# 最优控制理论 二、哈密尔顿函数法

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Hamilton函数方法是变分法应用在控制系统上的标准化方法，即使不懂变分法，简单套用表格中的公式也可以列写出方程，这个方法是最优控制理论用的最多的方法。

## 1. 规范化的最优控制问题

H x − d d t H x ˙ = 0 f ( x ( t ) , x ˙ ( t ) , t ) = 0 \begin{aligned}H_x-\frac{\text d}{\text d t}H_{\dot x}=0\\ \mathbf f(\mathbf x(t),\dot \mathbf x(t),t)=0 \end{aligned}

x ˙ = f [ x ( t ) , u ( t ) , t ] ; x ( t o ) = x 0 t o ≤ t ≤ t f min ⁡ u ( t ) J = φ [ x ( t f ) , t f ] + ∫ t o t f L [ x ( t ) , u ( t ) , t ] d t (1) \dot{x}=f[x(t), u(t), t] ; \quad x\left(t_{o}\right)=x_0\quad t_{o} \leq t \leq t_{f}\\ \min_{u(t)}J=\varphi\left[x\left(t_{f}\right), t_{f}\right]+\int_{t_{o}}^{t_{f}} L[x(t), u(t), t] d t \tag 1

J [ x ( t ) , x ˙ ( t ) , u ( t ) , t ] = φ ( 0 ) + ∫ t t f { L + λ T [ f ( x , u , t ) − x ˙ ] + d φ ( x , t ) d t } d t = φ ( 0 ) + ∫ t t f H ˉ ( x , x ˙ , λ , u , t ) d t (†) J[x(t),\dot x(t),u(t),t]=\varphi(0)+\int_{t}^{t_{f}}\left\{L+\lambda^{\mathrm T}[f(x, u, t)-\dot{x}]+\frac{\text d\varphi(x, t)}{\text d t}\right\} d t\\ =\varphi(0)+\int_{t}^{t_{f}}\bar H(x,\dot x,\lambda,u,t)\text d t\tag{\dag}

x ( t ) x(t) u ( t ) u(t) λ ( t ) \lambda(t) 都考虑Euler方程，即 H ˉ x − d d t H ˉ x ˙ = 0 \bar H_x-\frac{\text d}{\text d t}\bar H_{\dot x}=0 以及 H ˉ u = 0 \bar H_u=0 H ˉ λ = 0 \bar H_\lambda=0

∂ L ∂ x + ∂ f T ∂ x λ ( t ) + λ ˙ ( t ) = 0 f ( x , u , t ) − x ˙ = 0 ∂ L ∂ u + ∂ f T ∂ u λ λ ( t ) = 0 \begin{aligned} \frac{\partial L}{\partial x}+\frac{\partial f^{\mathrm{T}}}{\partial x} \lambda(t)+\dot{\lambda}(t)=0 \\ f(x,u,t)-\dot x=0\\ \frac{\partial L}{\partial u}+\frac{\partial f^{\mathrm{T}}}{\partial u^{\lambda}} \lambda(t)=0 \end{aligned}

## 2. Hamilton函数法

H [ x ( t ) , u ( t ) , λ ( t ) , t ] ≜ L [ x ( t ) , u ( t ) , t ] + λ T ( t ) f [ x ( t ) , u ( t ) , t ] (2) H[x(t), u(t), \lambda(t), t]\triangleq L[x(t), u(t), t]+\lambda^{\mathrm T}(t) f[x(t), u(t), t] \tag 2

J [ x ( t ) , x ˙ ( t ) , u ( t ) , t ] = φ ( 0 ) − λ T x ∣ 0 t f + ∫ t o t f ( H + λ ˙ T x ) d t \begin{aligned} J[x(t),\dot x(t),u(t),t] &=\varphi(0)-\lambda^{\mathrm T} x\big|_0^{t_f} &+\int_{t_{o}}^{t_{f}}(H+\dot{\lambda}^{\mathrm T} x) d t \end{aligned}

λ ˙ = − ∂ H ∂ x = − ∂ L ∂ x − λ T ∂ f ∂ x x ˙ = ∂ H ∂ λ = f ( x , u , t ) 0 = ∂ H ∂ u = ∂ L ∂ u + ( ∂ f ∂ u ) T λ (3) \begin{aligned} \dot{\lambda}&=-\frac{\partial H}{\partial x}=-\frac{\partial L}{\partial x}-\lambda^{\mathrm T}\frac{\partial f}{\partial x}\tag{3}\\ \dot{x}&=\frac{\partial H}{\partial\lambda}=f(x,u,t)\\ 0&=\frac{\partial H}{\partial u}=\frac{\partial L}{\partial u}+\left(\frac{\partial f}{\partial u}\right)^{\mathrm T} \lambda \end{aligned}

• 首先写出哈密尔顿函数 H = L + λ T f H=L+\lambda^Tf
• 依次列写协态方程 λ ˙ = − ∂ H ∂ x \dot\lambda=-\frac{\partial H}{\partial x} 、控制方程 ∂ H ∂ u = 0 \frac{\partial H}{\partial u}=0
• 将最优控制代入状态方程 x ˙ = f ( x , u , t ) \dot x=f(x,u,t)
• 写出边界条件和横截条件如 x ( t f ) , λ ( t f ) , H ( ∗ , t f ) x(t_f),\lambda(t_f),H(*,t_f)
• 求解整个Hamilton系统

### 2.1 Hamilton函数的性质

#### 2.1.1 哈密尔顿系统

∂ L [ x ( t ) , x ˙ ( t ) , t ] ∂ x − d d t ∂ L [ x ( t ) , x ˙ ( t ) , t ] ∂ x ˙ = 0 \frac{\partial L[x(t),\dot x(t),t]}{\partial x}-\frac{\text d}{\text d t}\frac{\partial L[x(t),\dot x (t),t]}{\partial {\dot x}}=0

∂ H ∂ x = λ T ∂ f ∂ x + ∂ L ∂ x + ∂ L ∂ x ˙ ∂ x ˙ ∂ x = ∂ L ∂ x = − λ ˙ \begin{aligned}\frac{\partial H}{\partial x}=&\lambda^\mathrm T\frac{\partial f}{\partial x}+\frac{\partial L}{\partial x}+\frac{\partial L}{\partial \dot x}\frac{\partial \dot x}{\partial x}=\frac{\partial L}{\partial x}=-\dot\lambda \end{aligned}

x ˙ = ∂ H ∂ λ λ ˙ = − ∂ H ∂ x \begin{aligned} \dot x=& \frac{\partial H}{\partial \lambda}\\ \dot\lambda=&-\frac{\partial H}{\partial x} \end{aligned}

#### 2.1.2 时间不变性

d H d t = ∂ H ∂ t (1) \frac{\mathrm{d} H}{\mathrm{d} t}=\frac{\partial H}{\partial t}\tag{1}

d H d t = ∂ H T ∂ x x ˙ + ∂ H T ∂ λ λ ˙ + ∂ H T ∂ u U ˙ + ∂ H ∂ t \frac{\mathrm{d} H}{\mathrm{d} t}=\frac{\partial H^{\mathrm{T}}}{\partial x} \dot{x}+\frac{\partial H^{\mathrm{T}}}{\partial \lambda} \dot{\lambda}+\frac{\partial H^{\mathrm{T}}}{\partial u} \dot{U}+\frac{\partial H}{\partial t}

− ∂ H ∂ x = λ ˙ ∂ H ∂ u = 0 ∂ H ∂ λ = f = x ˙ \begin{aligned} -\frac{\partial H}{\partial x}&=\dot\lambda\\ \frac{\partial H}{\partial u}&=0\\ \frac{\partial H}{\partial \lambda}&=f=\dot x \end{aligned}

d H d t = ∂ H ∂ t = 0 \frac{\mathrm{d} H}{\mathrm{d} t}=\frac{\partial H}{\partial t}=0

### 2.2 Hamilton函数的边界条件和横截条件

t f , x f t_f,x_f 均给定 2 n 2n x ( t 0 ) = x 0 , x ( t f ) = x f x(t_0)=x_0,x(t_f)=x_f \
t f t_f 给定， x f x_f 自由 2 n 2n x ( t 0 ) = x 0 x(t_0)=x_0 λ ( t f ) = ∂ φ ( ⋅ ∗ , t f ) ∂ x \begin{aligned}\lambda(t_f)=\frac{\partial \varphi(\cdot^*,t_f)}{\partial x}\end{aligned}
t f t_f 自由， x f x_f 给定 2 n + 1 2n+1 x ( t 0 ) = x 0 , x ( t f ) = x f x(t_0)=x_0,x(t_f)=x_f H ( ⋅ ∗ , t f ) + ∂ φ ( ⋅ ∗ , t f ) ∂ t = 0 \begin{aligned}H(\cdot^*,t_f)+\frac{\partial \varphi(\cdot^*,t_f)}{\partial t}=0\end{aligned}
t f ， x f t_f，x_f 均自由 2 n + 1 2n+1 x ( t 0 ) = x 0 x(t_0)=x_0 λ ( t f ) = ∂ φ ∂ x ; H ( ⋅ ∗ , t f ) + ∂ φ ( ⋅ ∗ , t f ) ∂ t = 0 \begin{aligned}&\lambda(t_f)=\frac{\partial \varphi}{\partial x};\\&H(\cdot^*,t_f)+\frac{\partial \varphi(\cdot^*,t_f)}{\partial t}=0\end{aligned}
• 上面问题 ( 1 ) (1) 中的性能指标若为Meyer型，即 φ ( x ( t f ) , t f ) ) ≡ 0 \varphi(x(t_f),t_f))\equiv0 ，则横截条件中出现相应的项为0。
• 另外，表1中的形式是简写，还要把哈密尔顿函数展开。如对于第四行 t f , x f t_f,x_f 均自由时，可以把横截条件代入Hamiltonian，得
λ ( t f ) = ∂ φ ∂ x H ( ⋅ ∗ , t f ) + ∂ φ ( ⋅ ∗ , t f ) ∂ t = [ L + ∂ φ ∂ x f + ∂ φ ∂ t ] t f = 0 \begin{aligned}&\lambda(t_f)=\frac{\partial \varphi}{\partial x}\\ &H(\cdot^*,t_f)+\frac{\partial \varphi(\cdot^*,t_f)}{\partial t}= \left[L+\frac{\partial \varphi}{\partial x}f+\frac{\partial \varphi}{\partial t}\right]_{t_f}=0\end{aligned}

## 3. 终端约束时的横截条件

ψ ( x ( t f ) , t f ) = 0 ， ψ ∈ R q , q < n (5) \psi(x(t_f),t_f)=0，\psi\in\Reals^q,q\lt n\tag 5

• x f x_f 的部分状态量 x i ( t f ) = x f ( i ) , i = 1 , 2 , … , q < n x_i(t_f)=x_{f}^{(i)},i=1,2,\dots,q<n 给定，其他状态量自由；
• x f x_f 互相之间存在代数等式约束关系；

J = [ φ + μ T ψ ] t f + ∫ 0 t f { L ( x , u , t ) + λ T [ f ( x , u , t ) − x ˙ ] } d t = Φ t f + ∫ 0 t f ( H − λ T x ˙ ) d t \begin{aligned} J&=\left[\varphi+\mu^{\mathrm T} \psi\right]_{t_{f}}+\int_{0}^{t_{f}}\left\{L(x, u, t)+\lambda^{\mathrm T}[f(x, u, t)-\dot{x}]\right\} d t\\ &=\Phi_{t_f}+\int_{0}^{t_{f}}(H-\lambda^{\mathrm T}\dot x)dt \end{aligned}

d J = ( ( ∂ Φ ∂ t + L ) d t + ∂ Φ ∂ x d x ) t f + ∫ 0 t f ( ∂ H ∂ x δ x + ∂ H ∂ u δ u − λ T δ x ˙ ) d t \begin{aligned} d J=\left(\left(\frac{\partial \Phi}{\partial t}+L\right) d t+\frac{\partial \Phi}{\partial x} d x\right) _{t_f} &+\int_{0}^{t_{f}}\left(\frac{\partial H}{\partial x} \delta x+\frac{\partial H}{\partial u} \delta u-\lambda^{\mathrm T} \delta \dot{x}\right) d t \end{aligned}

d J = ( ∂ Φ ∂ t + L + λ T x ˙ ) t f d t f + [ ( ∂ Φ ∂ x − λ T ) d x ] t f + ( λ T δ x ) t 0 + ∫ 0 t f [ ( ∂ H ∂ x + λ ˙ T ) δ x + ∂ H ∂ u δ u ] d t (6) \text d J=\left(\frac{\partial \Phi}{\partial t}+L+\lambda^{\mathrm T} \dot{x}\right)_{t_{f}}\text d t_{f}+\left[\left(\frac{\partial \Phi}{\partial x}-\lambda^{\mathrm T}\right)\text d x\right]_{t_{f}}+\\\left(\lambda^{\mathrm T} \delta x\right)_{t_0} +\int_{0}^{t_{f}}\left[\left(\frac{\partial H}{\partial x}+\dot{\lambda}^{\mathrm T}\right) \delta x+\frac{\partial H}{\partial u} \delta u\right]\text d t \tag 6

### 3.1 性能指标变分的推导结果

λ ˙ = − ∂ H ∂ x = − ∂ L ∂ x − λ T ∂ f ∂ x ∂ H ∂ u = 0 = ∂ L ∂ u + ( ∂ f ∂ u ) T λ (7) \begin{aligned} \dot{\lambda}&=-\frac{\partial H}{\partial x}=-\frac{\partial L}{\partial x}-\lambda^{\mathrm T}\frac{\partial f}{\partial x}\\ \frac{\partial H}{\partial u}&=0=\frac{\partial L}{\partial u}+\left(\frac{\partial f}{\partial u}\right)^{\mathrm T} \lambda \end{aligned}\tag{7}

λ T ( t f ) = ∂ Φ ( ⋅ ∗ , t f ) ∂ x = ∂ φ ( x f , t f ) ∂ x + μ T ∂ ψ ( x f , t f ) ∂ x (8) \begin{aligned} \lambda^{\mathrm T}\left(t_{f}\right)=\frac{\partial \Phi(\cdot^*,t_f)}{\partial x}=\frac{\partial \varphi(x_f,t_f)}{\partial x}+\mu^{\mathrm T} \frac{\partial \psi(x_f,t_f)}{\partial x} \end{aligned}\tag{8}

( ∂ Φ ∂ t + λ T x ˙ + L ) t = t f ≡ ( d Φ d t + L ) t = t f = 0 (9) \left(\frac{\partial \Phi}{\partial t}+\lambda^{\mathrm T} \dot{x}+L\right)_{t=t_{f}}\equiv \left(\frac{\text d \Phi}{\text d t}+L\right)_{t=t_{f}}=0 \tag{9}

### 3.2 初值部分未知的处理

δ x j ( t 0 ) { ≠ 0 , j = 1 , 2 , . . . , k = 0 , j = k + 1 , . . . , n \delta x_j(t_0) \left\{\begin{matrix} \neq0&,j=1,2,...,k\\ =0& ,j=k+1,...,n \end{matrix} \right.

### 3.3 表格总结

t f , x f t_f,x_f 均给定 2 n 2n x ( t 0 ) = x 0 ;   x ( t f ) = x f x(t_0)=x_0;\ x(t_f)=x_f \
t f t_f 给定， x f x_f 自由 2 n   → ( x , λ ) 2n\ \rightarrow( x,\lambda) x ( t 0 ) = x 0 x(t_0)=x_0 λ ( t f ) = ∂ φ ∂ x \begin{aligned}\lambda(t_f)=\frac{\partial \varphi}{\partial x}\end{aligned}
t f , x f t_f,x_f 均自由 2 n + 1   → ( x , λ , t f ) 2n+1\ \rightarrow( x,\lambda,t_f) x ( t 0 ) = x 0 x(t_0)=x_0 λ ( t f ) = ∂ φ ∂ x ; { L + ∂ φ ∂ x f + ∂ φ ∂ t } t f = 0 \begin{aligned}&\lambda(t_f)=\frac{\partial \varphi}{\partial x};\\&\left\{L+\frac{\partial \varphi}{\partial x}f+\frac{\partial \varphi}{\partial t}\right\}_{t_f}=0\end{aligned}
t f t_f 给定， x f x_f 自由，且有终端约束 ψ ( x f , t f ) = 0 \psi(x_f,t_f)=0 2 n + q   → ( x , λ , μ ) 2n+q\ \rightarrow( x,\lambda,\mu) x ( t 0 ) = x 0 ; ψ ( x f , t f ) = 0 x(t_0)=x_0;\\ \psi(x_f,t_f)=0 λ ( t f ) = ∂ Φ ∂ x \begin{aligned}\lambda(t_f)=\frac{\partial \Phi}{\partial x}\end{aligned}
t f ， x f t_f，x_f 均自由，且有终端约束 ψ ( x f , t f ) = 0 \psi(x_f,t_f)=0 2 n + q + 1   → ( x , λ , μ , t f ) 2n+q+1\ \rightarrow( x,\lambda,\mu,t_f) x ( t 0 ) = x 0 ; ψ ( x f , t f ) = 0 x(t_0)=x_0;\\ \psi(x_f,t_f)=0 λ ( t f ) = ∂ Φ ∂ x ; { L + ∂ Φ ∂ x f + ∂ Φ ∂ t } t f = 0 \begin{aligned}&\lambda(t_f)=\frac{\partial \Phi}{\partial x};\\ &\left\{L+\frac{\partial \Phi}{\partial x}f+\frac{\partial \Phi}{\partial t}\right\}_{t_f}=0\end{aligned}

#### 1）. 第4、5行说明

λ ( t f ) = ∂ Φ ∂ x ∣ t = t f ≡ ∂ φ ∂ x + μ T ∂ ψ ∂ x (11) \lambda(t_f)=\frac{\partial \Phi}{\partial x}\Big|_{t=t_f}\equiv\frac{\partial \varphi}{\partial x}+\mu^{\mathrm T}\frac{\partial\psi}{\partial x}\tag{11}

[ L + ( ∂ φ ∂ t + μ T ∂ ψ ∂ t ) + ( ∂ φ ∂ x + μ T ∂ ψ ∂ x ) f ] t f = 0 (12) \left[ L+\left(\frac{\partial \varphi}{\partial t}+\mu^{\mathrm T} \frac{\partial \psi}{\partial t}\right)+\left(\frac{\partial \varphi}{\partial x}+\mu^{\mathrm T} \frac{\partial \psi}{\partial x}\right) f\right]_{t_f}=0 \tag{12}

H ∗ ( ⋅ ∗ , t f ) + ∂ Φ ( ⋅ ∗ , t f ) ∂ t = 0 Φ ( x ( t f ) , t f ) ≡ φ + μ T ψ H ∗ [ x ( t ) , λ ( t ) , x ( t f ) , λ ( t f ) , t , t f ] ≡ L + λ T f + μ T ψ \begin{aligned} &H^*(\cdot^*,t_f)+\frac{\partial \Phi(\cdot^*,t_f)}{\partial t}=0\\ &\Phi(\mathbf x(t_f),t_f)\equiv \varphi+\mu^{\mathrm T} \psi\\ &H^*[x(t),\lambda(t),x(t_f),\lambda(t_f),t,t_f]\equiv L+\lambda^\mathrm Tf+\mu^\mathrm T\psi \end{aligned}

#### 3）. 终端状态部分给定的处理

ψ [ x ( t f ) , t f ] = x i ( t f ) − x i f = 0 ， i = 1 , 2 , . . . , q , q < n \psi[x(t_f),t_f]=x_i(t_f)-x_{if}=0，i=1,2,...,q,q\lt n

x i ( t f ) = x i f λ ( t f ) = { 0 + μ i   , i = 1 , 2 , . . . q ∂ φ ∂ x i   , i = q + 1 , . . . , n \begin{aligned} x_i(t_f)&=x_{if}\\ \lambda(t_f)&=\left\{ \begin{matrix} 0+\mu_i&\ ,i=1,2,...q\\ \frac{\partial \varphi}{\partial x_i}&\ ,i=q+1,...,n \end{matrix}\right. \end{aligned}

## 4. 应用举例

### 4.1 倒立摆问题

min ⁡ u ( t ) = 1 2 x f T Q x f + 1 2 ∫ 0 t f R u 2 \min_{u(t)}=\frac1 2\mathbf x_f^{\mathrm T}\text Q\mathbf x_f+\frac1 2\int_0^{t_f}\text R\mathbf u^2

[ θ ˙ ω ˙ ] = f ( x ) = [ ω 1 / I ( − m g l sin ⁡ θ + b ω + u ) ] \begin{bmatrix}\dot\theta\\\dot\omega\end{bmatrix}=\mathbf f(\mathbf x)=\begin{bmatrix}\omega\\1/I(-mgl\sin\theta+b\omega+u)\end{bmatrix}

H = 1 2 R u 2 + λ 1 ω + λ 2 ω ˙ H=\frac1 2\text R u^2+\lambda_1\omega+\lambda_2\dot\omega

λ ˙ 1 = − ∂ H ∂ θ = λ 2 m g l cos ⁡ θ / I λ ˙ 2 = − ∂ H ∂ θ = − λ 1 \begin{aligned} \dot\lambda_1&=-\frac{\partial H}{\partial \theta}=\lambda_2mgl\cos\theta/I\\ \dot\lambda_2&=-\frac{\partial H}{\partial \theta}=-\lambda_1 \end{aligned}

∂ H ∂ u = R u + λ 2 / I = 0    ⟹    u = − λ 2 / R I \frac{\partial{H}}{\partial u}=Ru+\lambda_2/I=0\implies u=-\lambda_2/{RI}

H ( t f ) + ∂ φ ( x f ) ∂ t = 1 2 R u 2 + λ 2 u / I = 0    ⟹    λ 2 ( t f ) = 0 H(t_f)+\frac{\partial \varphi(x_f)}{\partial t}=\frac1 2\text R u^2+\lambda_2u/I=0\implies \lambda_2(t_f)=0

### 4.2 连续推力轨道转移问题

x = [ r v ] f ( x ) = [ r − μ r 3 r + a ] \mathbf x=\begin{bmatrix}\mathbf r\\ \mathbf v\end{bmatrix}\\ \mathbf f(\mathbf x)=\begin{bmatrix}\mathbf r\\ -\frac\mu{r^3}\mathbf r+\mathbf a\end{bmatrix}

H = 1 2 a T a + λ r T v + λ v T ( g ( r ) + a ) H=\frac 1 2\mathbf a^{\mathrm T}\mathbf a+\mathbf\lambda_r^{\mathrm T}\mathbf v+\mathbf\lambda_v^{\mathrm T}(\mathbf g(\mathbf r)+\mathbf a)

λ ˙ r T = − ∂ H ∂ r = − λ v T ∂ g ( r ) ∂ r λ ˙ v T = − ∂ H ∂ v = − λ r T \begin{aligned} \dot{\lambda}_{r}^{\mathrm T}&=-\frac{\partial H}{\partial \mathbf{r}}=-\lambda_{\mathrm{v}}^{\mathrm T} \frac{\partial \mathbf{g}(\mathbf{r})}{\partial \mathbf{r}}\\ \dot{\lambda}_{\mathrm{v}}^{\mathrm T}&=-\frac{\partial H}{\partial \mathbf{v}}=-\lambda_{r}^{\mathrm T} \end{aligned}

λ r ( t f ) = μ T ∂ ψ ∂ r ( t f ) = μ v f λ v ( t f ) = μ T ∂ ψ ∂ v ( t f ) = μ r f \lambda_{r}\left(t_{f}\right)=\mu^{\mathrm T}\frac{\partial\psi}{\partial \mathbf{r}\left(t_{f}\right)}=\mu\mathbf v_f \\ \lambda_{\mathrm{v}}\left(t_{f}\right)=\mu^{\mathrm T}\frac{\partial\psi}{\partial \mathbf{v}\left(t_{f}\right)}=\mu\mathbf r_f

∂ H ∂ a = a + λ v = 0 (13) \frac{\partial{H}}{\partial \mathbf a}=\mathbf a+\lambda_v=0 \tag {13}

r ˙ = r v ˙ = − μ r 3 r − λ v λ ˙ r T = − λ v T ∂ g ( r ) ∂ r λ ˙ v T = − λ r T \begin{aligned} \dot\mathbf r&=\mathbf r\\ \dot\mathbf v&= -\frac\mu{r^3}\mathbf r-\lambda_v\\ \dot{\lambda}_{r}^{\mathrm T}&=-\lambda_{\mathrm{v}}^{\mathrm T} \frac{\partial \mathbf{g}(\mathbf{r})}{\partial \mathbf{r}}\\ \dot{\lambda}_{\mathrm{v}}^{\mathrm T}&=-\lambda_{r}^{\mathrm T} \end{aligned}

1个未知常数 μ \mu ，边界条件共有13个，可以通过求解两点边值问题求解最优轨迹。这个问题的主要难点是确定协态变量初值，只要得到它就可以用数值积分方法求解，然而难点在于如何满足终端约束。

## 参考文献

[1] 邢继祥. 最优控制应用基础[M]. 科学出版社, 2003.
[2] Bryson A E , Ho Y C ,Applied optimal control : optimization, estimation, and control[J]. IEEE Transactions on Systems Man & Cybernetics, 1975
[3] Moritz Diehl, Numerical Optimal Control (draft), 2011
[4] 还有一些不重要的内容被我放到另一篇博客里了： 最优控制理论 二+、哈密尔顿函数法的补充

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