Characterization of a local quadratic growth of the Hamiltonian for control constrained optimal control problems

International audienceWe consider an optimal control problem with inequality control constraints given by smooth functions satisfying the hypothesis of linear independence of gradients of active constraints. For this problem, we formulate a generalization of strengthened Legendre condition and prove that this generalization is equivalent to the condition of a local quadratic growth of the Hamiltonian subject to control constraints.Nous considérons un problème de commande optimale avec inégalités sur la commande définies par des fonctions lisses satisfaisant l'hypothèse d'indépendance linéaire des gradients des contraintes actives. Pour ce problème, nous formulons une généralisation de la condition de Legendre forte, et prouvons que cette généralisation est équivalente à la croissance quadratique du hamiltonien soumise aux contraintes sur la commande

State-constrained control-affine parabolic problems I: First and second order necessary optimality conditions

In this paper we consider an optimal control problem governed by a semilinear heat equation with bilinear control-state terms and subject to control and state constraints. The state constraints are of integral type, the integral being with respect to the space variable. The control is multidimensional. The cost functional is of a tracking type and contains a linear term in the control variables. We derive second order necessary conditions relying on the concept of alternative costates and quasi-radial critical directions

On the time discretization of stochastic optimal control problems: The dynamic programming approach

In this work, we consider the time discretization of stochastic optimal control problems. Under general assumptions on the data, we prove the convergence of the value functions associated with the discrete time problems to the value function of the original problem. Moreover, we prove that any sequence of optimal solutions of discrete problems is minimizing for the continuous one. As a consequence of the Dynamic Programming Principle for the discrete problems, the minimizing sequence can be taken in discrete time feedback form.Fil: Joseph Frédéric, Bonnans. Institut National de Recherche en Informatique et en Automatique; Francia. Centre National de la Recherche Scientifique; Francia. Université Paris-Saclay; FranciaFil: Gianatti, Justina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Rosario. Centro Internacional Franco Argentino de Ciencias de la Información y de Sistemas. Universidad Nacional de Rosario. Centro Internacional Franco Argentino de Ciencias de la Información y de Sistemas; ArgentinaFil: Silva, Francisco J.. Centre National de la Recherche Scientifique; Francia. Universite de Limoges; Franci

State-constrained control-affine parabolic problems II: Second order sufficient optimality conditions

In this paper we consider an optimal control problem governed by a semilinear heat equation with bilinear control-state terms and subject to control and state constraints. The state constraints are of integral type, the integral being with respect to the space variable. The control is multidimensional. The cost functional is of a tracking type and contains a linear term in the control variables. We derive second order sufficient conditions relying on the Goh transform

A Stochastic Continuous Time Model for Microgrid Energy Management

International audienceWe propose a novel stochastic control formulation for the microgrid energy management problem and extend previous works on continuous time rolling horizon strategy to uncertain demand. We modelize the demand dynamics with a stochastic differential equation. We decompose this dynamics into three terms: an average drift, a time-dependent mean-reversion term and a Brownian noise. We use BOCOPHJB for the numerical simulations. This optimal control toolbox implements a semi-Lagrangian scheme and handle the optimization of switching times required for the discrete on/off modes of the diesel generator. The scheme allows for an accurate modelling and is computationally cheap as long as the state dimension is small. As described in previous works, we use a trick to reduce the search of the optimal control values to six points. This increases the computation speed by several orders. We compare this new formulation with the deterministic control approach introduced in [1] using data from an isolated microgrid located in northern Chile

Characterization of a local quadratic growth of the Hamiltonian for control constrained optimal control problems

International audienceWe consider an optimal control problem with inequality control constraints given by smooth functions satisfying the hypothesis of linear independence of gradients of active constraints. For this problem, we formulate a generalization of strengthened Legendre condition and prove that this generalization is equivalent to the condition of a local quadratic growth of the Hamiltonian subject to control constraints.Nous considérons un problème de commande optimale avec inégalités sur la commande définies par des fonctions lisses satisfaisant l'hypothèse d'indépendance linéaire des gradients des contraintes actives. Pour ce problème, nous formulons une généralisation de la condition de Legendre forte, et prouvons que cette généralisation est équivalente à la croissance quadratique du hamiltonien soumise aux contraintes sur la commande

First and second order optimality conditions for optimal control problems of state constrained integral equations

This paper deals with optimal control problems of integral equations, with initial-final and running state constraints. The order of a running state constraint is defined in the setting of integral dynamics, and we work here with constraints of arbitrary high orders. First and second-order necessary conditions of optimality are obtained, as well as second-order sufficient conditions

Large-scale nonconvex optimization: randomization, gap estimation, and numerical resolution

We address a large-scale and nonconvex optimization problem, involving an aggregative term. This term can be interpreted as the sum of the contributions of N agents to some common good, with N large. We investigate a relaxation of this problem, obtained by randomization. The relaxation gap is proved to converge to zeros as N goes to infinity, independently of the dimension of the aggregate. We propose a stochastic method to construct an approximate minimizer of the original problem, given an approximate solution of the randomized problem. McDiarmid's concentration inequality is used to quantify the probability of success of the method. We consider the Frank-Wolfe (FW) algorithm for the resolution of the randomized problem. Each iteration of the algorithm requires to solve a subproblem which can be decomposed into N independent optimization problems. A sublinear convergence rate is obtained for the FW algorithm. In order to handle the memory overflow problem possibly caused by the FW algorithm, we propose a stochastic Frank-Wolfe (SFW) algorithm, which ensures the convergence in both expectation and probability senses. Numerical experiments on a mixed-integer quadratic program illustrate the efficiency of the method.Comment: 25 pages, 3 figure