Paper 4, Section II, K

Optimization and Control | Part II, 2016

State transversality conditions that can be used with Pontryagin's maximum principle and say when they are helpful.

Given TT, it is desired to maximize c1x1(T)+c2x2(T)c_{1} x_{1}(T)+c_{2} x_{2}(T), where

x˙1=u1(a1x1+a2x2),x˙2=u2(a1x1+a2x2),\begin{aligned} &\dot{x}_{1}=u_{1}\left(a_{1} x_{1}+a_{2} x_{2}\right), \\ &\dot{x}_{2}=u_{2}\left(a_{1} x_{1}+a_{2} x_{2}\right), \end{aligned}

and u=(u1,u2)u=\left(u_{1}, u_{2}\right) is a time-varying control such that u10,u20u_{1} \geqslant 0, u_{2} \geqslant 0 and u1+u2=1u_{1}+u_{2}=1. Suppose that x1(0)x_{1}(0) and x2(0)x_{2}(0) are positive, and that 0<a2<a10<a_{2}<a_{1} and 0<c1<c20<c_{1}<c_{2}. Find the optimal control at times close to TT. Show that over [0,T][0, T] the optimal control is constant, or makes exactly one switch, the latter happening if and only if

c2ea2T<c1+a1c2a2(ea2T1)c_{2} e^{a_{2} T}<c_{1}+\frac{a_{1} c_{2}}{a_{2}}\left(e^{a_{2} T}-1\right)

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