最优控制学习笔记3----无约束条件的泛函极值问题

无约束条件的最优控制问题

设函数 x ( t ) x(t) x(t) [ t 0 , t f ] [t_0, t_f] [t0,tf] 区间上连续可到,考虑 Lagrange型性能指标函数 J [ x ( t ) ] = ∫ t 0 t f L [ x ( t ) , x ˙ ( t ) , t ] d t J[x(t)]=\displaystyle\int_{t_0}^{t_f}L[x(t), \dot{x}(t), t]dt J[x(t)]=t0tfL[x(t),x˙(t),t]dt

性能指标变分

设宗量函数 x ( t ) x(t) x(t), x ˙ ( t ) \dot{x}(t) x˙(t) 在极值曲线 x ∗ ( t ) x^*(t) x(t), x ˙ ∗ ( t ) \dot{x}^*(t) x˙(t) 附近发生微小变分 δ x ( t ) \delta x(t) δx(t), δ x ˙ ( t ) \delta \dot{x}(t) δx˙(t), 即
x ( t ) = x ∗ ( t ) + δ x ( t ) , (4) x(t)=x^*(t)+\delta x(t),\tag{4} x(t)=x(t)+δx(t),(4) x ˙ ( t ) = x ˙ ∗ ( t ) + δ x ˙ ( t ) , (5) \dot{x}(t)=\dot{x}^*(t)+\delta \dot{x}(t),\tag{5} x˙(t)=x˙(t)+δx˙(t),(5)则泛函 J [ x ( t ) ] J[x(t)] J[x(t)] 的增量 Δ J [ x ( t ) ] \Delta J[x(t)] ΔJ[x(t)] 可表示为
Δ J [ x ( t ) ] = ∫ t 0 t f { L [ x ( t ) + δ x ( t ) , x ˙ ( t ) + δ x ˙ ( t ) , t ] − L [ x ( t ) , x ˙ ( t ) , t ] } d t = ∫ t 0 t f { ∂ L ∂ x δ x + ∂ L ∂ x ˙ δ x ˙ + o [ ( δ x ) 2 , ( δ x ˙ ) 2 ] } d t \begin{aligned} \Delta J[x(t)]&=\displaystyle\int_{t_0}^{t_f}\{L[x(t)+\delta x(t), \dot{x}(t)+\delta \dot{x}(t), t]-L[x(t), \dot{x}(t),t]\}dt\\ &=\displaystyle\int_{t_0}^{t_f}\{\frac{\partial L}{\partial x}\delta x+\frac{\partial L}{\partial \dot{x}}\delta \dot{x}+o[(\delta x)^2, (\delta \dot{x})^2]\}dt \end{aligned} ΔJ[x(t)]=t0tf{L[x(t)+δx(t),x˙(t)+δx˙(t),t]L[x(t),x˙(t),t]}dt=t0tf{xLδx+x˙Lδx˙+o[(δx)2,(δx˙)2]}dt其中 ∫ t 0 t f ∂ L ∂ x ˙ δ x ˙ d t = ∂ L ∂ x ˙ δ x ∣ t 0 t f − ∫ t 0 t f d d t ( ∂ L ∂ x ˙ ) δ x d t , \begin{aligned} \displaystyle\int_{t_0}^{t_f}\frac{\partial L}{\partial \dot{x}}\delta \dot{x}dt=\frac{\partial L}{\partial \dot{x}}\delta x|_{t_0}^{t_f}-\displaystyle\int_{t_0}^{t_f}\frac{d}{dt}(\frac{\partial L}{\partial \dot{x}})\delta xdt \end{aligned}, t0tfx˙Lδx˙dt=x˙Lδxt0tft0tfdtd(x˙L)δxdt,所以 δ J = ∫ t 0 t f ( ∂ L ∂ x − d d t ( ∂ L ∂ x ˙ ) ) δ x d t + ∂ L ∂ x ˙ δ x ∣ t 0 t f . (6) \delta J=\displaystyle\int_{t_0}^{t_f}(\frac{\partial L}{\partial x}-\frac{d}{dt}(\frac{\partial L}{\partial \dot{x}}))\delta xdt+\frac{\partial L}{\partial \dot{x}}\delta x|_{t_0}^{t_f}.\tag{6} δJ=t0tf(xLdtd(x˙L))δxdt+x˙Lδxt0tf.(6)由泛函极值的必要条件可得,若泛函 J [ x ( t ) ] J[x(t)] J[x(t)] 取得极值,则有 δ J = 0 \delta J=0 δJ=0, 根据(6)式,我们分如下两种情况进行分析。

终端时刻确定的性能指标变分

1. 终端状态固定

此时初始状态 x ( t 0 ) = x 0 x(t_0)=x_0 x(t0)=x0, x ( t f ) = x f x(t_f)=x_f x(tf)=xf。则关于初始条件 x ( t 0 ) x(t_0) x(t0), x ( t f ) x(t_f) x(tf) 的宗量函数 x ( t ) x(t) x(t) 在初始状态以及终端状态的变分满足 δ x ( t 0 ) = δ x ( t f ) = 0 \delta x(t_0)=\delta x(t_f)=0 δx(t0)=δx(tf)=0, 所以 (6)式中 ∂ L ∂ x ˙ δ x ∣ t 0 t f = ( ∂ L ∂ x ˙ ) t = t f δ x ( t f ) − ( ∂ L ∂ x ˙ ) t = t 0 δ x ( t 0 ) = 0. (7) \frac{\partial L}{\partial \dot{x}}\delta x|_{t_0}^{t_f}=(\frac{\partial L}{\partial \dot{x}})_{t=t_f}\delta x(t_f)-(\frac{\partial L}{\partial \dot{x}})_{t=t_0}\delta x(t_0)=0.\tag{7} x˙Lδxt0tf=(x˙L)t=tfδx(tf)(x˙L)t=t0δx(t0)=0.(7)所以在此情况下若要 δ J = 0 \delta J=0 δJ=0,则有
∂ L ∂ x − d d t ( ∂ L ∂ x ˙ ) = 0 , (8) \frac{\partial L}{\partial x}-\frac{d}{dt}(\frac{\partial L}{\partial \dot{x}})=0,\tag{8} xLdtd(x˙L)=0,(8)上式公式 (8) 称为欧拉-拉格朗日方程

2. 终端状态不固定

此时初始条件与终端条件可发生变化,则关于初始条件 x ( t 0 ) x(t_0) x(t0), x ( t f ) x(t_f) x(tf) 的宗量函数 x ( t ) x(t) x(t) 在初始状态以及终端状态的变分不再满足 δ x ( t 0 ) = δ x ( t f ) = 0 \delta x(t_0)=\delta x(t_f)=0 δx(t0)=δx(tf)=0, 即 δ x ( t 0 ) ≠ 0 , δ x ( t f ) ≠ 0. \delta x(t_0)\neq0, \delta x(t_f)\neq0. δx(t0)=0,δx(tf)=0. 此时若要求公式 (6) 等于0,则需要求
( ∂ L ∂ x ˙ ) t = t f δ x ( t f ) = 0 , (9) (\frac{\partial L}{\partial \dot{x}})_{t=t_f}\delta x(t_f)=0,\tag{9} (x˙L)t=tfδx(tf)=0,(9) ( ∂ L ∂ x ˙ ) t = t 0 δ x ( t 0 ) = 0 , (10) (\frac{\partial L}{\partial \dot{x}})_{t=t_0}\delta x(t_0)=0,\tag{10} (x˙L)t=t0δx(t0)=0,(10) δ x \delta x δx 的任意性,(9), (10) 等价于 ( ∂ L ∂ x ˙ ) t = t f = 0 , (11) (\frac{\partial L}{\partial \dot{x}})_{t=t_f}=0,\tag{11} (x˙L)t=tf=0,(11) ( ∂ L ∂ x ˙ ) t = t 0 = 0. (12) (\frac{\partial L}{\partial \dot{x}})_{t=t_0}=0.\tag{12} (x˙L)t=t0=0.(12)公式(11), (12)称为横截条件。
总结:求解无约束条件的泛函极值问题时,若给定了边界条件,则直接应用边界条件,若始端或终端状态的条件未给出,则需要使用始端或终端的横截条件进行求解。求解条件如下表所示:
||边界条件|满足方程:欧拉-拉格朗日方程|
|--|--|--|
|始端固定,终端固定|||
|始端固定,终端自由|,||
|始端自由,终端固定|||
|始端自由,终端自由|||

例题

  • 初始与终端状态固定
    求通过点 ( 0 , 0 ) (0,0) (0,0), ( 1 , 1 ) (1,1) (1,1) 且使 J = ∫ 0 1 ( x 2 + x ˙ 2 ) d t J=\displaystyle \int_0^1(x^2+\dot{x}^2)dt J=01(x2+x˙2)dt取极值的最优轨迹。
    :此处 L ( x ( t ) , x ˙ ( t ) , t ) = x 2 + x ˙ 2 L(x(t), \dot{x}(t), t)=x^2+\dot{x}^2 L(x(t),x˙(t),t)=x2+x˙2, 性能指标函数相应的欧拉-拉格朗日方程为 ∂ L ∂ x − d d t ( ∂ L ∂ x ˙ ) = 0. \frac{\partial L}{\partial x}-\frac{d}{dt}(\frac{\partial L}{\partial \dot{x}})=0. xLdtd(x˙L)=0.则有 2 x − 2 d d t ( x ˙ ) = 0 , 2x-2\frac{d}{dt}(\dot{x})=0, 2x2dtd(x˙)=0, x − x ¨ = 0. x-\ddot{x}=0. xx¨=0. 故求得基解为 e t e^t et, e − t e^{-t} et, 则最优轨迹的通解可表示为 x ( t ) = c 1 e t + c 2 e − t , (13) x(t)=c_1e^t+c_2e^{-t},\tag{13} x(t)=c1et+c2et,(13) 其中 c 1 c_1 c1 c 2 c_2 c2 都为常数。
    将初始条件 x ( 0 ) = 0 x(0)=0 x(0)=0 与终端条件 x ( 1 ) = 1 x(1)=1 x(1)=1 代入方程 (13) 可得: c 1 = 1 e − e − 1 , c 2 = 1 e − 1 − e , c_1=\frac{1}{e-e^{-1}},c_2=\frac{1}{e^{-1}-e}, c1=ee11,c2=e1e1, 故而最优轨迹为 x ( t ) = e t − e − t e − e − 1 . x(t)=\frac{e^t-e^{-t}}{e-e^{-1}}. x(t)=ee1etet.
  • 终端状态不固定
    求使得性能指标 J = ∫ 0 1 ( x ˙ 2 + x ˙ 3 ) d t J=\displaystyle \int_0^1(\dot{x}^2+\dot{x}^3)dt J=01(x˙2+x˙3)dt 取极值的轨迹 x ∗ ( t ) x^*(t) x(t), 并要求 x ∗ ( 0 ) = 0 x^*(0)=0 x(0)=0, 但对 x ∗ ( 1 ) x^*(1) x(1) 没有限制。
    解: 此处始端状态给定,终端状态未给定,所以需要用到始端状态相关的边界条件,终端状态相关的横截条件。这里 L ( x ( t ) , x ˙ ( t ) , t ) = x ˙ 2 + x ˙ 3 L(x(t), \dot{x}(t), t)=\dot{x}^2+\dot{x}^3 L(x(t),x˙(t),t)=x˙2+x˙3,该性质指标函数对应的欧拉-拉格朗日函数为 − d d t ( 2 x ˙ + 3 x ˙ 2 ) = 0 , (14) -\frac{d}{dt}(2\dot{x}+3\dot{x}^2)=0,\tag{14} dtd(2x˙+3x˙2)=0,(14)以及横截条件 ( 2 x ˙ + 3 x ˙ 2 ) t = 1 = 0. (15) (2\dot{x}+3\dot{x}^2)_{t=1}=0.\tag{15} (2x˙+3x˙2)t=1=0.(15)由方程 (14) 可知, 2 x ˙ + 3 x ˙ 2 = 常数 2\dot{x}+3\dot{x}^2=常数 2x˙+3x˙2=常数,则可知 x ∗ ( t ) x^*(t) x(t) 为关于 t t t 的一次函数,设 x ∗ ( t ) = a t + b x^*(t)=at+b x(t)=at+b, 则由 x ∗ ( 0 ) = 0 x^*(0)=0 x(0)=0 可知 b = 0 b=0 b=0。由方程(15)可知 2 a + 3 a 2 = 0 , (16) 2a+3a^2=0,\tag{16} 2a+3a2=0,(16)解得 a = 0 a=0 a=0 a = − 2 3 a=-\frac{2}{3} a=32,所以最优轨迹 x ∗ ( t ) x^*(t) x(t) 可表示为:
    (i) 若 a = 0 a=0 a=0,则 x ∗ ( t ) = 0 x^*(t)=0 x(t)=0;
    (ii) 若 a = − 2 3 a=-\frac{2}{3} a=32,则 x ∗ ( t ) = − 2 3 t x^*(t)=-\frac{2}{3}t x(t)=32t.

终端时刻不确定的性能指标变分

此时性能指标函数 J [ x ( t ) ] = ∫ t 0 t f L [ x ( t ) , x ˙ ( t ) , t ] d t J[x(t)]=\displaystyle\int_{t_0}^{t_f}L[x(t), \dot{x}(t), t]dt J[x(t)]=t0tfL[x(t),x˙(t),t]dt 类似于一个变上限的积分函数。
类似于终端时刻确定时,设宗量函数 x ( t ) x(t) x(t), x ˙ ( t ) \dot{x}(t) x˙(t) 在极值曲线 x ∗ ( t ) x^*(t) x(t), x ˙ ∗ ( t ) \dot{x}^*(t) x˙(t) 附近发生微小变分 δ η ( t ) \delta \eta(t) δη(t), δ η ˙ ( t ) \delta \dot{\eta}(t) δη˙(t), 其中 η ( t ) \eta(t) η(t) 是一个连续可导的任意定义区间内的函数,即
x ( t ) = x ∗ ( t ) + δ η ( t ) , (14) x(t)=x^*(t)+\delta \eta(t),\tag{14} x(t)=x(t)+δη(t),(14)
x ˙ ( t ) = x ˙ ∗ ( t ) + δ η ˙ ( t ) , (15) \dot{x}(t)=\dot{x}^*(t)+\delta \dot{\eta}(t),\tag{15} x˙(t)=x˙(t)+δη˙(t),(15)
取得状态 x ∗ x^* x 的时刻为 t f ∗ t_f^* tf, 状态 x ( t ) x(t) x(t) 对应 时刻 t f t_f tf, 设 t f = t f ∗ + δ ξ ( t f ∗ ) t_f=t_f^*+\delta\xi(t_f^*) tf=tf+δξ(tf)
则泛函 J [ x ( t ) ] J[x(t)] J[x(t)] 的增量 Δ J [ x ∗ ( t ) ] \Delta J[x^*(t)] ΔJ[x(t)] 可表示为
Δ J [ x ∗ ( t ) ] = ∂ J ∂ δ ∣ δ = 0 = ∫ t 0 t f ∗ { L [ x ( t ) , x ˙ ( t ) , t ] − L [ x ∗ ( t ) , x ˙ ∗ ( t ) , t ] } d t + L [ x ∗ ( t f ∗ ) , x ˙ ∗ ( t f ∗ ) , t f ∗ ] ξ ( t f ∗ ) = ∫ t 0 t f ∗ { ∂ L ∂ x δ η + ∂ L ∂ x ˙ δ η ˙ + o [ ( δ η ) 2 , ( δ η ˙ ) 2 ] } d t + L [ x ∗ ( t f ∗ ) , x ˙ ∗ ( t f ∗ ) , t f ∗ ] ξ ( t f ∗ ) \begin{aligned} \Delta J[x^*(t)]&=\frac{\partial J}{\partial \delta}|_{\delta=0}\\ &=\displaystyle\int_{t_0}^{t_f^*}\{L[x(t), \dot{x}(t),t]-L[x^*(t), \dot{x}^*(t),t]\}dt+L[x^*(t_f^*), \dot{x}^*(t_f^*),t_f^*]\xi(t_f^*)\\ &=\displaystyle\int_{t_0}^{t_f^*}\{\frac{\partial L}{\partial x}\delta \eta+\frac{\partial L}{\partial \dot{x}}\delta \dot{\eta}+o[(\delta \eta)^2, (\delta \dot{\eta})^2]\}dt+L[x^*(t_f^*), \dot{x}^*(t_f^*),t_f^*]\xi(t_f^*) \end{aligned} ΔJ[x(t)]=δJδ=0=t0tf{L[x(t),x˙(t),t]L[x(t),x˙(t),t]}dt+L[x(tf),x˙(tf),tf]ξ(tf)=t0tf{xLδη+x˙Lδη˙+o[(δη)2,(δη˙)2]}dt+L[x(tf),x˙(tf),tf]ξ(tf)
其中
∫ t 0 t f ∗ ∂ L ∂ x ˙ δ η ˙ d t = ∂ L ∂ x ˙ δ η ∣ t 0 t f ∗ − ∫ t 0 t f ∗ d d t ( ∂ L ∂ x ˙ ) δ η d t . \begin{aligned} \displaystyle\int_{t_0}^{t_f^*}\frac{\partial L}{\partial \dot{x}}\delta \dot{\eta}dt=\frac{\partial L}{\partial \dot{x}}\delta \eta|_{t_0}^{t_f^*}-\displaystyle\int_{t_0}^{t_f^*}\frac{d}{dt}(\frac{\partial L}{\partial \dot{x}})\delta \eta dt \end{aligned}. t0tfx˙Lδη˙dt=x˙Lδηt0tft0tfdtd(x˙L)δηdt.
因此 δ J \delta J δJ 取得极值的必要条件为:
(1)欧拉-拉格朗日方程:
∂ L ∂ x − d d t ( ∂ L ∂ x ˙ ) = 0 , \frac{\partial L}{\partial x}-\frac{d}{dt}(\frac{\partial L}{\partial \dot{x}})=0, xLdtd(x˙L)=0,
(2) 横截条件:
η ( t ) ∂ L ∂ x ˙ ∣ t 0 t f ∗ + L [ x ∗ ( t f ∗ ) , x ˙ ∗ ( t f ∗ ) , t f ∗ ] ξ ( t f ∗ ) = 0. \eta(t)\frac{\partial L}{\partial \dot{x}}|_{t_0}^{t_f^*}+L[x^*(t_f^*), \dot{x}^*(t_f^*),t_f^*]\xi(t_f^*)=0. η(t)x˙Lt0tf+L[x(tf),x˙(tf),tf]ξ(tf)=0. 通常,无论边界情况如何,泛函极值都必须满足欧拉-拉格朗日方程,只是在不同的情况下会出现不同的边界情况,以下我们分情况进行讨论。

  1. 给定始端状态与终端状态
    在这里插入图片描述
    此时 x ( t 0 ) = x 0 x(t_0)=x_0 x(t0)=x0, η ( t 0 ) = 0 \eta(t_0)=0 η(t0)=0, η ( t f ∗ ) = 0 \eta(t_f^*)=0 η(tf)=0, x ( t f ) = x f x(t_f)=x_f x(tf)=xf, 则可得边界条件与横截条件为
    x ( t 0 ) = x 0 , x ( t f ) = x f , L [ x ( t f ∗ ) , x ˙ ( t f ∗ ) , t f ∗ ] = 0. x(t_0)=x_0, x(t_f)=x_f, L[x(t_f^*), \dot{x}(t_f^*), t_f^*]=0. x(t0)=x0,x(tf)=xf,L[x(tf),x˙(tf),tf]=0.
  2. 始端状态给定,终端状态自由在这里插入图片描述
    此时 x ( t 0 ) = x 0 x(t_0)=x_0 x(t0)=x0, η ( t 0 ) = 0 \eta(t_0)=0 η(t0)=0, η ( t f ∗ ) ≠ 0 \eta(t_f^*)\neq0 η(tf)=0, 则可得边界条件与横截条件为
    x ( t 0 ) = x 0 , ∂ L ∂ x ˙ ∣ t f ∗ = 0 , L [ x ( t f ∗ ) , x ˙ ( t f ∗ ) , t f ∗ ] = 0. x(t_0)=x_0, \frac{\partial L}{\partial \dot{x}}|_{t_f^*}=0, L[x(t_f^*), \dot{x}(t_f^*), t_f^*]=0. x(t0)=x0,x˙Ltf=0,L[x(tf),x˙(tf),tf]=0.
  3. 始端状态给定,终端状态有约束(要求 x ( t f ) = C ( t f ) x(t_f)=C(t_f) x(tf)=C(tf)
    在这里插入图片描述
    x ( t ) = x ∗ ( t ) + ε η ( t ) x(t)=x^*(t)+\varepsilon\eta(t) x(t)=x(t)+εη(t), t f = t f ∗ + ε ξ ( t f ∗ ) t_f=t_f^*+\varepsilon\xi(t_f^*) tf=tf+εξ(tf)则有
    C ( t f ) = x ( t f ) = x ∗ ( t f ) + ε η ( t f ) = x ( t f ∗ + ε ξ ( t f ∗ ) ) = x ∗ ( t f ∗ + ε ξ ( t f ∗ ) ) + ε η ( t f ∗ + ε ξ ( t f ∗ ) ) = C ( t f ∗ + ε ξ ( t f ∗ ) ) \begin{aligned} C(t_f)&=x(t_f)\\ &=x^*(t_f)+\varepsilon\eta(t_f)\\ &=x(t_f^*+\varepsilon\xi(t_f^*))\\ &=x^*(t_f^*+\varepsilon\xi(t_f^*))+\varepsilon\eta(t_f^*+\varepsilon\xi(t_f^*))\\ &=C(t_f^*+\varepsilon\xi(t_f^*))\\ \end{aligned} C(tf)=x(tf)=x(tf)+εη(tf)=x(tf+εξ(tf))=x(tf+εξ(tf))+εη(tf+εξ(tf))=C(tf+εξ(tf))
    上式在 ε = 0 \varepsilon=0 ε=0 处取求导可得
    η ( t f ∗ + ε ξ ( t f ∗ ) ) ∣ ε = 0 = C ( t f ∗ + ε ξ ( t f ∗ ) ) − x ∗ ( t f ∗ + ε ξ ( t f ∗ ) ) ε ∣ ε = 0 = ( C ˙ ( t f ∗ ) − x ˙ ∗ ( t f ∗ ) ) ξ ( t f ∗ ) = η ( t f ∗ ) \begin{aligned} &\eta(t_f^*+\varepsilon\xi(t_f^*))|_{\varepsilon=0}\\ &=\frac{C(t_f^*+\varepsilon\xi(t_f^*))-x^*(t_f^*+\varepsilon\xi(t_f^*))}{\varepsilon}|_{\varepsilon=0}\\ &=(\dot{C}(t_f^*)-\dot{x}^*(t_f^*))\xi(t_f^*)\\ &=\eta(t_f^*) \end{aligned} η(tf+εξ(tf))ε=0=εC(tf+εξ(tf))x(tf+εξ(tf))ε=0=(C˙(tf)x˙(tf))ξ(tf)=η(tf)则可得边界条件与横截条件为
    { x ( t 0 ) = x 0 , x ( t f ) = C ( t f ) , ( C ˙ ( t f ∗ ) − x ˙ ∗ ( t f ∗ ) ) ∂ L ∂ x ˙ ∣ t f ∗ + L [ x ∗ ( t f ∗ ) , x ˙ ∗ ( t f ∗ ) , t f ∗ ] = 0. \begin{cases} x(t_0)=x_0,\\ x(t_f)=C(t_f),\\ (\dot{C}(t_f^*)-\dot{x}^*(t_f^*))\frac{\partial L}{\partial \dot{x}}|_{t_f^*}+L[x^*(t_f^*), \dot{x}^*(t_f^*),t_f^*]=0.\\ \end{cases} x(t0)=x0,x(tf)=C(tf),(C˙(tf)x˙(tf))x˙Ltf+L[x(tf),x˙(tf),tf]=0.
  4. 始端状态有约束(要求 x ( t 0 ) = Φ ( t 0 ) x(t_0)=\Phi(t_0) x(t0)=Φ(t0)),终端状态固定
    在这里插入图片描述

x ( t ) = x ∗ ( t ) + ε η ( t ) x(t)=x^*(t)+\varepsilon\eta(t) x(t)=x(t)+εη(t), t 0 = t 0 ∗ + ε ξ ( t 0 ∗ ) t_0=t_0^*+\varepsilon\xi(t_0^*) t0=t0+εξ(t0)则有
Φ ( t 0 ) = x ( t 0 ) = x ∗ ( t 0 ) + ε η ( t 0 ) = x ( t 0 ∗ + ε ξ ( t 0 ∗ ) ) = x ∗ ( t 0 ∗ + ε ξ ( t 0 ∗ ) ) + ε η ( t 0 ∗ + ε ξ ( t 0 ∗ ) ) = C ( t 0 ∗ + ε ξ ( t 0 ∗ ) ) \begin{aligned} \Phi(t_0)&=x(t_0)\\ &=x^*(t_0)+\varepsilon\eta(t_0)\\ &=x(t_0^*+\varepsilon\xi(t_0^*))\\ &=x^*(t_0^*+\varepsilon\xi(t_0^*))+\varepsilon\eta(t_0^*+\varepsilon\xi(t_0^*))\\ &=C(t_0^*+\varepsilon\xi(t_0^*))\\ \end{aligned} Φ(t0)=x(t0)=x(t0)+εη(t0)=x(t0+εξ(t0))=x(t0+εξ(t0))+εη(t0+εξ(t0))=C(t0+εξ(t0))
上式在 ε = 0 \varepsilon=0 ε=0 处取求导可得
η ( t 0 ∗ + ε ξ ( t 0 ∗ ) ) ∣ ε = 0 = C ( t 0 ∗ + ε ξ ( t 0 ∗ ) ) − x ∗ ( t 0 ∗ + ε ξ ( t 0 ∗ ) ) ε ∣ ε = 0 = ( C ˙ ( t 0 ∗ ) − x ˙ ∗ ( t 0 ∗ ) ) ξ ( t 0 ∗ ) = η ( t 0 ∗ ) \begin{aligned} &\eta(t_0^*+\varepsilon\xi(t_0^*))|_{\varepsilon=0}\\ &=\frac{C(t_0^*+\varepsilon\xi(t_0^*))-x^*(t_0^*+\varepsilon\xi(t_0^*))}{\varepsilon}|_{\varepsilon=0}\\ &=(\dot{C}(t_0^*)-\dot{x}^*(t_0^*))\xi(t_0^*)\\ &=\eta(t_0^*) \end{aligned} η(t0+εξ(t0))ε=0=εC(t0+εξ(t0))x(t0+εξ(t0))ε=0=(C˙(t0)x˙(t0))ξ(t0)=η(t0)则可得边界条件与横截条件为
{ x ( t f ) = x f , x ( t 0 ) = Φ ( t f ) , ( Φ ˙ ( t 0 ∗ ) − x ˙ ∗ ( t 0 ∗ ) ) ∂ L ∂ x ˙ ∣ t 0 ∗ + L [ x ∗ ( t 0 ∗ ) , x ˙ ∗ ( t 0 ∗ ) , t 0 ∗ ] = 0. \begin{cases} x(t_f)=x_f,\\ x(t_0)=\Phi(t_f),\\ (\dot{\Phi}(t_0^*)-\dot{x}^*(t_0^*))\frac{\partial L}{\partial \dot{x}}|_{t_0^*}+L[x^*(t_0^*), \dot{x}^*(t_0^*),t_0^*]=0.\\ \end{cases} x(tf)=xf,x(t0)=Φ(tf),(Φ˙(t0)x˙(t0))x˙Lt0+L[x(t0),x˙(t0),t0]=0.
总结:在终端时刻不确定的条件下,求解无约束条件的泛函极值问题时,若给定了边界条件,则直接应用边界条件,若始端或终端状态的条件未给出,则需要使用始端或终端的横截条件进行求解。求解条件如下表所示:
||边界条件|
|--|--|
|给定始端状态与终端状态||
|始端状态给定终端状态自由|,,|
|始端状态给定,终端状态有约束(要求 )||
|始端状态有约束(要求 ),终端状态固定||

例题

求使性能指标 J = ∫ t 0 t f ( 1 + x ˙ 2 ) 1 2 d t J=\displaystyle \int_{t_0}^{t_f}(1+\dot{x}^2)^{\frac{1}{2}}dt J=t0tf(1+x˙2)21dt 为极小时的最优轨线 x ∗ ( t ) x^*(t) x(t)。设 x ( 0 ) = 1 , x ( t f ) = C ( t f ) , C ( t f ) = 2 − t x(0)=1, x(t_f)=C(t_f), C(t_f)=2-t x(0)=1,x(tf)=C(tf),C(tf)=2t, t f t_f tf 未给定。
解题思路 本题为无约束条件,始端状态时刻给定,终端状态有约束,终端时刻自由的泛函极值问题。
L ( x , x ˙ , t ) = ( 1 + x ˙ 2 ) 1 2 L(x,\dot{x},t)=(1+\dot{x}^2)^{\frac{1}{2}} L(x,x˙,t)=(1+x˙2)21。则可得欧拉-拉格朗日方程为 ∂ L ∂ x − d d t ∂ L ∂ x ˙ = 0 , (e1) \frac{\partial L}{\partial x}-\frac{d}{dt}\frac{\partial L}{\partial \dot{x}}=0,\tag{e1} xLdtdx˙L=0,(e1)可得 − d d t ( x ˙ ( 1 + x ˙ 2 ) 1 2 ) = 0 , (e2) -\frac{d}{dt}(\frac{\dot{x}}{(1+\dot{x}^2)^{\frac{1}{2}}})=0,\tag{e2} dtd((1+x˙2)21x˙)=0,(e2)则有 x ˙ ( 1 + x ˙ 2 ) 1 2 = c , (e3) \frac{\dot{x}}{(1+\dot{x}^2)^{\frac{1}{2}}}=c,\tag{e3} (1+x˙2)21x˙=c,(e3) x ˙ 2 = c 2 1 − c 2 , c 2 ≠ 1. (e4) \dot{x}^2=\frac{c^2}{1-c^2}, c^2\neq1.\tag{e4} x˙2=1c2c2,c2=1.(e4) x ˙ \dot{x} x˙ 为常数,进而可知 x ( t ) x(t) x(t) 为一次函数形式,设 x ( t ) = a t + b , (e5) x(t)=at+b, \tag{e5} x(t)=at+b,(e5)代入初始条件 x ( 0 ) = 1 x(0)=1 x(0)=1 可得 b = 1 b=1 b=1。由横截条件 ( c ˙ ( t f ) − x ˙ ( t f ) ) ∂ L ∂ x ˙ ∣ t f = t f ∗ + L ( x ( t f ) , x ˙ ( t f ) , t f ) = 0 , (\dot{c}(t_f)-\dot{x}(t_f))\frac{\partial L}{\partial \dot{x}}|t_f=t_f^*+L(x(t_f),\dot{x}(t_f),t_f)=0, (c˙(tf)x˙(tf))x˙Ltf=tf+L(x(tf),x˙(tf),tf)=0,可得 ( − 1 − a ) [ a ( 1 + a 2 ) 1 2 ] + ( 1 + a 2 ) 1 2 = 0 , (-1-a)[\frac{a}{(1+a^2)^{\frac{1}{2}}}]+(1+a^2)^{\frac{1}{2}}=0, (1a)[(1+a2)21a]+(1+a2)21=0,整理可得 a ( a − 1 ) ( a + 2 ) = 0 , (e6) a(a-1)(a+2)=0,\tag{e6} a(a1)(a+2)=0,(e6)由(e6)可知 a = 0 a=0 a=0, 或 a = 1 a=1 a=1 a = − 1 a=-1 a=1. 经验算可知 a = − 1 a=-1 a=1 时,不满足终端约束 x ( t f ) = c ( t f ) x(t_f)=c(t_f) x(tf)=c(tf),即会有 − t f + 1 = 2 − t f -t_f+1=2-t_f tf+1=2tf。所以 a = 0 a=0 a=0, 或 a = 1 a=1 a=1
(1)当 a = 0 a=0 a=0 时,最优轨迹为 x ( t ) = 1 x(t)=1 x(t)=1, 代入条件 x ( t f ) = c ( t f ) x(t_f)=c(t_f) x(tf)=c(tf),得最优时刻为 t f ∗ = 1 t_f^*=1 tf=1
(2)当 a = 1 a=1 a=1 时,最优轨迹为 x ( t ) = t + 1 x(t)=t+1 x(t)=t+1, 代入条件 x ( t f ) = c ( t f ) x(t_f)=c(t_f) x(tf)=c(tf),得最优时刻为 t f ∗ = 1 2 t_f^*=\frac{1}{2} tf=21

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