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Unconstrained optimization
Numerical examples
1
Unconstrained Optimization
Static Optimization
Observation for:
Point 1: Local maximum
Point 2: Point of inflexion
Point 3: Local minimum
Point 4: Local maximum
At all minima/maxima:
APPLIED OPTIMAL CONTROL & STATE ESTIMATION 4
Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Necessary and Sufficient
Conditions for Optimality
Scalar Case:
Performance Index : An analytic function of
Taylor series:
Necessary Condition:
If is a minimum irrespective of the sign of ,
then
HOT
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Necessary and Sufficient
Conditions for Optimality
Q-1: What if
Answer:
Necessary condition
is a point of inflexion
Example – 1:
minimum
APPLIED OPTIMAL CONTROL & STATE ESTIMATION 8
Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Necessary and Sufficient
Conditions for Optimality
Example – 2:
Minimize where
By definition,
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Necessary and Sufficient
Conditions for Optimality
For minimization,
Necessary Condition:
Necessary Condition
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Necessary and Sufficient
Conditions for Optimality
Sufficient Condition:
Eigenvalues: 1,1 at
Solution:
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Constrained Optimization with
Equality Constraints
Constrained Optimization:
Equality Constraint
Problem:
Solution Procedure:
Formulate an augmented cost function
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Constrained Optimization:
Equality Constraint
Necessary Conditions:
Subjected to:
Solution:
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Constrained Optimization with
Equality Constraint: Another Example
Minimize
Subject to
Solution:
Solve:
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Constrained Optimization with
Equality Constraint: Sufficiency Condition
If the equation
Example – 1
Problem:
Solution:
Necessary condition:
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Example – 1
Sufficient condition:
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Example – 2
Problem:
Solution:
Necessary condition:
Sufficient condition:
Example – 2
Necessary condition:
Solution Candidates:
1 0 -1/2
-1 0 1/2
-1/2 1.73/2 1
-1/2 -1.73/2 1
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Example – 2
Case-1:
Conclusion
1 0 -1/2 -3 Maximum
-1 0 1/2 -1 Maximum
-1/2 1.73/2 1 3/2 Minimum
-1/2 -1.73/2 1 3/2 Minimum
APPLIED OPTIMAL CONTROL & STATE ESTIMATION 28
Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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References
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