Calculus of Variations and Optimal Control Theory: A Concise by Daniel Liberzon

By Daniel Liberzon

This textbook deals a concise but rigorous advent to calculus of diversifications and optimum keep watch over conception, and is a self-contained source for graduate scholars in engineering, utilized arithmetic, and similar topics. Designed in particular for a one-semester path, the publication starts off with calculus of adaptations, getting ready the floor for optimum regulate. It then supplies an entire facts of the utmost precept and covers key subject matters reminiscent of the Hamilton-Jacobi-Bellman thought of dynamic programming and linear-quadratic optimum keep watch over. Calculus of adaptations and optimum keep watch over concept additionally strains the historic improvement of the topic and contours a variety of routines, notes and references on the finish of every bankruptcy, and recommendations for additional study.Offers a concise but rigorous advent calls for restricted history up to speed conception or complex arithmetic presents a whole facts of the utmost precept makes use of constant notation within the exposition of classical and smooth issues strains the historic improvement of the topic options guide (available simply to teachers)Leading universities that experience followed this booklet comprise: collage of Illinois at Urbana-Champaign ECE 553: optimal keep watch over structures Georgia Institute of know-how ECE 6553: optimum regulate and Optimization collage of Pennsylvania ESE 680: optimum keep an eye on conception collage of Notre Dame EE 60565: optimum keep an eye on

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Extra resources for Calculus of Variations and Optimal Control Theory: A Concise Introduction

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The normal plane to D at x∗ . In general, the intuition behind the claim is that unless ∇f (x∗ ) is normal to D, there are curves in D passing through x∗ whose tangent vectors at x∗ make both positive and negative inner products with ∇f (x∗ ), hence in particular f can be decreased by moving away from x∗ while staying in D. 22) means that there exist real numbers λ∗1 , . . 24) cvoc-formatted August 24, 2011 14 7x10 CHAPTER 1 This is the first-order necessary condition for constrained optimality.

32) cvoc-formatted August 24, 2011 7x10 20 CHAPTER 1 depends on both y and η. The requirement that δJ|y must be a linear functional is understood in the usual sense: δJ|y (α1 η1 + α2 η2 ) = α1 δJ|y (η1 ) + α2 δJ|y (η2 ) for all η1 , η2 ∈ V and α1 , α2 ∈ R. The first variation as defined above corresponds to the so-called Gateaux derivative of J, which is just the usual derivative of J(y + αη) with respect to α (for fixed y and η) evaluated at α = 0: J(y + αη) − J(y) . 5). Now, suppose that y ∗ is a local minimum of J over some subset A of V .

5 Consider the space V = C 0 ([0, 1], R), let ϕ : R → R be 1 a C 1 function, and define the functional J on V by J(y) = 0 ϕ(y(x))dx. Show that its first variation exists and is given by the formula δJ|y (η) = 1 0 ϕ (y(x))η(x)dx. 32), is independent of the choice of the norm on V . 36) is valid for every norm. 32): J(y + η) = J(y) + δJ|y (η) + o( η ). 37) The difference with our original formulation is subtle but substantial. 32) describes how the value of J changes with α for each fixed η. 37), the higher-order term is a function of η and so the expansion captures the effect of all η at once (while α is no longer needed).

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