On the Minimization of Convex Functionals of Probability Distributions Under Band Constraints

The problem of minimizing convex functionals of probability distributions is solved under the assumption that the density of every distribution is bounded from above and below. A system of sufficient and necessary first-order optimality conditions as well as a bound on the optimality gap of feasible candidate solutions are derived. Based on these results, two numerical algorithms are proposed that iteratively solve the system of optimality conditions on a grid of discrete points. Both algorithms use a block coordinate descent strategy and terminate once the optimality gap falls below the desired tolerance. While the first algorithm is conceptually simpler and more efficient, it is not guaranteed to converge for objective functions that are not strictly convex. This shortcoming is overcome in the second algorithm, which uses an additional outer proximal iteration, and, which is proven to converge under mild assumptions. Two examples are given to demonstrate the theoretical usefulness of the optimality conditions as well as the high efficiency and accuracy of the proposed numerical algorithms.Comment: 13 pages, 5 figures, 2 tables, published in the IEEE Transactions on Signal Processing. In previous versions, the example in Section VI.B contained some mistakes and inaccuracies, which have been fixed in this versio

Guidance, flight mechanics and trajectory optimization. Volume 4 - The calculus of variations and modern applications

Guidance, flight mechanics, and trajectory optimization - calculus of variations and modern application

The Variational Calculus on Time Scales

The discrete, the quantum, and the continuous calculus of variations, have been recently unified and extended by using the theory of time scales. Such unification and extension is, however, not unique, and two approaches are followed in the literature: one dealing with minimization of delta integrals; the other dealing with minimization of nabla integrals. Here we review a more general approach to the calculus of variations on time scales that allows to obtain both delta and nabla results as particular cases.Comment: 15 pages; Published in: Int. J. Simul. Multidisci. Des. Optim. 4 (2010), 11--2

Geodesic boundary value problems with symmetry

This paper shows how left and right actions of Lie groups on a manifold may be used to complement one another in a variational reformulation of optimal control problems equivalently as geodesic boundary value problems with symmetry. We prove an equivalence theorem to this effect and illustrate it with several examples. In finite-dimensions, we discuss geodesic flows on the Lie groups SO(3) and SE(3) under the left and right actions of their respective Lie algebras. In an infinite-dimensional example, we discuss optimal large-deformation matching of one closed curve to another embedded in the same plane. In the curve-matching example, the manifold \Emb(S^1, \mathbb{R}^2) comprises the space of closed curves $S^1$ embedded in the plane $\mathbb{R}^2$. The diffeomorphic left action \Diff(\mathbb{R}^2) deforms the curve by a smooth invertible time-dependent transformation of the coordinate system in which it is embedded, while leaving the parameterisation of the curve invariant. The diffeomorphic right action \Diff(S^1) corresponds to a smooth invertible reparameterisation of the $S^1$ domain coordinates of the curve. As we show, this right action unlocks an important degree of freedom for geodesically matching the curve shapes using an equivalent fixed boundary value problem, without being constrained to match corresponding points along the template and target curves at the endpoint in time.Comment: First version -- comments welcome

Generalized Hamilton-Jacobi equations for nonholonomic dynamics

Employing a suitable nonlinear Lagrange functional, we derive generalized Hamilton-Jacobi equations for dynamical systems subject to linear velocity constraints. As long as a solution of the generalized Hamilton-Jacobi equation exists, the action is actually minimized (not just extremized)

Caratheodory-Equivalence, Noether Theorems, and Tonelli Full-Regularity in the Calculus of Variations and Optimal Control

We study, in a unified way, the following questions related to the properties of Pontryagin extremals for optimal control problems with unrestricted controls: i) How the transformations, which define the equivalence of two problems, transform the extremals? ii) How to obtain quantities which are conserved along any extremal? iii) How to assure that the set of extremals include the minimizers predicted by the existence theory? These questions are connected to: i) the Caratheodory method which establishes a correspondence between the minimizing curves of equivalent problems; ii) the interplay between the concept of invariance and the theory of optimality conditions in optimal control, which are the concern of the theorems of Noether; iii) regularity conditions for the minimizers and the work pioneered by Tonelli.Comment: 24 pages, Submitted for publication in a Special Issue of the J. of Mathematical Science