OPTIMAL CONTROL THEORY

Homework II




1. In the question, nearest point to the origin is being asked. Therefore the cost function
can be stated as follows
2 2 2
J x y z = + +
However, the nearest point to the origin must be on the intersection of two following
planes:
1
2 1
x y z
x y z
+ + =
+ =

If equations of planes are taken to be the constraints to an optimization problem,
augmented performance index becomes as stated below
2 2 2
1 2
( ) ( 2 )
A
J x y z x y z x y z = + + + + + + +
The optimization parameters are x, y and z, therefore first order conditions for the
extremum of J
A
are as follows,
1 2
1 2
1 2
1
2
0 2 ,
0 2 ,
0 2 2 ,
1 ,
1 2
A
A
A
A
A
J
x
x
J
y
y
J
z
z
J
x y z
J
x y z

c
= = + +
c
c
= = +
c
c
= = + +
c
c
= = + +
c
c
= = +
c

Given these relationships, the following solution can be acquired.
1 2
5 3 3 4 1
{ , , , , }
14 14 7 7 7
x y z


2.
a) The problem is a variable-end point functional optimization problem. The Euler
equation for the functional J must be found using the derivatives below
2 2
2 4
2 8 , 2 2 , 2 2
. 2 8 2 2 0 8 2
x xx x
d
x x x x x x
x x dt x
E E x x x x x x
|
| | | | |
|
\ .
= + +
c c c
= + = + = +
c c c
+ = =

By manipulating found Euler Equation, the optimal function can be found.
2
1,2
* 2 2
1 2
4 ( 4) 0 2
t t
x x X s s
x c e c e

= = =
= +
L

Using boundary conditions and transversality equation, the coefficients of the function
can be found.
* *
* *
2
* *
1 2
4 4 4 4
1 2 1 2
4
1 1 2
. . (0) 1
( , , )
. . 0 2 2
0
2 0 0 1
f
f f
t
f f
BC x
x x t
T E x x
x
x x
c c
c e c e c e c e
c e c c
|
=

= =
c
= = +
c
+ = = + +
= = =
+

Therefore the function that minimizes functional J is found as below.
* 2
( )
t
t x e

=


b) This time the problem similar but the final time is variable. Thus, transversality
equation will be different.
Euler Equation for the functional is found as stated below.
2
0.5 2
2, ,
. 2 0 2
x x
d
x x
x x dt x
E E x x
|
| | | | |
|
\ .
= +
c c c
= = =
c c c
= =

By integrating the last equation, the solution yields.
2
*
1
*
1 2
( )
( )
2 t
t t
x t c
x t c c +
= +
= +

Using boundary conditions and transversality equation, the coefficients of the
optimal function can be found.
* 2
* *
* * *
* * * *
2 2 2
1 2
1 2
2 2 2
1 1 1
. . (1) 4 1
( ) 4
( , , )
. . ( , , ) 0
0 0.5 8 0.5
16 ( ) 4 4
2
2
f f
f f f
f f f f
BC x
x T T
x x t
T E x x t x
x
T T
c c
T c c
x x x x
T c c c
|
|
= = +
= = +
c
=
c
= =
= = + +
+
+
+
+

If we stack and solve these three equations with three variables the possible
solution in which, 1 T > would be solution.
2
2 2
1 2
1 2
1 1
3
4
16 4 4 T T
c c
T Tc c
c c
= +
= +
= + +
+
Above equations yield three possible solutions. The one with star is the solution.
1 2
1 2
1 2
{ 2, 1, 1},
{ 2, 1, 3},
*{ 6, 9, 5}
T
T
T
c c
c c
c c




Therefore the optimal solution is finally found as below.
2 2 *
( ) 6 9 ( 3) t t t x t + = = +

3. The problem can be solved using direct substitution technique. u should be written in
terms of x and x
u x x + =
Then integrand of performance index becomes as in the following equation.
2 2
1
( )
3
x x x | = + +
Therefore Euler Equation is found as stated below.
8 2 2 2 2 2
3 3 3 3 3 3
4
, ,
8 2 2 2
. 0
3 3 3 3
x x x x
x
d
x x
x x dt x
E E x x x x
x
| | | | |
+
|
\ .
c c c
= = + = +
c c c
+ =
=

Solving this differential equation can be done by using Laplace transform
2
1,2
* 2 2
1 2
( )
4 ( 4) 0 2
t t
t
x x X s s
x c e c e

= = =
= +
L

The coefficients are to be found thanks to boundary conditions.
2 2
4
4
4
4
1 2
1 2
1 1
2
. . (0) 1
(1) 0
1
1 ( 1)
( 1)
( 1)
BC x
x e e
e
e
e
e
c c
c c
c c
c

= = +
= = +
= + =
+
=
+

Therefore optimal x and u are found to be as given below.
4
4 4
4
* 2 2
* 2
1
( )
( 1) ( 1)
2
( )
1
t t
t
e
t
e e
u t
e
x e e
e

+ +
+
= +
=

4.
a) Cost operation over the last stage

Current
State
x(1)
Control
u(1)
Next State
(2) 0.5 (1) (1) x u x + =
Cost
2
21
(2) (1) 4 J x u + =
Min
Cost
Optimal
Control
applied
at k=1
2 2
1
0
-1
-2
3
2
1
0
-1
16
9
4
1
8
1 -1
1 2
1
0
-1
-2
None apply the
constraint quantized
levels


0 2
1
0
-1
-2
2
1
0
-1
-2
12
5
0
5
12
0 0
-1 2
1
0
-1
-2
None apply the
constraint quantized
levels


-2 2
1
0
-1
-2
1
0
-1
-2
-3
8
1
4
9
16
1 1


Cost operation over the last two stage

Current
State
x(0)
Control
u(0)
Next State
(1) 0.5 (0) (0) x u x + =
Cost
2 2
20
(2) (1) (0) 4 J x u u + + =
Min
Cost
Optimal
Control
applied
at k=0
2 1
0
-1
-2
2
1
0
-1
1+1=2
X
0+1=1
X
1 -1
1 2
1
0
-1
-2
None apply the
constraint quantized
levels


0 2
1
0
-1
-2
2
1
0
-1
-2
1+4=5
X
0+0=0
X
1+4=5
0 0
-1 2
1
0
-1
-2
None apply the
constraint quantized
levels


-2 2
1
0
-1
1
0
-1
-2
X
0+1=1
X
1+1=2
1 1
b)
For x(0)=2 the table shows that the optimal control signal at k=0 is -1. The next
stage, for k=1, x(1) becomes 0. For x(1)=0 the optimal control is 0, with min cost.
Therefore, the last state x(2) rests at 0. Thus the optimal control sequence for
x(0)=2 is,
*
{ 1, 0} u =

With cost of 1 in total.