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mathematical programming techniques to solve problem 1. We solve the gradient
formula of the objective function g 0 ( u )on u before solving the original dynamic
system optimal control problem. When the state values, the co-state values, the
objective function values and the corresponding gradient values of dynamic sys-
tem are known, the sequential quadratic programming (see, for example, [15-21])
is applied to obtain the optimal solution.
3.1 Gradient Formulae
Consider the following system, which is known as the corresponding co-state
system:
∂H 0 ( t, [ x , u 0 ]( t ))
x
T
0 ( t )
dt
=
(10 a )
Boundary conditions are given as:
λ 0 ( t )=0 ,t>T
(10 b )
H 0 is the corresponding Hamiltonian function defined by:
x 1 ( t )) 2 +( x 2 ( t )
x 2 ( t )) 2 +( λ 0 ) T f ( t,x,u )
H 0 ( t,x,u )=( x 1 ( t )
(11)
To solve the dynamical system (3), we divide the interval [0 ,T ]into[0 ,h l ],
[ kh l , ( k +1) h l ], k =1 ,...,η
1,[ ηh l ,T ], where η =INT( T/h l ). The state differ-
ential equation in each subinterval is solved individually.
To solve the co-state system (10), we subdivide the interval [0 ,T ]into[ T
h l ,T ],[ T
ηh l ], where η = Int ( T/h l ).
Then, the co-state system (10) can besolvedoneachshorterinterval.
( k +1) h l ,T
kh l ], k =1 ,...,η
1and[0 ,T
U
and let Δ u be any bounded measurable
Theorem 1. Let u be any control in
h l ,T ] such that Δ u ( t )
R
r for each t
[0 ,T ]and Δ u ( t )=
function defined in [
0 for all t
h l , 0), the directional derivative for the function g 0 is:
[
g 0 ( u + εΔ u ) −g 0 ( u )
ε
= dg 0 ( u + εΔ u )
ε =0
Δg 0 ( u ) = lim
ε
0
(12)
= ∂g 0 ( u )
u
Δ u
= T
0
∂H 0 ( t )
u
Δ u ( t ) dt
where H 0 ( t )= H 0 ( t, x , u ). In [7] we can get the proof of this theorem.
3.2 Control Parameterization
Using the control parameterization method (see, [7] and [12]), we can partition
the time interval [0 ,T ]into q subintervals [ τ j− 1 j ), where j =1 ,...,q .The
control variable can be approximated as:
q
u q ( t )=
σ q,j χ [ τ j− 1 j ) ( t )
(13)
j =1
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