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Equivalence of second order optimality conditions for bang-bang control problems. Part 2 : Proofs, variational derivatives and representations

Osmolovskii N. P., Maurer H.

Control and Cybernetics

2007

Vol. 36, no 1

5-45

In Part 1 of this paper (Osmolovskii and Maurer, 2005), we have summarized the main results on the equivalence of two quadratic forms from which second order necessary and sufficient conditions can be derived for optimal bang-bang control problems. Here, in Part 2, we give detailed proofs and elaborate explicit relations between Lagrange multipliers and elements of the critical cones in both approaches. The main analysis concerns the derivation of formulas for the first and second order derivatives of trajectories with respect to variations of switching times, initial and final time and initial point. This leads to explicit representations of the second order derivatives of the Lagrangian for the induced optimization problem. Based on a suitable transformation, we obtain the elements of the Hessian of the Lagrangian in a form which involves only first order variations of the nominal trajectory. Finally, a careful regrouping of all terms allows us to find the desired equivalence of the two quadratic forms.

Equivalence of second order optimality conditions for bang-bang control problems. Part 1: Main results

Osmolovskii N. P., Maurer H.

Control and Cybernetics

2005

Vol. 34, no 3

927-950

Second order optimality conditions have been derived in the literature in two different forms. Osmolovskii (1988a, 1995, 2000, 2004) obtained second order necessary and sufficient conditions requiring that, a certain quadratic form be positive (semi)-definite on a critical cone. Agrachev, Stefani, Zezza (2002) first, reduced the bang-bang control problem to finite-dimensional optimization and then show that well-known sufficient optimality conditions for this optimization problem supplemented by the strict bang-bang property furnish sufficient conditions for the bang-bang control problem. In this paper, we establish the equivalence of both forms of sufficient conditions and give explicit relations between corresponding Lagrange multipliers and elements of critical cones. Part 1 summarizes the main results while detailed proofs will be given in Part 2.

Second order optimality conditions for bang-bang control problems

Maurer H., Osmolovskii N. P.

Control and Cybernetics

2003

Vol. 32, no 3

555-584

Second order necessary and sufficient optimality conditions for bang-bang control problems have been studied in Milyutin, Osmolovskii (1998). These conditions amount to testing the positive (semi-)definiteness of a quadratic form on a critical cone. The assumptions are appropriate for numerical verification only in some special cases. In this paper, we study various transformations of the quadratic form and the critical cone which will be tailored to different types of control problems in practice. In particular, by means of a solution to a linear matrix differential equation, the quadratic form can be converted to perfect squares. We demonstrate by three practical examples that the conditions obtained can be verified numerically.