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singular control : ウィキペディア英語版
singular control
In optimal control, problems of singular control are problems that are difficult to solve because a straightforward application of Pontryagin's minimum principle fails to yield a complete solution. Only a few such problems have been solved, such as Merton's portfolio problem in financial economics or trajectory optimization in aeronautics. A more technical explanation follows.
The most common difficulty in applying Pontryagin's principle arises when the Hamiltonian depends linearly on the control u, i.e., is of the form: H(u)=\phi(x,\lambda,t)u+\cdots and the control is restricted to being between an upper and a lower bound: a\le u(t)\le b. To minimize H(u), we need to make u as big or as small as possible, depending on the sign of \phi(x,\lambda,t), specifically:
: u(t) = \begin b, & \phi(x,\lambda,t)<0 \\ ?, & \phi(x,\lambda,t)=0 \\ a, & \phi(x,\lambda,t)>0.\end
If \phi is positive at some times, negative at others and is only zero instantaneously, then the solution is straightforward and is a bang-bang control that switches from b to a at times when \phi switches from negative to positive.
The case when \phi remains at zero for a finite length of time t_1\le t\le t_2 is called the singular control case. Between t_1 and t_2 the maximization of the Hamiltonian with respect to u gives us no useful information and the solution in that time interval is going to have to be found from other considerations. (One approach would be to repeatedly differentiate \partial H/\partial u with respect to time until the control u again explicitly appears, which is guaranteed to happen eventually. One can then set that expression to zero and solve for u. This amounts to saying that between t_1 and t_2 the control u is determined by the requirement that the singularity condition continues to hold. The resulting so-called singular arc will be optimal if it satisfies the Kelley condition:
:(-1)^k \frac \left( \right)}^ H_u \right ) \ge 0 ,\, k=0,1,\cdots
.〔Bryson, Ho: Applied Optimal Control, Page 246〕 This condition is also called the generalized Legendre-Clebsch condition).
The term bang-singular control refers to a control that has a bang-bang portion as well as a singular portion.
==References==


抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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