Improved Sensitivity Relations in State Constrained Optimal Control
File(s)Sensitivity_revised.pdf (334.8 KB)
Accepted version
Author(s)
Bettiol, P
Frankowska, H
Vinter, RB
Type
Journal Article
Abstract
Sensitivity relations in optimal control provide an interpretation of the costate trajectory and the Hamiltonian, evaluated along an optimal trajectory, in terms of gradients of the value function. While sensitivity relations are a straightforward consequence of standard transversality conditions for state constraint free optimal control problems formulated in terms of control-dependent differential equations with smooth data, their verification for problems with either pathwise state constraints, nonsmooth data, or for problems where the dynamic constraint takes the form of a differential inclusion, requires careful analysis. In this paper we establish validity of both ‘full’ and ‘partial’ sensitivity relations for an adjoint state of the maximum principle, for optimal control problems with pathwise state constraints, where the underlying control system is described by a differential inclusion. The partial sensitivity relation interprets the costate in terms of partial Clarke subgradients of the value function with respect to the state variable, while the full sensitivity relation interprets the couple, comprising the costate and Hamiltonian, as the Clarke subgradient of the value function with respect to both time and state variables. These relations are distinct because, for nonsmooth data, the partial Clarke subdifferential does not coincide with the projection of the (full) Clarke subdifferential on the relevant coordinate space. We show for the first time (even for problems without state constraints) that a costate trajectory can be chosen to satisfy the partial and full sensitivity relations simultaneously. The partial sensitivity relation in this paper is new for state constraint problems, while the full sensitivity relation improves on earlier results in the literature (for optimal control problems formulated in terms of Lipschitz continuous multifunctions), because a less restrictive inward pointing hypothesis is invoked in the proof, and because it is validated for a stronger set of necessary conditions.
Date Issued
2014-07-10
Date Acceptance
2014-07-10
Citation
Applied Mathematics and Optimization, 2014, 71 (2), pp.353-377
ISSN
1432-0606
Publisher
Springer Verlag
Start Page
353
End Page
377
Journal / Book Title
Applied Mathematics and Optimization
Volume
71
Issue
2
Copyright Statement
© Springer Verlag 2014. The final publication is available at Springer via http://dx.doi.org/10.1007/s00245-014-9260-6.
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Grant Number
EP/G066477/1
Subjects
Science & Technology
Physical Sciences
Mathematics, Applied
Mathematics
Optimal control
Differential inclusions
State constraints
sensitivity
MAXIMUM PRINCIPLE
TRAJECTORIES
Applied Mathematics
0102 Applied Mathematics
0103 Numerical And Computational Mathematics
Publication Status
Published