初值不为零的值迭代稳定性证明
定理一
问题描述
假设初值为任意半正定函数
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V_0(x_k)=\Psi(x_k)
V0(xk)=Ψ(xk)
定义变量
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\underline{\gamma},\overline{\gamma},\underline{\delta}
γ,γ,δ 和
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δ 变量如下:
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如果对于任意的
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\underline{\gamma} U(x_k,u_k)\leq J^*(F(x_k,u_k))\leq\overline{\gamma}U(x_k,u_k) \\ \underline{\delta}J^*(x_k)\leq V_0(x_k)\leq\overline{\delta}J^*(x_k)
γU(xk,uk)≤J∗(F(xk,uk))≤γU(xk,uk)δJ∗(xk)≤V0(xk)≤δJ∗(xk)
证明下面的式子成立
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(1+\frac{\underline{\delta}-1}{(1+\overline{\gamma}^{-1})^{i}})J^*(x_k)\leq V_i(x_k)\leq(1+\frac{\overline{\delta}-1}{(1+\underline{\gamma}^{-1})^{i}})J^*(x_k)
(1+(1+γ−1)iδ−1)J∗(xk)≤Vi(xk)≤(1+(1+γ−1)iδ−1)J∗(xk)
证明
这个证明过程分为两步,左边和右边成立证明。
第一步证明左边成立:
用数学归纳法进行证明
一、
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\begin{aligned} V_1(x_k)&=\min_{u_k}\{U(x_k,u_k)+V_0(x_{k+1})\} \\ &\geq \min_{u_k}\{U(x_k,u_k)+\underline{\delta}J^*(x_{k+1})\} \\ &\geq\min_{u_k}\{U(x_k,u_k)+\underline{\delta}J^*(x_{k+1})+\frac{\underline{\delta}-1}{1+\overline{\gamma}}(\overline{\gamma}U(x_k,u_k)-J^*(x_{k+1}))\} \\ &\geq \min_{u_k}\{(1+\overline{\gamma}\frac{\underline{\delta}-1}{1+\overline{\gamma}})U(x_k,u_k)+(\underline{\delta}-\frac{\underline{\delta}-1}{1+\overline{\gamma}})J^*(x_{k+1})\} ~~~~~~~~~(1)\\ &= (1+\overline{\gamma}\frac{\underline{\delta}-1}{1+\overline{\gamma}})\min_{u_k}\{U(x_k,u_k)+J^*(x_{k+1})\} ~~~~~~~~~~~(2) \\ &=(1+\overline{\gamma}\frac{\underline{\delta}-1}{1+\overline{\gamma}})J^*(x_k) \end{aligned}
V1(xk)=ukmin{U(xk,uk)+V0(xk+1)}≥ukmin{U(xk,uk)+δJ∗(xk+1)}≥ukmin{U(xk,uk)+δJ∗(xk+1)+1+γδ−1(γU(xk,uk)−J∗(xk+1))}≥ukmin{(1+γ1+γδ−1)U(xk,uk)+(δ−1+γδ−1)J∗(xk+1)} (1)=(1+γ1+γδ−1)ukmin{U(xk,uk)+J∗(xk+1)} (2)=(1+γ1+γδ−1)J∗(xk)
其中(1)由下式推导可得
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\begin{aligned} (1+\overline{\gamma}\frac{\underline{\delta}-1}{1+\overline{\gamma}})U(x_k,u_k)+(\underline{\delta}-\frac{\underline{\delta}-1}{1+\overline{\gamma}})J^*(x_{k+1})&=U(x_k,u_k)+\overline{\gamma}\frac{\underline{\delta}-1}{1+\overline{\gamma}}U(x_k,u_k)+\underline{\delta}J^*(x_{k+1})-\frac{\underline{\delta}-1}{1+\overline{\gamma}}J^*(x_{k+1}) \\ &=U(x_k,u_k)+\underline{\delta}J^*(x_{k+1})+\frac{\underline{\delta}-1}{1+\overline{\gamma}}(\overline{\gamma}U(x_k,u_k)-J^*(x_{k+1})) \\ &\leq U(x_k,u_k)+\underline{\delta}J^*(x_{k+1}) \end{aligned}
(1+γ1+γδ−1)U(xk,uk)+(δ−1+γδ−1)J∗(xk+1)=U(xk,uk)+γ1+γδ−1U(xk,uk)+δJ∗(xk+1)−1+γδ−1J∗(xk+1)=U(xk,uk)+δJ∗(xk+1)+1+γδ−1(γU(xk,uk)−J∗(xk+1))≤U(xk,uk)+δJ∗(xk+1)
上式中
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\frac{\underline{\delta}-1}{1+\overline{\gamma}}<0 \\ \overline{\gamma}U(x_k,u_k)-J^*(x_{k+1})>0
1+γδ−1<0γU(xk,uk)−J∗(xk+1)>0
其中(2)式可由下式推导可以得出
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\begin{aligned} \underline{\delta}-\frac{\underline{\delta}-1}{1+\overline{\gamma}}&=\frac{\underline{\delta}(1+\overline{\gamma})-\underline{\delta}+1}{1+\overline{\gamma}}=\frac{\underline{\delta}+\underline{\delta}\overline{\gamma}-\underline{\delta}+1}{1+\overline{\gamma}} \\ &=\frac{\underline{\delta}\overline{\gamma}+1+\overline{\gamma}-\overline{\gamma}}{1+\overline{\gamma}} =1+\frac{\underline{\delta}\overline{\gamma}-\overline{\gamma}}{1+\overline{\gamma}}=1+\frac{\underline{\delta}-1}{1+\overline{\gamma}^{-1}} \end{aligned}
δ−1+γδ−1=1+γδ(1+γ)−δ+1=1+γδ+δγ−δ+1=1+γδγ+1+γ−γ=1+1+γδγ−γ=1+1+γ−1δ−1
二、
假设结论对 i = l − 1 , l = 1 , 2 , ⋯ i=l-1,l=1,2,\cdots i=l−1,l=1,2,⋯ 都成立,则 i = l i=l i=l 可得
由假设得
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V_{l-1}(x_k)\geq (1+\frac{\underline{\delta}-1}{(1+\overline{\gamma}^{-1})^{l-1}})J^*(x_k)
Vl−1(xk)≥(1+(1+γ−1)l−1δ−1)J∗(xk)
V l = min u k { U ( x k , u k ) + V l − 1 ( x k + 1 ) } ≥ min u k { U ( x k , u k ) + ( 1 + δ ‾ − 1 ( 1 + γ ‾ − 1 ) l − 1 ) J ∗ ( x k ) + δ ‾ − 1 ( 1 + γ ‾ ) ( 1 + γ ‾ − 1 ) l − 1 ( γ ‾ U ( x k , u k ) − J ∗ ( x k + 1 ) ) } = min u k { U ( x k , u k ) + δ ‾ − 1 ( 1 + γ ‾ − 1 ) l U ( x k , u k ) + ( 1 + δ ‾ − 1 ( 1 + γ ‾ − 1 ) l − 1 − δ ‾ − 1 ( 1 + γ ‾ ) ( 1 + γ ‾ − 1 ) l − 1 ) J ∗ ( x k + 1 ) } = min u k { U ( x k , u k ) + δ ‾ − 1 ( 1 + γ ‾ − 1 ) l U ( x k , u k ) + ( 1 + ( δ ‾ − 1 ) ( 1 + γ ‾ ) − δ ‾ + 1 ( 1 + γ ‾ ) ( 1 + γ ‾ − 1 ) l − 1 ) J ∗ ( x k + 1 ) } = min u k { U ( x k , u k ) + δ ‾ − 1 ( 1 + γ ‾ − 1 ) l U ( x k , u k ) + ( 1 + ( δ ‾ − 1 ) γ ‾ ( 1 + γ ‾ ) ( 1 + γ ‾ − 1 ) l − 1 ) J ∗ ( x k + 1 ) } = min u k { U ( x k , u k ) + δ ‾ − 1 ( 1 + γ ‾ − 1 ) l U ( x k , u k ) + ( 1 + ( δ ‾ − 1 ) ( 1 + γ ‾ − 1 ) l ) J ∗ ( x k + 1 ) } = ( 1 + ( δ ‾ − 1 ) ( 1 + γ ‾ − 1 ) l ) min u k { U ( x k , u k ) + + J ∗ ( x k + 1 ) } = ( 1 + ( δ ‾ − 1 ) ( 1 + γ ‾ − 1 ) l ) J ∗ ( x k ) \begin{aligned} V_{l}&=\min_{u_k}\{U(x_k,u_k)+V_{l-1}(x_{k+1})\} \\ &\geq \min_{u_k}\{U(x_k,u_k)+(1+\frac{\underline{\delta}-1}{(1+\overline{\gamma}^{-1})^{l-1}})J^*(x_k)+\frac{\underline{\delta}-1}{(1+\overline{\gamma})(1+\overline{\gamma}^{-1})^{l-1}}(\overline{\gamma}U(x_k,u_k)-J^*(x_{k+1}))\} \\ &=\min_{u_k}\{U(x_k,u_k)+\frac{\underline{\delta}-1}{(1+\overline{\gamma}^{-1})^{l}}U(x_k,u_k)+(1+\frac{\underline{\delta}-1}{(1+\overline{\gamma}^{-1})^{l-1}}-\frac{\underline{\delta}-1}{(1+\overline{\gamma})(1+\overline{\gamma}^{-1})^{l-1}})J^*(x_{k+1})\} \\ &=\min_{u_k}\{U(x_k,u_k)+\frac{\underline{\delta}-1}{(1+\overline{\gamma}^{-1})^{l}}U(x_k,u_k)+(1+\frac{(\underline{\delta}-1)(1+\overline{\gamma})-\underline{\delta}+1}{(1+\overline{\gamma})(1+\overline{\gamma}^{-1})^{l-1}})J^*(x_{k+1})\} \\ &=\min_{u_k}\{U(x_k,u_k)+\frac{\underline{\delta}-1}{(1+\overline{\gamma}^{-1})^{l}}U(x_k,u_k)+(1+\frac{(\underline{\delta}-1)\overline{\gamma}}{(1+\overline{\gamma})(1+\overline{\gamma}^{-1})^{l-1}})J^*(x_{k+1})\} \\ &=\min_{u_k}\{U(x_k,u_k)+\frac{\underline{\delta}-1}{(1+\overline{\gamma}^{-1})^{l}}U(x_k,u_k)+(1+\frac{(\underline{\delta}-1)}{(1+\overline{\gamma}^{-1})^{l}})J^*(x_{k+1})\} \\ &=(1+\frac{(\underline{\delta}-1)}{(1+\overline{\gamma}^{-1})^{l}})\min_{u_k}\{U(x_k,u_k)++J^*(x_{k+1})\} \\ &=(1+\frac{(\underline{\delta}-1)}{(1+\overline{\gamma}^{-1})^{l}})J^*(x_k) \end{aligned} Vl=ukmin{U(xk,uk)+Vl−1(xk+1)}≥ukmin{U(xk,uk)+(1+(1+γ−1)l−1δ−1)J∗(xk)+(1+γ)(1+γ−1)l−1δ−1(γU(xk,uk)−J∗(xk+1))}=ukmin{U(xk,uk)+(1+γ−1)lδ−1U(xk,uk)+(1+(1+γ−1)l−1δ−1−(1+γ)(1+γ−1)l−1δ−1)J∗(xk+1)}=ukmin{U(xk,uk)+(1+γ−1)lδ−1U(xk,uk)+(1+(1+γ)(1+γ−1)l−1(δ−1)(1+γ)−δ+1)J∗(xk+1)}=ukmin{U(xk,uk)+(1+γ−1)lδ−1U(xk,uk)+(1+(1+γ)(1+γ−1)l−1(δ−1)γ)J∗(xk+1)}=ukmin{U(xk,uk)+(1+γ−1)lδ−1U(xk,uk)+(1+(1+γ−1)l(δ−1))J∗(xk+1)}=(1+(1+γ−1)l(δ−1))ukmin{U(xk,uk)++J∗(xk+1)}=(1+(1+γ−1)l(δ−1))J∗(xk)
因此当 i = l i=l i=l时成立,证闭。
第二步证明右边成立
一、
同理可得
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\begin{aligned} V_1(x_k)&=\min_{u_k}\{U(x_k,u_k)+V_0(x_{k+1})\} \\ &\leq \min_{u_k}\{U(x_k,u_k)+\overline{\delta}J^*(x_{k+1})\} \\ &\geq \min_{u_k}\{(1+\underline{\gamma}\frac{\overline{\delta}-1}{1+\underline{\gamma}})U(x_k,u_k)+(\overline{\delta}-\frac{\overline{\delta}-1}{1+\underline{\gamma}})J^*(x_{k+1})\} ~~~~~~~~~(1)\\ &= (1+\underline{\gamma}\frac{\overline{\delta}-1}{1+\underline{\gamma}})\min_{u_k}\{U(x_k,u_k)+J^*(x_{k+1})\} ~~~~~~~~~~~(2) \\ &=(1+\underline{\gamma}\frac{\overline{\delta}-1}{1+\underline{\gamma}})J^*(x_k) \end{aligned}
V1(xk)=ukmin{U(xk,uk)+V0(xk+1)}≤ukmin{U(xk,uk)+δJ∗(xk+1)}≥ukmin{(1+γ1+γδ−1)U(xk,uk)+(δ−1+γδ−1)J∗(xk+1)} (1)=(1+γ1+γδ−1)ukmin{U(xk,uk)+J∗(xk+1)} (2)=(1+γ1+γδ−1)J∗(xk)
二、
假设结论对
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⋯
i=l-1,l=1,2,\cdots
i=l−1,l=1,2,⋯ 都成立,则
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i=l 可得
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k
)
\begin{aligned} V_{l}&=\min_{u_k}\{U(x_k,u_k)+V_{l-1}(x_{k+1})\} \\ &\leq \min_{u_k}\{U(x_k,u_k)+(1+\frac{\overline{\delta}-1}{(1+\underline{\gamma}^{-1})^{l-1}})J^*(x_k)+\frac{1-\overline{\delta}}{(1+\underline{\gamma})(1+\underline{\gamma}^{-1})^{l-1}}(J^*(x_{k+1})-\underline{\gamma}U(x_k,u_k))\} \\ &=\min_{u_k}\{U(x_k,u_k)+\frac{\overline{\delta}-1}{(1+\underline{\gamma}^{-1})^{l}}U(x_k,u_k)+(1+\frac{\overline{\delta}-1}{(1+\underline{\gamma}^{-1})^{l-1}}-\frac{\overline{\delta}-1}{(1+\underline{\gamma})(1+\underline{\gamma}^{-1})^{l-1}})J^*(x_{k+1})\} \\ &=\min_{u_k}\{U(x_k,u_k)+\frac{\overline{\delta}-1}{(1+\underline{\gamma}^{-1})^{l}}U(x_k,u_k)+(1+\frac{(\overline{\delta}-1)(1+\underline{\gamma})-\overline{\delta}+1}{(1+\underline{\gamma})(1+\underline{\gamma}^{-1})^{l-1}})J^*(x_{k+1})\} \\ &=\min_{u_k}\{U(x_k,u_k)+\frac{\overline{\delta}-1}{(1+\underline{\gamma}^{-1})^{l}}U(x_k,u_k)+(1+\frac{(\overline{\delta}-1)\underline{\gamma}}{(1+\underline{\gamma})(1+\underline{\gamma}^{-1})^{l-1}})J^*(x_{k+1})\} \\ &=\min_{u_k}\{U(x_k,u_k)+\frac{\overline{\delta}-1}{(1+\underline{\gamma}^{-1})^{l}}U(x_k,u_k)+(1+\frac{(\overline{\delta}-1)}{(1+\underline{\gamma}^{-1})^{l}})J^*(x_{k+1})\} \\ &=(1+\frac{(\overline{\delta}-1)}{(1+\underline{\gamma}^{-1})^{l}})\min_{u_k}\{U(x_k,u_k)++J^*(x_{k+1})\} \\ &=(1+\frac{(\overline{\delta}-1)}{(1+\underline{\gamma}^{-1})^{l}})J^*(x_k) \end{aligned}
Vl=ukmin{U(xk,uk)+Vl−1(xk+1)}≤ukmin{U(xk,uk)+(1+(1+γ−1)l−1δ−1)J∗(xk)+(1+γ)(1+γ−1)l−11−δ(J∗(xk+1)−γU(xk,uk))}=ukmin{U(xk,uk)+(1+γ−1)lδ−1U(xk,uk)+(1+(1+γ−1)l−1δ−1−(1+γ)(1+γ−1)l−1δ−1)J∗(xk+1)}=ukmin{U(xk,uk)+(1+γ−1)lδ−1U(xk,uk)+(1+(1+γ)(1+γ−1)l−1(δ−1)(1+γ)−δ+1)J∗(xk+1)}=ukmin{U(xk,uk)+(1+γ−1)lδ−1U(xk,uk)+(1+(1+γ)(1+γ−1)l−1(δ−1)γ)J∗(xk+1)}=ukmin{U(xk,uk)+(1+γ−1)lδ−1U(xk,uk)+(1+(1+γ−1)l(δ−1))J∗(xk+1)}=(1+(1+γ−1)l(δ−1))ukmin{U(xk,uk)++J∗(xk+1)}=(1+(1+γ−1)l(δ−1))J∗(xk)
因此当
i
=
l
i=l
i=l时成立,证闭。
这里限定了初值只能取到比最优代价函数小的初值。
定理二
重新定义
0
≤
δ
‾
≤
1
≤
δ
‾
≤
∞
0\leq\underline{\delta}\leq1\leq\overline{\delta}\leq\infty
0≤δ≤1≤δ≤∞
证明下面的式子成立
(
1
+
δ
‾
−
1
(
1
+
γ
‾
−
1
)
i
)
J
∗
(
x
k
)
≤
V
i
(
x
k
)
≤
(
1
+
δ
‾
−
1
(
1
+
γ
‾
−
1
)
i
)
J
∗
(
x
k
)
(1+\frac{\underline{\delta}-1}{(1+\overline{\gamma}^{-1})^{i}})J^*(x_k)\leq V_i(x_k)\leq(1+\frac{\overline{\delta}-1}{(1+\overline{\gamma}^{-1})^{i}})J^*(x_k)
(1+(1+γ−1)iδ−1)J∗(xk)≤Vi(xk)≤(1+(1+γ−1)iδ−1)J∗(xk)
证明
左边的证明跟上面是一样,只需要证明右边的即可。
V
1
(
x
k
,
u
k
)
=
min
u
k
{
U
(
x
k
,
u
k
)
+
V
0
(
x
k
+
1
)
}
≤
min
u
k
{
U
(
x
k
,
u
k
)
+
δ
‾
J
∗
(
x
k
+
1
)
+
δ
‾
−
1
1
+
γ
‾
(
γ
‾
U
(
x
k
,
u
k
)
−
J
∗
(
x
k
+
1
)
)
}
=
min
u
k
{
(
1
+
δ
‾
−
1
1
+
γ
‾
−
1
)
U
(
x
k
,
u
k
)
+
(
1
+
δ
‾
−
1
1
+
γ
‾
−
1
)
J
∗
(
x
k
)
}
=
(
1
+
δ
‾
−
1
1
+
γ
‾
−
1
)
J
∗
(
x
k
)
\begin{aligned} V_1(x_k,u_k)&=\min_{u_k}\{U(x_k,u_k)+V_0(x_{k+1})\} \\ &\leq\min_{u_k}\{U(x_k,u_k)+\overline{\delta}J^*(x_{k+1})+\frac{\overline{\delta}-1}{1+\overline{\gamma}}(\overline{\gamma}U(x_k,u_k)-J^*(x_{k+1}))\} \\ &=\min_{u_k}\{(1+\frac{\overline{\delta}-1}{1+\overline{\gamma}^{-1}})U(x_k,u_k)+(1+\frac{\overline{\delta}-1}{1+\overline{\gamma}^{-1}})J^*(x_k)\} \\ &=(1+\frac{\overline{\delta}-1}{1+\overline{\gamma}^{-1}})J^*(x_k) \\ \end{aligned}
V1(xk,uk)=ukmin{U(xk,uk)+V0(xk+1)}≤ukmin{U(xk,uk)+δJ∗(xk+1)+1+γδ−1(γU(xk,uk)−J∗(xk+1))}=ukmin{(1+1+γ−1δ−1)U(xk,uk)+(1+1+γ−1δ−1)J∗(xk)}=(1+1+γ−1δ−1)J∗(xk)
假设结论对
i
=
l
−
1
,
l
=
1
,
2
,
⋯
i=l-1,l=1,2,\cdots
i=l−1,l=1,2,⋯ 都成立,则
i
=
l
i=l
i=l 可得
V
l
(
x
k
)
=
min
u
k
{
U
(
x
k
,
u
k
)
+
V
l
−
1
(
x
k
+
1
)
}
≤
min
u
k
{
U
(
x
k
,
u
k
)
+
(
1
+
δ
‾
−
1
(
1
+
γ
‾
−
1
)
l
−
1
)
J
∗
(
x
k
+
1
)
+
δ
‾
−
1
(
1
+
γ
‾
)
(
1
+
γ
‾
−
1
)
l
−
1
(
γ
‾
U
(
x
k
,
u
k
)
−
J
∗
(
x
k
+
1
)
)
}
=
(
1
+
δ
‾
−
1
(
1
+
γ
‾
−
1
)
l
)
J
∗
(
x
k
)
\begin{aligned} V_{l}(x_k)&=\min_{u_k}\{U(x_k,u_k)+V_{l-1}(x_{k+1})\} \\ &\leq \min_{u_k}\{U(x_k,u_k)+(1+\frac{\overline{\delta}-1}{(1+\overline{\gamma}^{-1})^{l-1}})J^*(x_{k+1})+\frac{\overline{\delta}-1}{(1+\overline{\gamma})(1+\overline{\gamma}^{-1})^{l-1}}(\overline{\gamma}U(x_k,u_k)-J^*(x_{k+1}))\} \\ &=(1+\frac{\overline{\delta}-1}{(1+\overline{\gamma}^{-1})^{l}})J^*(x_k) \end{aligned}
Vl(xk)=ukmin{U(xk,uk)+Vl−1(xk+1)}≤ukmin{U(xk,uk)+(1+(1+γ−1)l−1δ−1)J∗(xk+1)+(1+γ)(1+γ−1)l−1δ−1(γU(xk,uk)−J∗(xk+1))}=(1+(1+γ−1)lδ−1)J∗(xk)
因此当
i
=
l
i=l
i=l时成立,证闭。
定理三
重新定义
1
≤
δ
‾
≤
δ
‾
≤
∞
1\leq\underline{\delta}\leq\overline{\delta}\leq\infty
1≤δ≤δ≤∞
满足
(
1
+
δ
‾
−
1
(
1
+
γ
‾
−
1
)
i
)
J
∗
(
x
k
)
≤
V
i
(
x
k
)
≤
(
1
+
δ
‾
−
1
(
1
+
γ
‾
−
1
)
i
)
J
∗
(
x
k
)
(1+\frac{\underline{\delta}-1}{(1+\underline{\gamma}^{-1})^{i}})J^*(x_k)\leq V_i(x_k)\leq(1+\frac{\overline{\delta}-1}{(1+\overline{\gamma}^{-1})^{i}})J^*(x_k)
(1+(1+γ−1)iδ−1)J∗(xk)≤Vi(xk)≤(1+(1+γ−1)iδ−1)J∗(xk)
跟定理一的证明是一样的。
定理四
重新定义
0
≤
δ
‾
≤
δ
‾
≤
∞
0\leq\underline{\delta}\leq\overline{\delta}\leq\infty
0≤δ≤δ≤∞
使下式成立
lim
i
→
∞
V
i
(
x
k
)
=
J
∗
(
x
k
)
\lim_{i\rightarrow\infty}V_i(x_k)=J^*(x_k)
i→∞limVi(xk)=J∗(xk)
证明:
左边的不等式
lim
i
→
∞
{
(
1
+
δ
‾
−
1
(
1
+
γ
‾
−
1
)
i
)
J
∗
(
x
k
)
}
=
lim
i
→
∞
{
(
1
+
δ
‾
−
1
(
1
+
γ
‾
−
1
)
i
)
J
∗
(
x
k
)
}
=
J
∗
(
x
k
)
\lim_{i\rightarrow\infty}\{(1+\frac{\underline{\delta}-1}{(1+\overline{\gamma}^{-1})^{i}})J^*(x_k)\}=\lim_{i\rightarrow\infty}\{(1+\frac{\underline{\delta}-1}{(1+\underline{\gamma}^{-1})^{i}})J^*(x_k)\}=J^*(x_k)
i→∞lim{(1+(1+γ−1)iδ−1)J∗(xk)}=i→∞lim{(1+(1+γ−1)iδ−1)J∗(xk)}=J∗(xk)
右边不等式
lim
i
→
∞
{
(
1
+
δ
‾
−
1
(
1
+
γ
‾
−
1
)
i
)
J
∗
(
x
k
)
}
=
lim
i
→
∞
{
(
1
+
δ
‾
−
1
(
1
+
γ
‾
−
1
)
i
)
J
∗
(
x
k
)
}
=
J
∗
(
x
k
)
\lim_{i\rightarrow\infty}\{(1+\frac{\overline{\delta}-1}{(1+\underline{\gamma}^{-1})^{i}})J^*(x_k)\}=\lim_{i\rightarrow\infty}\{(1+\frac{\overline{\delta}-1}{(1+\overline{\gamma}^{-1})^{i}})J^*(x_k)\}=J^*(x_k)
i→∞lim{(1+(1+γ−1)iδ−1)J∗(xk)}=i→∞lim{(1+(1+γ−1)iδ−1)J∗(xk)}=J∗(xk)
上面的证明可以得出,收敛条件和初值是无关的,因此没有必要获取变量
γ
‾
,
γ
‾
,
δ
‾
\underline{\gamma},\overline{\gamma},\underline{\delta}
γ,γ,δ 和
δ
‾
\overline{\delta}
δ 变量。
定理五
如果
V
1
(
x
k
)
≤
V
0
(
x
k
)
V_1(x_k)\leq V_0(x_k)
V1(xk)≤V0(xk)
则
V
i
+
1
(
x
k
)
≤
V
i
(
x
k
)
V_{i+1}(x_k)\leq V_i(x_k)
Vi+1(xk)≤Vi(xk)
证明
用数学归纳法进行证明:
令
i
=
1
i=1
i=1,可得
V
2
(
x
k
)
=
min
u
k
{
U
(
x
k
,
u
k
)
+
V
1
(
x
k
+
1
)
}
≤
min
u
k
{
U
(
x
k
,
u
k
)
+
V
0
(
x
k
+
1
)
}
=
V
1
(
x
k
)
\begin{aligned} V_2(x_k)&=\min_{u_k}\{U(x_k,u_k)+V_1(x_{k+1})\} \\ &\leq \min_{u_k}\{U(x_k,u_k)+V_0(x_{k+1})\} \\ &=V_1(x_k) \end{aligned}
V2(xk)=ukmin{U(xk,uk)+V1(xk+1)}≤ukmin{U(xk,uk)+V0(xk+1)}=V1(xk)
假设结论对
i
=
l
−
1
,
l
=
1
,
2
,
⋯
i=l-1,l=1,2,\cdots
i=l−1,l=1,2,⋯ 都成立,则
i
=
l
i=l
i=l 可得
V
l
+
1
(
x
k
)
=
min
u
k
{
U
(
x
k
,
u
k
)
+
V
l
(
x
k
+
1
)
}
≤
min
u
k
{
U
(
x
k
,
u
k
)
+
V
l
−
1
(
x
k
+
1
)
}
=
V
l
(
x
k
)
\begin{aligned} V_{l+1}(x_k)&=\min_{u_k}\{U(x_k,u_k)+V_l(x_{k+1})\} \\ &\leq \min_{u_k}\{U(x_k,u_k)+V_{l-1}(x_{k+1})\} \\ &=V_l(x_k) \end{aligned}
Vl+1(xk)=ukmin{U(xk,uk)+Vl(xk+1)}≤ukmin{U(xk,uk)+Vl−1(xk+1)}=Vl(xk)
定理六
如果
V
1
(
x
k
)
≥
V
0
(
x
k
)
V_1(x_k)\geq V_0(x_k)
V1(xk)≥V0(xk)
则
V
i
+
1
(
x
k
)
≥
V
i
(
x
k
)
V_{i+1}(x_k)\geq V_i(x_k)
Vi+1(xk)≥Vi(xk)
证明
用数学归纳法进行证明:
令
i
=
1
i=1
i=1,可得
V
2
(
x
k
)
=
min
u
k
{
U
(
x
k
,
u
k
)
+
V
1
(
x
k
+
1
)
}
≥
min
u
k
{
U
(
x
k
,
u
k
)
+
V
0
(
x
k
+
1
)
}
=
V
1
(
x
k
)
\begin{aligned} V_2(x_k)&=\min_{u_k}\{U(x_k,u_k)+V_1(x_{k+1})\} \\ &\geq \min_{u_k}\{U(x_k,u_k)+V_0(x_{k+1})\} \\ &=V_1(x_k) \end{aligned}
V2(xk)=ukmin{U(xk,uk)+V1(xk+1)}≥ukmin{U(xk,uk)+V0(xk+1)}=V1(xk)
假设结论对
i
=
l
−
1
,
l
=
1
,
2
,
⋯
i=l-1,l=1,2,\cdots
i=l−1,l=1,2,⋯ 都成立,则
i
=
l
i=l
i=l 可得
V
l
+
1
(
x
k
)
=
min
u
k
{
U
(
x
k
,
u
k
)
+
V
l
(
x
k
+
1
)
}
≥
min
u
k
{
U
(
x
k
,
u
k
)
+
V
l
−
1
(
x
k
+
1
)
}
=
V
l
(
x
k
)
\begin{aligned} V_{l+1}(x_k)&=\min_{u_k}\{U(x_k,u_k)+V_l(x_{k+1})\} \\ &\geq \min_{u_k}\{U(x_k,u_k)+V_{l-1}(x_{k+1})\} \\ &=V_l(x_k) \end{aligned}
Vl+1(xk)=ukmin{U(xk,uk)+Vl(xk+1)}≥ukmin{U(xk,uk)+Vl−1(xk+1)}=Vl(xk)
推论
如果 V 1 ( x k ) ≤ V 0 ( x k ) V_1(x_k)\leq V_0(x_k) V1(xk)≤V0(xk),则 V i ( x k ) ≥ J ∗ ( x k ) V_i(x_k)\geq J^*(x_k) Vi(xk)≥J∗(xk)
由定理五可知
V
i
(
x
k
)
≥
V
i
+
1
(
x
k
)
≥
V
i
+
2
(
x
k
)
≥
⋯
≥
V_i(x_k)\geq V_{i+1}(x_k)\geq V_{i+2}(x_k)\geq\cdots\geq
Vi(xk)≥Vi+1(xk)≥Vi+2(xk)≥⋯≥
对于
l
≥
i
l\geq i
l≥i
V
i
(
x
k
)
≥
V
l
(
x
K
)
V_i(x_k)\geq V_l(x_K)
Vi(xk)≥Vl(xK)
可得
V
i
(
x
k
)
≥
lim
l
→
∞
V
l
(
x
k
)
=
J
∗
(
x
k
)
V_i(x_k)\geq\lim_{l\rightarrow\infty}V_l(x_k)=J^*(x_k)
Vi(xk)≥l→∞limVl(xk)=J∗(xk)
同理可得果
V
1
(
x
k
)
≥
V
0
(
x
k
)
V_1(x_k)\geq V_0(x_k)
V1(xk)≥V0(xk),则
V
i
(
x
k
)
≤
J
∗
(
x
k
)
V_i(x_k)\leq J^*(x_k)
Vi(xk)≤J∗(xk)
上述推论,反过来是不成立的。知道初值的大小,是不能决定单调性的。
当满足一些条件也是成立的。
定理七
初值是一个半正定函数
Ψ
(
x
k
)
\Psi(x_k)
Ψ(xk),
v
‾
(
x
k
)
\overline{v}(x_k)
v(xk)是容许控制律,则值函数是不增的函数,
Ψ
(
x
k
)
\Psi(x_k)
Ψ(xk)满足
Ψ
(
x
k
)
=
U
(
x
k
,
v
‾
(
x
k
)
)
+
Ψ
(
x
k
+
1
)
\Psi(x_k)=U(x_k,\overline{v}(x_k))+\Psi(x_{k+1})
Ψ(xk)=U(xk,v(xk))+Ψ(xk+1)
证明:
V
1
(
x
k
)
=
U
(
x
k
,
v
0
(
x
k
)
)
+
V
0
(
x
k
+
1
)
=
min
u
k
{
U
(
x
k
,
u
k
)
+
Ψ
(
x
k
+
1
}
≤
U
(
x
k
,
v
‾
(
x
k
)
)
+
Ψ
(
x
k
+
1
)
=
Ψ
(
x
k
)
\begin{aligned} V_1(x_k)&=U(x_k,v_0(x_k))+V_0(x_{k+1}) \\ &=\min_{u_k}\{U(x_k,u_k)+\Psi(x_{k+1}\} \\ &\leq U(x_k,\overline{v}(x_k))+\Psi(x_{k+1}) \\ &=\Psi(x_k) \end{aligned}
V1(xk)=U(xk,v0(xk))+V0(xk+1)=ukmin{U(xk,uk)+Ψ(xk+1}≤U(xk,v(xk))+Ψ(xk+1)=Ψ(xk)
通过数学归纳法,就可以证明值函数是单调不增的。
通过上面的证明可以看出,如果任意定义一个初始值函数,不满足迭代公式时, U ( x k , v ‾ ( x k ) ) + Ψ ( x k + 1 ) U(x_k,\overline{v}(x_k))+\Psi(x_{k+1}) U(xk,v(xk))+Ψ(xk+1) 的值的大小是未知的,因此比较公式会变成$V_1(x_k) $ 和 U ( x k , v ‾ ( x k ) ) + Ψ ( x k + 1 ) U(x_k,\overline{v}(x_k))+\Psi(x_{k+1}) U(xk,v(xk))+Ψ(xk+1) 进行比较,这才是真正能和 J ∗ ( x k ) J^*(x_k) J∗(xk)进行比较的量,决定当前的单调性的地方。从公式中看出,此时不仅与初值有关,而且和当前控制网络的控制律有关。其实,也可以看做,当前的值迭代问题,又变成了策略迭代了。
如果此时的初始值函数是恒为零的函数, V 1 ( x k ) V_1(x_k) V1(xk)的值就是效用函数,肯定大于零,大于当前的初始值函数。
定理八
终止条件是
∣
V
i
+
1
(
x
k
)
−
V
i
(
x
k
)
∣
≤
ε
|V_{i+1}(x_k)-V_i(x_k)|\leq \varepsilon
∣Vi+1(xk)−Vi(xk)∣≤ε
控制律
v
i
(
x
k
)
v_i(x_k)
vi(xk)是最终一致有界(UUB)。
定义:
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证明
首先当初始值函数
Ψ
(
x
k
)
\Psi(x_k)
Ψ(xk) 是半正定的,则
V
i
(
x
k
)
V_i(x_k)
Vi(xk) 就是正定的。
∣
V
i
+
1
(
x
k
)
−
V
i
(
x
k
)
∣
≤
ε
→
∣
U
(
x
k
,
v
i
(
x
k
)
+
V
i
(
x
k
+
1
)
)
−
V
i
(
x
k
)
∣
≤
ε
−
U
(
x
k
,
v
i
(
x
k
)
)
−
ε
≤
Δ
V
i
(
x
k
)
=
V
i
(
x
k
+
1
)
−
V
i
(
x
k
)
≤
−
U
(
x
k
,
v
i
(
x
k
)
)
+
ε
|V_{i+1}(x_k)-V_i(x_k)|\leq \varepsilon \rightarrow|U(x_k,v_i(x_k)+V_i(x_{k+1}))-V_i(x_k)|\leq\varepsilon\\ -U(x_k,v_i(x_k))-\varepsilon\leq\Delta V_i(x_k)=V_i(x_{k+1})-V_i(x_k)\leq-U(x_k,v_i(x_k))+\varepsilon
∣Vi+1(xk)−Vi(xk)∣≤ε→∣U(xk,vi(xk)+Vi(xk+1))−Vi(xk)∣≤ε−U(xk,vi(xk))−ε≤ΔVi(xk)=Vi(xk+1)−Vi(xk)≤−U(xk,vi(xk))+ε
我们可以很容易的证明当
−
U
(
x
k
,
v
i
(
x
k
)
)
−
ε
≤
Δ
V
i
(
x
k
)
-U(x_k,v_i(x_k))-\varepsilon\leq\Delta V_i(x_k)
−U(xk,vi(xk))−ε≤ΔVi(xk),
V
i
(
x
k
)
V_i(x_k)
Vi(xk)是一个李雅普诺夫函数,此时系统是渐进稳定的。只需要分析
0
≤
Δ
V
i
(
x
k
)
≤
−
U
(
x
k
,
v
i
(
x
k
)
)
+
ε
0\leq\Delta V_i(x_k)\leq-U(x_k,v_i(x_k))+\varepsilon
0≤ΔVi(xk)≤−U(xk,vi(xk))+ε 这一种情形。
由于
V
i
(
x
k
)
V_i(x_k)
Vi(xk) 是正定的,因此一定存在
α
(
∣
∣
x
k
∣
∣
)
\alpha(||x_k||)
α(∣∣xk∣∣) 和
β
(
∣
∣
x
k
∣
∣
)
\beta(||x_k||)
β(∣∣xk∣∣) 满足下面的式子
0
<
α
(
∣
∣
x
k
∣
∣
)
≤
V
i
(
x
k
)
≤
β
(
∣
∣
x
k
∣
∣
)
0<\alpha(||x_k||)\leq V_i(x_k)\leq\beta(||x_k||)
0<α(∣∣xk∣∣)≤Vi(xk)≤β(∣∣xk∣∣)
定义一个新的状态空间
Ω
x
k
=
{
x
k
∣
x
k
∈
R
n
and
U
(
x
k
,
v
i
(
x
k
)
)
≤
ε
}
\Omega_{x_k}=\{x_k|x_k\in R^n~\text{and}~~U(x_k,v_i(x_k))\leq\varepsilon\}
Ωxk={xk∣xk∈Rn and U(xk,vi(xk))≤ε}
由于
U
(
x
k
,
v
i
(
x
k
)
)
U(x_k,v_i(x_k))
U(xk,vi(xk)) 是正定函数,因此
∣
∣
x
k
∣
∣
||x_k||
∣∣xk∣∣ 是有限的,
∣
∣
x
k
∣
∣
||x_k||
∣∣xk∣∣ 是欧几里得范式。定义
ϱ
=
sup
x
k
∈
Ω
x
k
{
∣
∣
x
k
∣
∣
}
\varrho=\sup_{x_k\in \Omega_{x_k}}\{||x_k||\}
ϱ=xk∈Ωxksup{∣∣xk∣∣}
由于
ε
\varepsilon
ε是有限的,
ϱ
\varrho
ϱ 是有限的,对于任意的
ϱ
\varrho
ϱ 满足上式,总存在一个有限的
Γ
\Gamma
Γ,
∣
∣
Γ
∣
∣
≥
∣
∣
ϱ
∣
∣
||\Gamma||\geq||\varrho||
∣∣Γ∣∣≥∣∣ϱ∣∣ ,满足
α
(
∣
∣
Γ
∣
∣
)
≥
β
(
∣
∣
ϱ
∣
∣
)
\alpha(||\Gamma||)\geq\beta(||\varrho||)
α(∣∣Γ∣∣)≥β(∣∣ϱ∣∣)
ϵ
\epsilon
ϵ 满足
ϵ
≥
∣
∣
Γ
∣
∣
\epsilon\geq||\Gamma||
ϵ≥∣∣Γ∣∣,存在
δ
(
ϵ
)
\delta(\epsilon)
δ(ϵ),使
δ
(
ϵ
)
≥
∣
∣
ϱ
∣
∣
\delta(\epsilon)\geq||\varrho||
δ(ϵ)≥∣∣ϱ∣∣ 成立,满足
β
(
δ
)
≤
α
(
ϵ
)
\beta(\delta)\leq\alpha(\epsilon)
β(δ)≤α(ϵ)。因此存在状态
x
k
x_k
xk,
∣
∣
ϱ
∣
∣
≤
∣
∣
x
k
∣
∣
≤
δ
(
ϵ
)
||\varrho||\leq||x_k||\leq\delta(\epsilon)
∣∣ϱ∣∣≤∣∣xk∣∣≤δ(ϵ),满足
α
(
ϵ
)
≥
β
(
δ
)
≥
V
i
(
x
k
)
\alpha(\epsilon)\geq\beta(\delta)\geq V_i(x_k)
α(ϵ)≥β(δ)≥Vi(xk)
当
∣
∣
x
k
∣
∣
≥
∣
∣
ϱ
∣
∣
||x_k||\geq||\varrho||
∣∣xk∣∣≥∣∣ϱ∣∣,可得
V
i
(
x
k
+
1
)
−
V
i
(
x
k
)
≤
0
V_i(x_{k+1})-V_i(x_k)\leq0
Vi(xk+1)−Vi(xk)≤0
因此对于任意
x
k
x_k
xk 满足
∣
∣
ϱ
∣
∣
≤
∣
∣
x
k
∣
∣
≤
δ
(
ϵ
)
||\varrho||\leq||x_k||\leq\delta(\epsilon)
∣∣ϱ∣∣≤∣∣xk∣∣≤δ(ϵ) ,总存在一个
T
>
0
T>0
T>0 满足
α
(
ϵ
)
≥
β
(
δ
)
≥
V
i
(
x
k
)
≥
V
i
(
x
k
+
T
≥
α
(
∣
∣
x
k
+
T
∣
∣
)
)
\alpha(\epsilon)\geq\beta(\delta)\geq V_i(x_k)\geq V_i(x_{k+T}\geq\alpha(||x_{k+T}||))
α(ϵ)≥β(δ)≥Vi(xk)≥Vi(xk+T≥α(∣∣xk+T∣∣))
可以得到
ϵ
>
∣
∣
x
k
+
T
∣
∣
\epsilon>||x_{k+T}||
ϵ>∣∣xk+T∣∣。因此对于任意的
x
k
x_k
xk,满足
∣
∣
x
k
∣
∣
≥
∣
∣
ϱ
∣
∣
||x_k||\geq||\varrho||
∣∣xk∣∣≥∣∣ϱ∣∣ 存在
T
=
1
,
2
,
⋯
T=1,2,\cdots
T=1,2,⋯,使
∣
∣
x
k
+
T
∣
∣
≤
∣
∣
ϱ
∣
∣
||x_{k+T}||\leq||\varrho||
∣∣xk+T∣∣≤∣∣ϱ∣∣ 成立。当
∣
∣
Γ
∣
∣
≥
∣
∣
ϱ
∣
∣
||\Gamma||\geq||\varrho||
∣∣Γ∣∣≥∣∣ϱ∣∣,我们可以获得
∣
∣
x
k
+
T
∣
∣
≤
∣
∣
Γ
∣
∣
||x_{k+T}||\leq||\Gamma||
∣∣xk+T∣∣≤∣∣Γ∣∣,因此定理得证。
这里 0 ≤ Δ V i ( x k ) ≤ − U ( x k , v i ( x k ) ) + ε 0\leq\Delta V_i(x_k)\leq-U(x_k,v_i(x_k))+\varepsilon 0≤ΔVi(xk)≤−U(xk,vi(xk))+ε 可以看出 U ( x k , v i ( x k ) ) ≤ ε U(x_k,v_i(x_k))\leq\varepsilon U(xk,vi(xk))≤ε ,对效用函数进行了限制,当不满足这个不等式时,系统是渐进稳定的,因此系统在这个条件下状态向量有界。
定理九
当满足条件
V
i
+
1
(
x
k
)
−
V
i
(
x
k
)
<
U
(
x
k
,
v
i
(
x
k
)
)
V_{i+1}(x_k)-V_i(x_k)<U(x_k,v_i(x_k))
Vi+1(xk)−Vi(xk)<U(xk,vi(xk))
此时的控制律
v
i
(
x
k
)
v_i(x_k)
vi(xk)是容许控制律。
存在
−
∞
<
θ
<
1
-\infty<\theta<1
−∞<θ<1
V
i
+
1
(
x
k
)
−
V
i
(
x
k
)
<
θ
U
(
x
k
,
v
i
(
x
k
)
)
U
(
x
k
,
v
i
(
x
k
)
)
+
V
i
(
x
k
+
1
)
−
V
i
(
x
k
)
<
θ
U
(
x
k
,
v
i
(
x
k
)
)
V
i
(
x
k
+
1
)
−
V
i
(
x
k
)
<
(
θ
−
1
)
U
(
x
k
,
v
i
(
x
k
)
)
V_{i+1}(x_k)-V_i(x_k)<\theta U(x_k,v_i(x_k)) \\ U(x_k,v_i(x_k))+V_i(x_{k+1})-V_i(x_k)<\theta U(x_k,v_i(x_k)) \\ V_i(x_{k+1})-V_i(x_k)<(\theta-1) U(x_k,v_i(x_k))
Vi+1(xk)−Vi(xk)<θU(xk,vi(xk))U(xk,vi(xk))+Vi(xk+1)−Vi(xk)<θU(xk,vi(xk))Vi(xk+1)−Vi(xk)<(θ−1)U(xk,vi(xk))
因此
V
i
(
x
k
+
1
)
−
V
i
(
x
k
)
<
0
V_i(x_{k+1})-V_i(x_k)<0
Vi(xk+1)−Vi(xk)<0,由李雅普诺夫稳定判据可知,系统是稳定的,故当前的控制是稳定的控制。
{
V
i
(
x
k
+
1
)
−
V
i
(
x
k
)
<
(
θ
−
1
)
U
(
x
k
,
v
i
(
x
k
)
)
V
i
(
x
k
+
2
)
−
V
i
(
x
k
+
1
)
<
(
θ
−
1
)
U
(
x
k
+
1
,
v
i
(
x
k
+
1
)
)
V
i
(
x
k
+
3
)
−
V
i
(
x
k
+
2
)
<
(
θ
−
1
)
U
(
x
k
+
2
,
v
i
(
x
k
+
2
)
)
⋅
⋅
⋅
V
i
(
x
k
+
N
)
−
V
i
(
x
k
+
N
−
1
)
<
(
θ
−
1
)
U
(
x
k
+
N
−
1
,
v
i
(
x
k
+
N
−
1
)
)
\left \{ \begin{array}{cll} V_i(x_{k+1})-V_i(x_k)&<&(\theta-1)U(x_k,v_i(x_k)) \\ V_i(x_{k+2})-V_i(x_{k+1})&<&(\theta-1)U(x_{k+1},v_i(x_{k+1})) \\ V_i(x_{k+3})-V_i(x_{k+2})&<&(\theta-1)U(x_{k+2},v_i(x_{k+2})) \\ \cdot&& \\ \cdot&& \\ \cdot&& \\ V_i(x_{k+N})-V_i(x_{k+N-1})&<&(\theta-1)U(x_{k+N-1},v_i(x_{k+N-1})) \\ \end{array} \right.
⎩⎪⎪⎪⎪⎪⎪⎪⎪⎨⎪⎪⎪⎪⎪⎪⎪⎪⎧Vi(xk+1)−Vi(xk)Vi(xk+2)−Vi(xk+1)Vi(xk+3)−Vi(xk+2)⋅⋅⋅Vi(xk+N)−Vi(xk+N−1)<<<<(θ−1)U(xk,vi(xk))(θ−1)U(xk+1,vi(xk+1))(θ−1)U(xk+2,vi(xk+2))(θ−1)U(xk+N−1,vi(xk+N−1))
可得
V
i
(
x
k
+
N
)
−
V
i
(
x
k
)
<
(
θ
−
1
)
∑
j
=
0
N
U
(
x
k
+
j
,
v
i
(
x
k
+
j
)
)
V_i(x_{k+N})-V_i(x_k)<(\theta-1)\sum_{j=0}^{N}U(x_{k+j},v_i(x_{k+j}))
Vi(xk+N)−Vi(xk)<(θ−1)j=0∑NU(xk+j,vi(xk+j))
当
v
i
(
x
k
)
v_i(x_k)
vi(xk)是稳定的控制,
N
→
∞
N\rightarrow\infty
N→∞时,
x
N
→
0
,
V
i
(
x
k
+
N
)
→
0
x_N\rightarrow0,V_i(x_{k+N})\rightarrow0
xN→0,Vi(xk+N)→0,因此可得
V
i
(
x
k
)
>
(
1
−
θ
)
∑
j
=
0
N
U
(
x
k
+
j
,
v
i
(
x
k
+
j
)
)
V_i(x_k)>(1-\theta)\sum_{j=0}^{N}U(x_{k+j},v_i(x_{k+j}))
Vi(xk)>(1−θ)j=0∑NU(xk+j,vi(xk+j))
对于有限的状态
x
k
x_k
xk,值函数
V
i
(
x
k
)
V_i(x_k)
Vi(xk)都是有限的,因此可以知
∑
j
=
0
N
U
(
x
k
+
j
,
v
i
(
x
k
+
j
)
)
\sum_{j=0}^{N}U(x_{k+j},v_i(x_{k+j}))
∑j=0NU(xk+j,vi(xk+j)) 是有限的,则控制律
v
i
(
x
k
)
v_i(x_k)
vi(xk) 是容许控制律。
定理十
存在一个有限的常数
N
>
0
N>0
N>0 满足
V
N
+
1
(
x
k
)
−
V
N
(
x
k
)
<
U
(
x
k
,
v
N
(
x
k
)
)
V_{N+1}(x_k)-V_N(x_k)<U(x_k,v_N(x_k))
VN+1(xk)−VN(xk)<U(xk,vN(xk))
证明
利用反证法进行证明,对于
N
=
0
,
1
,
⋯
N=0,1,\cdots
N=0,1,⋯,任意
x
‾
k
∈
R
n
\overline{x}_k\in R^n
xk∈Rn,满足
V
N
+
1
(
x
‾
k
)
−
V
N
(
x
‾
k
)
≥
U
(
x
‾
k
,
v
N
(
x
‾
k
)
)
V_{N+1}(\overline{x}_k)-V_N(\overline{x}_k)\geq U(\overline{x}_k,v_N(\overline{x}_k))
VN+1(xk)−VN(xk)≥U(xk,vN(xk))
当
N
→
∞
N\rightarrow\infty
N→∞,根据定理四我们可以得到
lim
N
→
(
V
N
+
1
(
x
‾
k
)
−
V
N
(
x
‾
k
)
)
=
0
\lim_{N\rightarrow}(V_{N+1}(\overline{x}_k)-V_N(\overline{x}_k))=0
limN→(VN+1(xk)−VN(xk))=0 ,根据上式就可以得出
lim
N
→
(
V
N
+
1
(
x
‾
k
)
−
V
N
(
x
‾
k
)
)
=
U
(
x
‾
k
,
v
N
(
x
‾
k
)
)
=
0
\lim_{N\rightarrow}(V_{N+1}(\overline{x}_k)-V_N(\overline{x}_k))=U(\overline{x}_k,v_N(\overline{x}_k))=0
N→lim(VN+1(xk)−VN(xk))=U(xk,vN(xk))=0
对任意
x
‾
k
∈
R
n
\overline{x}_k\in R^n
xk∈Rn 都成立。这与效用函数
U
(
x
k
,
u
k
)
U(x_k,u_k)
U(xk,uk)是正定的相矛盾。所以定理得证。
定理十一
- V i + 1 ( x k ) + V i + j ( x k ) ≥ V i ( x k ) + V i + j + 1 ( x k ) V_{i+1}(x_k)+V_{i+j}(x_k)\geq V_i(x_k)+V_{i+j+1}(x_k) Vi+1(xk)+Vi+j(xk)≥Vi(xk)+Vi+j+1(xk)
- V j ( x k ) ≥ 1 2 ( V j + 1 ( x k ) + V j − 1 ( x k ) ) V_j(x_k)\geq \frac{1}{2}(V_{j+1}(x_k)+V_{j-1}(x_k)) Vj(xk)≥21(Vj+1(xk)+Vj−1(xk))
- Δ V j ( x k ) = V j ( X K ) − V j − 1 ( x k ) \Delta V_j(x_k)=V_j(X_K)-V_{j-1}(x_k) ΔVj(xk)=Vj(XK)−Vj−1(xk),对于所有的 j > i j>i j>i, Δ V j ( x k ) ≥ Δ V j + 1 ( x k ) \Delta V_j(x_k)\geq\Delta V_{j+1}(x_k) ΔVj(xk)≥ΔVj+1(xk)
则 v j ( x k ) v_j(x_k) vj(xk) 是容许的控制。
值函数满足 V i + 1 ( x k ) − V i ( x k ) < U ( x k , v i ( x k ) ) V_{i+1}(x_k)-V_i(x_k)<U(x_k,v_i(x_k)) Vi+1(xk)−Vi(xk)<U(xk,vi(xk))
证明
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(V_{i+j+1}(x_k)-V_{i+j}(x_k))-(V_{i+1}(x_k)-V_i(x_k))\leq0
(Vi+j+1(xk)−Vi+j(xk))−(Vi+1(xk)−Vi(xk))≤0
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(V_{i+j+1}(x_k)-U(x_k,v_{i+j}(x_k)))-V_{i+j}(x_k)\leq V_{i+1}(x_k)-U(x_k,v_i(x_k))-V_i(x_k)+U(x_k,v_i(x_k)) \\ V_{i+j+1}(x_{k+1})-V_{i+j}(x_k)\leq V_{i}(x_{k+1})-V_i(x_k)+U(x_k,v_i(x_k))<0
(Vi+j+1(xk)−U(xk,vi+j(xk)))−Vi+j(xk)≤Vi+1(xk)−U(xk,vi(xk))−Vi(xk)+U(xk,vi(xk))Vi+j+1(xk+1)−Vi+j(xk)≤Vi(xk+1)−Vi(xk)+U(xk,vi(xk))<0
由定理九可知,此控制是容许的控制。
后面这几条定理,都是为了得到 V i ( x k + 1 ) − V i ( x k ) < 0 V_i(x_{k+1})-V_i(x_{k})<0 Vi(xk+1)−Vi(xk)<0的结论,当这个条件满足了,就是李雅普诺夫函数满足了,因此此时肯定是一个稳定的控制。