = x n+1 ψ ( x(t) ) = x n+1 (T) = T 0 ϕ ( t, x(t), u(t) ) dt 28
30 Relations with the Calculus of Variations Standard Problem in the Calculus of Variations minimize T 0 L ( t, x(t), ẋ(t) ) dt (22) among all absolutely continuous functions x : [0,T] IR n with x(0) = x 0, x(t) = x 1 Optimal Control Problem minimize T 0 ϕ ( t, x(t), u(t) ) dt (19) ẋ = f(x,u) u U, t [0,T] (1) x(0) = x 0, x(t) = x 1 (2) 1. We can write (22) as an optimal control problem by setting ẋ = u, u U. = IR n ϕ(t,x,u). = L(t,x,u) 2. We can write (19) in the form (22) by setting L(t,x,p). = min { ϕ(t,x,u); u U, f(x,u) = p } L(t,x,p) = if p / { f(x,u);u U } L(t,x,p) is the minimum running cost, among all controls that yield the speed ẋ(t) = p. 29
31 Existence of Optimal Controls Mayer problem: minimize J = ψ ( x(t) ) (18) for the system with constraints ẋ = f(x,u), u U (1) x(0) = x 0, x(t) S (2) S x 0 R(T) 30
32 Theorem 10 (Existence for Mayer Problem). Assume that, for each x, the set of velocities G(x). = { f(x,u); u U } is convex. If there exists at least one trajectory x( ) that satisfies (1)-(2), then the Mayer problem (18) admits an optimal solution. Proof. By Theorem 4, the reachable set R(T) is compact. By the assumptions, R(T) S is non-empty and compact. The continuous function ψ admits a global minimum on the compact set R(T) S. This yields the optimal solution. Bolza Problem: minimize J = T for the system (1) with initial and terminal conditions (2). 0 ϕ ( t, x(t), u(t) ) dt+ψ ( x(t) ) (20) Theorem 11 (Existence for the Bolza Problem). Assume that, for every t, x, the set G + (t,x). = { (y,y n+1 ) IR n+1 ; y = f(x,u), y n+1 ϕ(t,x,u) for some u U } is convex. If there exists at least one trajectory x( ) that satisfies (1)-(2), then the Bolza problem (20) admits an optimal solution. 31
33 Remark: For the problem: subject to minimize T 0 ẋ = u, x(0) = x 0, x(t) = x 1 L ( t, x(t), u(t) ) dt (22) corresponding to the standard problem in the Calculus of Variations, the set G + (t,x). = { (y,y n+1 ) IR n+1 ; y = f(x,u), y n+1 ϕ(t,x,u) for some u U } = { (u,y n+1 ) IR n+1 ; y n+1 L(t,x,u)} is precisely the epigraph of the function u L(t,x,u) This is a convex set iff L(t,x,ẋ) is convex as a function of ẋ L(t, x, x).. x 32
34 First Order Variations Let t x(t) be a solution to the O.D.E. ẋ = g(t,x) x IR n (24) Assume g measurable w.r.t. t and continuously differentiable w.r.t. x First order perturbation: o(ε)= infinitesimal of higher order w.r.t. ε x ε (t) = x(t)+εv(t)+o(ε) (25) If t x ε (t) is another solution of (24), letting ε 0 we find a linearized evolution equation for the first order tangent vector v v(t) = A(t)v(t) A(t). = D x g ( t, x(t) ) (26) x (s) ε v(s) x (t) ε x(t) v(t) x(s) adjoint system: ṗ(t) = p(t)a(t) (27) Here A is an n n matrix, with entries A ij = g i / x j, p IR n is a row vector and v IR n is a column vector. If t p(t) and t v(t) satisfy (27) and (26), then the product t p(t)v(t) is constant in time: d ( ) p(t)v(t) = ṗ(t)v(t)+p(t) v(t) = p(t)a(t)v(t)+p(t)a(t)v(t) = 0 dt 33
35 Necessary Conditions for Optimality ẋ = f(x,u) t [0,T], x(0) = x 0 (28) Family of admissible control functions: U. = { u : [0,T] U } For u( ) U, the trajectory of (28) is t x(t,u) Mayer problem, free terminal point: max ψ( x(t,u) ) (29) u U x* ψ = ψ max x 0 R(T) 34
36 Assume: t u (t) is an optimal control t x (t) = x ( t,u (t) ) is the corresponding optimal trajectory. The value ψ ( x(t,u ) ) cannot be increased by any perturbation of the control u ( ). Fix a time τ ]0,T], ω U and consider the needle variation u ε U u ε (t) = { ω if t [τ ε, τ] u (t) if t / [τ ε, τ] (30) ω u ε U u* 0 τ ε τ T Call t x ε (t) = x(t,u ε ) the perturbed trajectory. We shall compute the terminal point x ε (T) = x(t,u ε ) and check that the value of ψ is not increased by the perturbation. 35
37 Assuming that the optimal control u is continuous at time t = τ, we have v(τ). = lim ε 0 x ε (τ) x (τ) ε = f ( x (τ), ω ) f ( x (τ), u (τ) ) (31) Indeed, x ε (τ ε) = x (τ ε) and on the small interval [τ ε, τ] we have ẋ ε f ( x (τ), ω ), ẋ f ( x (τ), u (τ) ). Since u ε = u on the remaining interval t [τ, T], the evolution of the tangent vector v(t) =. x ε (t) x (t) lim t [τ, T] ε 0 ε is governed by the linear equation v(t) = A(t)v(t) A(t). = D x f ( x (t), u (t) ). (32) By maximality, ψ ( x ε (T) ) ψ ( x (T) ), therefore ψ ( x (T) ) v(t) 0. (33) v(t) v( τ) x ε p(t)= x (Τ) ψ x (τ) p( τ) x 0 ψ = const. 36
38 Summing up: For every time τ and every control value ω U, we can generate the vector v(τ). = f ( x (τ), ω ) f ( x (τ), u (τ) ) and propagate it forward in time, by solving the linearized equation (32). The inequality (33) is then a necessary condition for optimality. Instead of propagating the (infinitely many) vectors v(τ) forward in time, it is more convenient to propagate the single vector ψ backward. We thus define the row vector t p(t) as the solution of ṗ(t) = p(t)a(t), p(t) = ψ ( x (T) ) (34) This yields p(t)v(t) = p(t)v(t) for every t. In particular, (33) implies [ p(τ) f ( x (τ), ω ) f ( x (τ), u (τ) )] = ψ ( x (T) ) v(t) 0 p(τ) ẋ (τ) = p(τ) f ( x (τ), u (τ) ) = max ω U { p(τ) f ( x (τ), ω )}. For every time τ ]0,T], the speed ẋ (τ) corresponding to the optimal control u (τ) is the one having has inner product with p(τ) as large as possible. * τ f(x ( ), ω). * x ( τ) x *(T) x 0 τ x *( ) p( τ) p(t) = ψ 37
39 Pontryagin Maximum Principle (Mayer Problem, free terminal point) Consider the control system ẋ = f(x,u) u(t) U t [0,T] (35) with initial data x(0) = x 0. (36) Let t u (t) be an optimal control and t x (t) = x(t,u ) be the optimal trajectory for the maximization problem max ψ( x(t,u) ). (37) u U Define the vector t p(t) as the solution to the linear adjoint system ṗ(t) = p(t)a(t), A(t). = D x f ( x (t), u (t) ) (38) with terminal condition p(t) = ψ ( x (T) ). (39) Then, for almost every τ [0,T] the following maximality condition holds p(τ) f ( x (τ), u (τ) ) = max ω U { p(τ) f ( x (τ), ω )} (39) 38
40 Computing the Optimal Control STEP 1: solve the pointwise maximixation problem (39), obtaining the optimal control u as a function of p,x, i.e. u { } (x,p) = argmax p f(x,ω) ω U (40) STEP 2: solve the two-point boundary value problem {ẋ ( = f x, u (x,p) ) { x(0) = ṗ = p D x f ( x, u (x,p) ) x0 p(t) = ψ ( x(t) ) (41) In general, the function u = u (p,x) in (40) is highly nonlinear. It may be multivalued or discontinuous. The two-point boundary value problem(41) can be solved by a shooting method: Guess an initial value p(0) = p 0 and solve the corresponding Cauchy problem. Try to adjust the value of p 0 so that the terminal values x(t), p(t) satisfy the given conditions. 39
41 Example 1 (Linear pendulum). q(t) = position of a linearized pendulum, controlled by an external force with magnitude u(t) [ 1, 1]. q(t)+q(t) = u(t), q(0) = q(0) = 0, u(t) [ 1, 1] We wish to maximize the terminal displacement q(t). Equivalent control system: x 1 = q, x 2 = q {ẋ1 = x 2 ẋ 2 = u x 1 { x1 (0) = 0 x 2 (0) = 0 maximize x 1 (T) over all controls u : [0,T] [ 1,1] Let t x (t) = x(t,u ) be an optimal trajectory. The linearized equation for a tangent vector is ( ) ( )( ) v1 0 1 v1 = v v 2 The corresponding adjoint vector p = (p 1,p 2 ) satisfies (ṗ 1,ṗ 2 ) = (p 1,p 2 ) because ψ(x). = x 1. ( ) 0 1, (p 1 0 1,p 2 )(T) = ψ ( x (T) ) = (1,0) (42) In this special linear case, we can explicitly solve (42) without needing to know x,u. An easy computation yields (p 1,p 2 )(t) = ( cos(t t), sin(t t) ) (43) 40
42 For each t, we must now choose the value u (t) [ 1, 1] so that By (43), the optimal control is p 1 x 2 +p 2 ( x 1 +u ) = max ω [ 1,1] p 1x 2 +p 2 ( x 1 +ω) u (t) = sign ( p 2 (t) ) = sign ( sin(t t) ). x = q 2 u=1 u= 1 p x = q 1 41
43 Example 2. Consider the problem on IR 3 maximize x 3 (T) over all controls u : [0,T] [ 1,1] for the system ẋ 1 = u ẋ 2 = x 1 ẋ 3 = x 2 x 2 1 x 1 (0) = 0 x 2 (0) = 0 x 3 (0) = 0 The adjoint equations take the form (ṗ 1,ṗ 2,ṗ 3 ) = (p 2 +2x 1 p 3, p 3, 0) (p 1,p 2,p 3 )(T) = (0,0,1) (44) Maximixing the inner product p ẋ we obtain the optimality conditions for the control u p 1 u +p 2 ( x 1 )+p 3 (x 2 x 2 1 ) = max ω [ 1,1] p 1ω +p 2 ( x 1 )+p 3 (x 2 x 2 1 ) (45) { u = 1 if p 1 > 0 u [ 1,1] if p 1 = 0 u = 1 if p 1 < 0 Solving the terminal value problem (44) for p 2,p 3 we find p 3 (t) 1, p 2 (t) = T t 42
44 The function p 1 can now be found from the equations p 1 = 1+2u = 1+2sign(p 1 ), p 1 (T) = 0, ṗ 1 (0) = p 2 (0) = T with the convention: sign(0) = [ 1,1]. The only solution is found to be 3 ( ) 2 T 2 3 t if 0 t T/3 p 1 (t) = 0 if T/3 t T The optimal control is u (t) = { 1 if 0 t T/3 1/2 if T/3 t T Observe that on the interval [T/3, T] the optimal control is derived not from the maximality condition (45) but from the equation p 1 = ( 1+2u) 0. An optimal control with this property is called singular. p 1.. p = Τ/3 p = 3 1 Τ 43
45 Tangent Cones ẋ = f(x,u) u U, x(0) = x 0 Let t x (t) = x(t,u ) be a reference trajectory. Given τ ]0,T], ω U, consider the family of needle variations u ε (t) = { ω if t [τ ε, τ] u (t) if t / [τ ε, τ] (30) Call v τ,ω (T). = lim ε 0 x(t,u ε ) x(t,u ) ε the first order variation of the terminal point of the corresponding trajectory. Define Γ as the smallest convex cone containing all vectors v τ,ω This is a cone of feasible directions, i.e. directions in which we can move the terminal point x(t,u ) by suitably perturbing the control u. x *(T) x *( τ) x ε Γ R(T) x 0 44
46 Consider a terminal constraint x(t) S, where S. = { x IR n ; φ i (x) = 0, i = 1,...,N }. Assume that the N + 1 gradients ψ, φ 1,..., φ N are linearly independent at the point x. Then the tangent space to S at x is The tangent cone to the set is T S = { v IR n ; φ i (x ) v = 0 i = 1,...,N }. S + = { x S; ψ(x) ψ(x ) } T S + = { v IR n ; ψ(x ) v 0, φ i (x ) v = 0 i = 1,...,N } When x = x (T), we think of T S + as the cone of profitable directions, i.e. those directions in which we would like to move the terminal point, in order to increase the value of ψ and still satisfy the constraint x(t) S. S T S+ ψ (x*(t)) x *(T) T S Lemma 1. A vector p IR n satisfies p v 0 for all v T S + (46) if and only if it can be written as a linear combination N p = λ 0 ψ(x )+ λ i φ i (x ) with λ 0 0. (47) i=1 45
47 Mayer Problem with terminal constraints for the control system maximixe ψ ( x(t) ) with initial and terminal constraints ẋ = f(x,u) u(t) U t [0,T] x(0) = x 0, φ i ( x(t) ) = 0, i = 1,...,N PMP, geometric version. Let t x (t) = x(t,u ) be an optimal trajectory, corresponding to the control u ( ). Then the cones Γ and T S + are weakly separated, i.e. there exists a non-zero vector p(t) such that p(t) v 0 for all v T S + (48) p(t) v 0 for all v Γ (49) S T S + p(t) x* Γ R(T) x 0 S 46
48 PMP, analytic version. Let t x (t) = x(t,u ) be an optimal trajectory, corresponding to the control u ( ). Then there exists a non-zero vector function t p(t) such that p(t) = λ 0 ψ ( x (T) ) + N ( λ i φ i x (T) ) with λ 0 0 (50) i=1 ṗ(t) = p(t)d x f ( x (t), u (t) ) t [0,T] (51) p(τ) f ( x (τ), u (τ) ) = max ω U { p(τ) f ( x (τ), ω )} for a.e. τ [0,T]. (52) Indeed, Lemma 1 states that (48) (50) We now show that (49) (51)+(52). Recall that every tangent vector v τ,ω satisfies the linear evolution equation v τ,ω (t) = D x f ( x (t), u (t) ) v τ,ω (t) If t p(t) satisfies (51), then the product p(t) v τ,ω (t) is constant. Hence p(t) v τ,ω (T) 0 if and only if if and only if p(τ) p(τ) v τ,ω (τ) 0 [ f ( x (τ), ω ) f ( x (τ), u (τ) )] 0 if and only if (52) holds. 47
49 High Order Conditions? The Pontryagin Maximum Principle is a first order necessary condition. For the Mayer problem maximize ψ ( x(t,u) ) if u ( ) is a given control, and if we can find a sequence of perturbed controls u ε such that ψ ( x(t,u ε ) ) ψ ( x(t,u ) ) lim ε 0 u ε u > 0 L 1 then the PMP will detect the non-optimality of u. However, if the increment in the value of ψ is of second or higher order w.r.t. the variation u ε u L 1, then the conclusion of the PMP may still hold, even if u is not optimal. Example 3. for the system maximize ψ ( x(t) ). = x2 (T) (ẋ 1,ẋ 2 ) = (u,x 2 1 ), (x 1,x 2 )(0) = (0,0), u(t) [ 1, 1]. The constant control u (t) 0 yields the constant trajectory (x 1,x 2 )(t) (0,0). The corresponding adjoint vector satisfying (ṗ 1,ṗ 2 ) = ( 2x 1 p 2, 0) = (0,0), (p 1,p 2 )(T) = (0,1) is trivially found to be (p 1,p 2 )(t) (0,1). Hence the maximality condition p 1 u +p 2 (x 1 )2 = 0 = max 0 ω +1 0 ω [ 1,1] is satisfied for every t [0,T]. However, the control u 0 produces the worst possible outcome. Any other control u u would yield x 2 (T,u) = T 0 ( t 2 u(s)ds) dt > x 2 (T,u ) = 0. 0 Notice that in this case the increase in ψ is only of second order w.r.t. the perturbation u u x 2 (T,u) T 0 ( T 0 u(s) ds) 2 dt T u 2 L 1 48
50 Lagrange Minimization Problem, fixed terminal point for the control system on IR n minimize T 0 L(t,x,u)dt (53) with initial and terminal constraints ẋ = f(t,x,u) u(t) U (54) x(0) = x 0, x(t) = x (55) PMP, Lagrange problem. Let t x (t) = x(t,u ) be an optimal trajectory, corresponding to the optimal control u ( ). Then there exist a constant λ 0 0 and a row vector t p(t) (not both = 0) such that ṗ(t) = p(t)d x f ( t, x (t), u (t) ) λ 0 D x L ( t, x (t), u (t) ) (56) p(t) f ( t, x (t), u (t) ) +λ 0 L ( t, x (t), u (t) ) = min ω U { p(t) f ( t, x (t), ω ) +λ 0 L ( t, x (t), ω )}. (57) This follows by applying the previous results to the Mayer problem minimize x n+1 (T) with ẋ n+1 = L(t,x,u), x n+1 (0) = 0 Because of the terminal constraints(x 1,...,x n )(T) = (x 1,...,x n), the only requirement on the terminal value (p 1,...,p n,p n+1 )(T) is p n+1 (T) 0 Observe that ṗ n+1 = 0, hence p n+1 (t) λ 0 for some constant λ
51 Applications to the Calculus of Variations Standard problem of the Calculus of Variations: minimize T 0 L ( t, x(t), ẋ(t) ) dt (58) over all absolutely continuous functions x : [0,T] IR n such that x(0) = x 0, x(t) = x (55) This corresponds to the optimal control problem (53), for the control system ẋ = u, u IR n (59) We assume that L is smooth, and that x ( ) is an optimal solution. By the Pontryagin Maximum Principle (56)-(57), there exist a constant λ 0 0 and a row vector t p(t) (not both = 0) such that ṗ(t) = λ 0 x L( t, x (t), ẋ (t) ) (60) p(t) ẋ (t)+λ 0 L ( t, x (t), ẋ (t) ) { = min p(t) ω +λ 0 L ( t, x (t), ω )} (61) ω IR n If λ 0 = 0, then p(t) 0. But in this case ẋ cannot provide a minimum over the whole space IR n. This contradiction shows that we must have λ 0 > 0. Since λ 0,p are determined up to a positive scalar multiple, we can assume λ 0 = 1. With this choice (61) implies p(t) = ẋ L( t, x (t), ẋ (t) ) (62) 50
52 The evolution equation now yields the famous Euler-Lagrange equations ṗ(t) = x L( t, x (t), ẋ (t) ) (60) [ d dt ẋ L( t, x (t), ẋ (t) ) ] = x L( t, x (t), ẋ (t) ). (63) Moreover, the minimality condition p(t) ẋ (t)+l ( t, x (t), ẋ (t) ) { = min p(t) ω +L ( t, x (t), ω )} (61) ω IR n yields the Weierstrass necessary conditions L(t, x (t), ω) L ( t, x (t), ẋ (t) ) + L( t, x (t), ẋ (t) ) ẋ (ω ẋ (t) ) (64) for every ω IR n. L(t,x *(t), ω) a b. x (t) * ω 51
53 Viscosity Solutions of Hamilton-Jacobi Equations One-sided Differentials The set of super-differentials of u at a point x is D + u(x). = { p IR n u(y) u(x) p (y x) ; limsup y x y x } 0 The set of sub-differentials of u at x is D u(x) =. { p IR n u(y) u(x) p (y x) ; liminf y x y x } 0 u u x x 52
54 Example 1. Consider the function u(x). = { 0 if x < 0 x if x [0,1] 1 if x > 1 u 0 1 x In this case we have D + u(0) =, D u(0) = [0, [ D + u(x) = D u(x) = { } 1 2 x x ]0,1[ D + u(1) = [ 0, 1/2 ], D u(1) = 53
55 Characterization of super- and sub-differentials Lemma 1. Let u C(Ω). Then (i) p D + u(x) if and only if there existsafunction ϕ C 1 (Ω) such that Dϕ(x) = p and u ϕ has a local maximum at x. (ii) p D u(x) if and onlyif there exists a functionϕ C 1 (Ω) such that Dϕ(x) = p and u ϕ has a local minimum at x. By adding a constant, it is not restrictive to assume that ϕ(x) = u(x). In this case, we are saying that p D + u(x) iff there exists a smooth function ϕ u with Dϕ(x) = p, ϕ(x) = u(x). ϕ u ϕ u x x 54
56 Proof. Assume that p D + u(x). Then we can find a continuous, increasing function σ : [0, [ IR, with σ(0) = 0, such that u(y) u(x) p (y x) σ ( y x ) y x = o(1) (y x) We then define ρ(r) =. r 0 σ(t) dt ϕ(y) =. u(x)+p (y x)+ρ ( 2 y x ) and check that ϕ C 1 and u ϕ has a local maximum at x. Conversely, if ϕ C 1 and u ϕ has a local maximum at x, then u(y) u(x) ϕ(y) ϕ(x) for every y in a neighborhood of x, and hence lim sup y x u(y) u(x) p (y x) y x limsup y x ϕ(y) ϕ(x) p (y x) y x = 0 φ u x Remark: By possibly replacing ϕ with ϕ(y) = ϕ(y) ± y x 2, a strict local maximum or local minimum at the point x can be achieved. 55
57 Properties of super- and sub-differentials Lemma 2. Let u C(Ω). Then (i) If u is differentiable at x, then D + u(x) = D u(x) = { u(x) } (ii) If the sets D + u(x) and D u(x) are both non-empty, then u is differentiable at x. (iii) The sets of points where a one-sided differential exists: Ω +. = { x Ω; D + u(x) }, Ω. = { x Ω; D u(x) } are both non-empty. Indeed, they are dense in Ω. Proof of (i). Assume u is differentiable at x. Trivially, u(x) D ± u(x). On the other hand, if ϕ C 1 (Ω) is such that u ϕ has a local maximum at x, then ϕ(x) = u(x). Hence D + u(x) cannot contain any vector other than u(x). 56
58 u ϕ ϕ 2 ϕ 1 u x y x 0 Proof of (ii). Assume that the sets D + u(x) and D u(x) are both non-empty. Then we can find ϕ 1,ϕ 2 C 1 (Ω) such that, for y near x, ϕ 1 (x) = u(x) = ϕ 2 (x), ϕ 1 (y) u(y) ϕ 2 (y) By comparison, this implies that u is differentiable at x and u(x) = ϕ 1 (x) = ϕ 2 (x). Proof of (iii). Fix any ball B(x 0,ρ) Ω. By choosing ε > 0 sufficiently small, the smooth function ϕ(x). = u(x 0 ) x x 0 2 is strictly negative on the boundary of the ball, where x x 0 = ρ. Since u(x 0 ) = ϕ(x 0 ), the function u ϕ attains a local minimum at an interior point x B(x 0,ρ). By Lemma 1, the sub-differential of u at x is non-empty: ϕ(x) = (x x 0 )/ε D u(x). 2ε 57
59 Viscosity Solutions F ( x, u(x), u(x) ) = 0 (HJ) Definition 1. Let F : Ω IR IR n IR be continuous. u C(Ω) is a viscosity subsolution of (HJ) if F ( x,u(x),p) 0 for every x Ω, p D + u(x). u C(Ω) is a viscosity supersolution of (HJ) if F ( x,u(x),p) 0 for every x Ω, p D u(x). We say that u is a viscosity solution of (HJ) if it is both a supersolution and a subsolution in the viscosity sense. Evolution equation: u t +H ( t,x,u, u) = 0. (E) Definition 2. u C(Ω) isaviscosity subsolution of (E) if, forevery C 1 function ϕ = ϕ(t,x) such that u ϕ has a local maximum at (t,x), there holds ϕ t (t,x)+h(t,x,u, ϕ) 0. u C(Ω) is a viscosity supersolution of (E) if, for every C 1 function ϕ = ϕ(t,x) such that u ϕ has a local minimum at (t,x), there holds ϕ t (t,x)+h(t,x,u, ϕ) 0. 58
60 The definition of subsolution imposes conditions on u only on the set Ω + of points x where the super-differential D + u(x) is non-empty. Even if u is merely continuous, say nowhere differentiable, this set is non-empty and dense in Ω. If u is a C 1 function that satisfies F ( x, u(x), u(x) ) = 0 (HJ) at every x Ω, then u is also a solution in the viscosity sense. Viceversa, if u is a viscosity solution, then the equality (HJ) must hold at every point x where u is differentiable. If u is Lipschitz continuous, then by Rademacher s theorem it is a.e. differentiable. Hence (HJ) holds a.e. in Ω. Example 2. The function u(x) = x is a viscosity solution of F(x,u,u x ). = 1 u x = 0 (1) defined on the whole real line. Indeed, u is differentiable and satisfies the equation at all points x 0. Moreover, we have D + u(0) =, D u(0) = [ 1, 1]. To show that u is a subsolution, there is nothing else to check. To show that u is a supersolution, take any p [ 1, 1]. Then 1 p 0, as required. Notice that u(x) = x is NOT a viscosity solution of the equation u x 1 = 0 (2) Indeed, at x = 0, taking p = 0 D u(0) we find 0 1 < 0. Therefore, u(x) = x is a viscosity subsolution of (2), but not a supersolution. 59
61 Vanishing Viscosity Limits Lemma 3. Let u ε be a sequence of smooth solutions to the viscous equation F ( x, u ε (x), u ε (x) ) = ε u ε. (3) Assume that, as ε 0+, we have the convergence u ε u uniformly on an open set Ω IR n. Then u is a viscosity solution of F ( x, u(x), u(x) ) = 0 (HJ) u u ε ϕ x x ε Proof. Fix x Ω and assume p D u(x). We need to show that F(x, u(x), p) By Lemma 1 and Remark 1, there exists ϕ C 1 with ϕ(x) = p, ϕ(x) = u(x) and ϕ(y) < u(y) for all y x. For any δ > 0 we can then find 0 < ρ δ and a function ψ C 2 such that ϕ(y) ϕ(x) δ ψ ϕ C 1 δ if y x ρ and such that each function u ε ψ has a local minimum inside the ball B(x; ρ). 60
62 2. Let u ε ψ have a local minimum at x ε B(x,ρ). Then ψ(x ε ) = u(x ε ), u(x ε ) ψ(x ε ). F ( x, u ε (x ε ), ψ(x ε ) ) ε ψ(x ε ) (4) 3. Extract a convergent subsequence x ε x B(x,ρ). Letting ε 0+ in (4) we have F ( x, u( x), ψ( x) ) 0. (5) Choosing δ > 0 small we can make u( x) u(x) ψ( x) p as small as we like. By continuity, (5) yields F(x, u(x), p) 0. Hence u is a supersolution. The other half of the proof is similar. 61
63 Comparison Theorems Theorem 1. Let Ω IR n be a bounded open set. Assume that u 1,u 2 C(Ω) are, respectively, viscosity sub- and supersolutions of and u+h(x,du) = 0 x Ω, (HJ) u 1 u 2 on Ω. (6) Moreover, assume that the function H : Ω IR n IR satisfies H(x,p) H(y,p) ω ( x y ( 1+ p )), (7) where ω : [0, [ [0, [ is continuous and non-decreasing, with ω(0) = 0. Then u 1 u 2 on Ω. (8) Proof. Easy case: u 1,u 2 smooth. If (8) fails, then u 1 u 2 attains a positive maximum at x 0 Ω. Therefore p. = u 1 (x 0 ) = u 2 (x 0 ). By definition of sub- and supersolution: u 1 (x 0 )+H(x 0,p) 0, u 2 (x 0 )+H(x 0,p) 0. Hence u 1 (x 0 ) u 2 (x 0 ) 0 reaching a contradiction. (9) u 1 u 1 u 2 u 2 Ω Ω x 0 x 0 62
64 In the non-smooth case, we can reach again a contradiction provided that we can find a point x 0 such that (i) u 1 (x 0 ) > u 2 (x 0 ), (ii) some vector p lies at the same time in the upper differential D + u 1 (x 0 ) and in the lower differential D u 2 (x 0 ). A natural candidate for x 0 is a point where u 1 u 2 attains a global maximum. However, one of the sets D + u 1 (x 0 ) or D u 2 (x 0 ) may be empty! To proceed further, the key observation is that we don t need to compare values of u 1 and u 2 at exactly the same point. Indeed, to reach a contradiction, it suffices to find nearby points x ε and y ε such that (i ) u 1 (x ε ) > u 2 (y ε ), (ii ) some vector p lies at the same time in the upper differential D + u 1 (x ε ) and in the lower differential D u 2 (y ε ). u 1 u 2 Ω y ε x ε 63
65 To find suitable points x ε,y ε : Look at the function of two variables Φ ε (x,y). = u 1 (x) u 2 (y) x y 2 2ε (10) This clearly admits a global maximum over the compact set Ω Ω. If u 1 > u 2 at some point x 0, this maximum will be strictly positive. Taking ε > 0 sufficiently small, the boundary conditions imply that the maximum is attained at some interior point (x ε,y ε ) Ω Ω. The points x ε,y ε must be close to each other, otherwise the penalization term in (10) will be very large and negative. The function of one single variable x u 1 (x) (u 2 (y ε )+ x y ε 2 ) = u 1 (x) ϕ 1 (x) (11) 2ε attains its maximum at the point x ε. Hence by Lemma 1 x ε y ε ε = ϕ 1 (x ε ) D + u 1 (x ε ). The function of one single variable y u 2 (y) (u 1 (x ε ) x ε y 2 ) = u 2 (y) ϕ 2 (y) (12) 2ε attains its minimum at the point y ε. Hence x ε y ε ε = ϕ 2 (y ε ) D u 2 (y ε ). We have thus discovered two points x ε, y ε and a vector p = (x ε y ε )/ε which satisfy the conditions (i )-(ii ). 64
66 Proof of Theorem If the conclusion fails, then there exists x 0 Ω such that u 1 (x 0 ) u 2 (x 0 ) = max x Ω { u1 (x) u 2 (x) }. = δ > 0. (11) For ε > 0, call (x ε,y ε ) a point where the function Φ ε (x,y). = u 1 (x) u 2 (y) x y 2 2ε (10) attains its global maximum on the compact set Ω Ω. Clearly, Φ ε (x ε,y ε ) δ > 0. (12) 2. Call M an upper bound for all values u1 (x), u2 (x), as x Ω. Then Φ ε (x,y) 2M x y 2 2ε, Hence Φ ε (x,y) 0 if x y 2 Mε. x ε y ε Mε. (13) 3. Since u 1 u 2 on the boundary Ω, for ε > 0 small, the maximum in (10) must be attained at some interior point (x ε,y ε ) Ω Ω. 4. Consider the smooth functions of one single variable ϕ 1 (x) =. u 2 (y ε )+ x y ε 2, ϕ 2 (y) =. u 1 (x ε ) x ε y 2 2ε 2ε Since x ε provides a local maximum for u 1 ϕ 1 and y ε provides a local minimum for u 2 ϕ 2, we have p. = x ε y ε ε D + u 1 (x ε ) D u 2 (y ε ). (14) From the definition of viscosity sub- and supersolution we now obtain u 1 (x ε )+H(x ε,p) 0, u 2 (y ε )+H(y ε,p) 0. (15) 65
67 5. Observing that δ Φ ε (x ε,y ε ) u 1 (x ε ) u 2 (x ε )+ u2 (x ε ) u 2 (y ε ) x ε y ε 2 2ε, we see that u2 (x ε ) u 2 (y ε ) x ε y ε 2 2ε and hence, by the uniform continuity of u 2, 0 x ε y ε 2 2ε 0 as ε 0. (16) 6. Subtracting the second from the first inequality in (15) we obtain δ Φ ε (x ε,y ε ) u 1 (x ε ) u 2 (y ε ) H(xε,p) H(y ε,p) ( ω ( x ε y ε (1+ x ε y ε ε 1)). (17) This yields a contradiction, Indeed, by (13) and (16) the right hand side of (17) can be made arbitrarily small by letting ε 0. Corollary 1. Let Ω IR n be a bounded open set. Let the Hamiltonian function H satisfy the equicontinuity assumption (7). Then the boundary value problem u+h(x,du) = 0 u = ψ x Ω x Ω admits at most one viscosity solution. 66
68 Uniqueness for the Cauchy Problem u t +H(t,x,Du) = 0 (t,x) ]0,T[ IR n, (18) u(0,x) = g(x) x IR n. (19) (H1) H is uniformly continuous on [0,T] IR n K, for every compact set K IR n. (H2) There exists a continuous, non-decreasing function ω : [0, [ [0, [ with ω(0) = 0 such that H(t,x,p) H(t,y,p) ω ( x y ( 1+ p )). Theorem 2. Let the function H : [0,T] IR n IR n satisfy the equicontinuity assumptions (H1)-(H2). Let u 1,u 2 be uniformly continuous sub- and super-solutions of (18) respectively. If u 1 (0,x) u 2 (0,x) for all x IR n, then u 1 (t,x) u 2 (t,x) for all (t,x) [0,T] IR n. Corollary 2. Let the function H satisfy the assumptions (H1)-(H2). Then the Cauchy problem u t +H(t,x,Du) = 0 u(0,x) = g(x) (t,x) ]0,T[ IR n x IR n admits at most one uniformly continuous viscosity solution u : [0,T] IR n IR. 67
69 Sketch of the proof of Theorem 2. Assume, on the contrary, that u 1 > u 2 at some point (t,x). Then for some λ > 0 we still have u 1 (t,x) λt > u 2 (t,x) Assume that we can find a global maximum: u 1 (t 0, x 0 ) λt 0 u 2 (t 0, x 0 ) = sup u 1 (t,x) λt u 2 (t,x) t [0,T], x IR n Clearly, t 0 > 0. If u 1,u 2 are smooth, then u 1 (t 0, x 0 ) = u 2 (t 0, x 0 ), t u 1 (t 0, x 0 ) λ t u 2 (t 0, x 0 ) (20) On the other hand, by assumptions we have t u 1 (t 0, x 0 )+H(t 0,x 0,u 1, u 1 ) 0 t u 2 (t 0, x 0 )+H(t 0,x 0,u 1, u 1 ) 0 (21) Together (20) and (21) yield a contradiction. Toward the general case - two technical difficulties: 1. The supremum of u 1 u 2 λt may only be approached as x. 2. The functions u 1, u 2 may not admit upper or lower differentials at the point where the maximum is attained. Key idea: look at the function of double variables Φ ε (t,x,s,y). = u 1 (t,x) u 2 (s,y) λ(t+s) ε ( x 2 + y 2) 1 ε ( x y 2 + t s 2) The first penalization term guarantees that a global maximum is attained. The second penalization term guarantees that, at the point (t ε, x ε, s ε, y ε ) where the maximum is attained, one has t ε s ε and x ε y ε. 68
70 Extensions Discontinuous solutions Second order equations u : Ω IR is upper semicontinuous at x 0 if lim sup x x 0 u(x) u(x 0 ), u : Ω IR is lower semicontinuous at x 0 if lim inf x x 0 u(x) u(x 0 ), u u x 0 x 0 A nonlinear operator F = F(x, u, Du, D 2 u) is (possibly degenerate) elliptic if F(x,u,p,X) F(x, u, p, X +Y) whenever Y 0 (i.e. whenever the symmetric matrix Y is non-negative definite) 69
71 General nonlinear elliptic equation: F(x, u, Du, D 2 u) = 0 (22) An upper semicontinuous function u : Ω IR is a viscosity subsolution of the degenerate elliptic equation (22) if, for every ϕ C 2 (Ω), at each point x 0 where u ϕ has a local maximum there holds F ( x 0, u(x 0 ), Dϕ(x 0 ), D 2 ϕ(x 0 ) ) 0. A lower semicontinuous function u : Ω IR is a viscosity supersolution of the degenerate elliptic equation (22) if, for every ϕ C 2 (Ω), at each point x 0 where u ϕ has a local minimum there holds F ( x 0, u(x 0 ), Dϕ(x 0 ), D 2 ϕ(x 0 ) ) 0. Comparison and uniqueness results: R. Jensen, Arch. Rat. Mech. Anal. (1988) H. Ishii, Comm. Pure Appl. Math. (1989) 70
72 Systems of Hamilton-Jacobi Equations w t +H(x, Dw) = 0 w : Ω IR n 1. Systems of conservation laws in one space dimension u t +f(u) x = 0 (23) u = (u 1,...,u n ) conserved quantities f = (f 1,...,f n ) : IR n IR n fluxes Since (23) is in divergence form, we can take w such that w x = u w t = f(u) This yields the H-J system of equations w t +f(w x ) = 0 71
73 2. Non-cooperative m-persons differential games ẋ = m f i (x,u i ). (23) i=1 t u i (t) U i is the control chosen by the i-th player, whose aim is to minimize his cost functional J i. = T t h i ( x(s),ui (s) ) ds+g i ( x(t) ). (24) Let V i (t,x) be the expected cost for the i-th player (if he behaves optimally), if the system starts at state x at time t. If such value function V = (V 1,...,V m ) exists, it should provide a solution to the system of Hamilton-Jacobi equations t V i +H i (x, V 1,, V m ) = 0, (25) with terminal data V i (T,x) = g i (x). (26) The Hamiltonian functions H i are defined as follows. Assume that, for every given x IR n and p j = V j IR n, there exist an optimal choice u j (x,p j) U j for the j-th player, such that f j ( x, u j (x,p j ) ) p j +h j ( x, u j (x,p j ) ) = min ω { fj (x,ω) p j +h j (x, ω) } Then the Hamiltonian functions in (25) are H i (x, p 1,...,p m ) =. m ( f j x, u j (x,p j ) ) p ( i +h i x, u i (x,p i ) ) j=1 (No general existence, uniqueness theory is yet available for these systems) 72
74 Sufficient Conditions for Optimality ẋ = f(x,u) t [0,T], x(0) = x 0 (1) Family of admissible control functions: U =. { u : [0,T] U } For u( ) U, the trajectory of (1) is t x(t,u) Terminal constraint x(t) S (2) Mayer problem, free terminal point: max ψ( x(t,u) ) (3) u U Sufficient Condition: Existence + PMP. Assume that the optimization problem (1) (3) admits an optimal solution. Let {u 1,u 2,...,u N } be the set of all control functions that staisfy the Pontryagin Maximum Principle. If Then the control u k is optimal. ψ ( x(t,u k ) ) = min 1 j N ψ( x(t,u j ) ) 73
75 Example 1. (ẋ 1,ẋ 2 ) = (u,x 2 1 ) u [ 1,1], (x 1,x 2 )(0) = (0,0) max x 2(T) with constraint x 1 (T) = 0 u U x x 1 If t x (t) = x(t,u ) is an optimal trajectory, the PMP yields (ṗ 1,ṗ 2 ) = ( 2x 1 p 2, 0), p 2 (T) 0 p 1 u +p 2 x 2 1 = max ω [ 1,1] p 1ω +p 2 x 2 1 = u = signp 1 p 2 (t) p 2 0 p 2 0 = p 1 p 1 u (t) 0, x (t) (0,0) 74
76 p 2 1 = ṗ 1 = 2x 1 p 1 = 2signp 1, ṗ 1 (0) = 0 ẋ 1 = signp 1 ẋ 2 = x 2 1 Countably many controls u j satisfy the PMP. Optimal controls: { u 1 if 0 < t < T/2 (t) = 1 if T/2 < t < T u (t) = { 1 if 0 < t < T/2 1 if T/2 < t < T. p = 2 1 p 1 T/j 0 T. p =2 1 x 2 x* x 1 75
77 The Value Function ẋ(t) = f ( x(t), α(t) ) s < t < T, (4) x(s) = y. (5) Here x IR n, while the control function α : [s,t] A is required to take values inside a compact set A IR m. Optimization Problem: select a control T α (t) which minimizes the cost J(s,y,α). = T s h ( x(t), α(t) ) dt+g ( x(t) ). (6) Assumption: The functions f, g, h are Lipschitz continuous and uniformly bounded. Dynamic Programming Approach: study the value function u(s,y) =. inf J(s,y,α). (7) α( ) 76
78 Bellman s Dynamic Programming Principle Theorem. For every s < τ < T, y IR n, one has { τ u(s,y) = inf h ( x(t;s,y,α), α(t) ) dt + u ( τ, x(τ;s,y,α) )}. (8) α( ) s The optimization problem on [s,t] can be split into two separate problems: As a first step, we solve the optimization problem on the sub-interval [τ,t], with running cost h and terminal cost g. In this way, we determine the value function u(τ, ), at time τ. As a second step, we solve the optimization problem on the sub-interval [s,τ], with running cost h and terminal cost u(τ, ), determined by the first step. At the initial time s, by (8) the value function u(s, ) obtained in step 2 is the same as the value function corresponding to the global optimization problem over the whole interval [s,t]. x(t; τ,z,u) y z = x( τ;s,y,u) s τ T Mayer problem: h 0 (no running cost). In this case one has For every admissible trajectory t x(t), the value function t u ( t, x(t) ) is non-decreasing. A trajectory t x (t) is optimal if and only if t u ( t,x (t) ) is constant. 77
79 Proof. Call J τ the right hand side of (8). 1. To prove that J τ u(s,y), fix ε > 0 and choose a control α : [s,t] A such that J(s,y,α) u(s,y)+ε. Observing that u ( τ,x(τ;s,y,α) ) T τ h ( t, x(t;s,y,α) ) dt+g ( x(t;s,y,α) ), we conclude J τ τ s h ( t, x(t;s,y,α) ) dt+u ( τ,x(τ;s,y,α) ) J(s,y,α) u(s,y)+ε. Since ε > 0 is arbitrary, this first inequality is proved. 2. To prove that u(s,y) J τ, fix ε > 0. Then there exists a control α : [s,τ] A such that τ s h ( t, x(t;s,y,α ) ) dt+u ( τ, x(τ;s,y,α ) ) J τ +ε Moreover, there exists a control α : [τ,t] A such that J ( τ, x(τ;s,y,α ), α ) u ( τ, x(τ;s,y,α ) ) +ε. One can now define a new control α : [s,t] A as the concatenation of α,α : α(t) =. { α (t) if t [s,τ], α (t) if t ]τ,t]. This yields u(s,y) J(s,y,α) J τ +2ε. with ε > 0 arbitrarily small. 78
80 The Hamilton-Jacobi-Bellman Equation ẋ(t) = f ( x(t), α(t) ) s < t < T, (4) x(s) = y, α : [s,t] A (5) J(s,y,α). = T s h ( x(t), α(t) ) dt+g ( x(t) ). (6) u(s,y) =. inf J(s,y,α). (7) α( ) Lemma (Regularity of the Value Function). Let f, g, h, be uniformly bounded and Lipschitz continuous. Then the value function u is uniformly bounded and Lipschitz continuous on [0,T] IR n. Theorem (Characterization of the Value Function). The value function u = u(s, y) is the unique viscosity solution of the Hamilton-Jacobi-Bellman equation with terminal condition and Hamiltonian function [ ] u t +H(x, u) = 0 (t,x) ]0,T[ IR n, (9) u(t,x) = g(x) x IR n, (10) H(x,p) =. { } min f(x,a) p+h(x,a). (11) a A 79
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