Nonlinear Programming and Optimal Control
.f i ! NASA CQNTRACTQR REPORT o* h d I e U NONLINEAR PROGRAMMING AND OPTIMAL CONTROL Prepared under Grant No. NsG-354 by UNIVERSITY OF CALIFORNIA Berkeley, Calif. for ,:, NATIONALAERONAUTICS AND SPACE ADMINISTRATION WASHINGTON, D. C. 0 MAY 1966 TECH LIBRARY KAFB, NY NONLINEAR PROGRAMING AND OPTIMAL CONTROL By Pravin P. Varaiya Distribution of this report is provided in the interest of informationexchange. Responsibility for the contents resides in the author or organization that prepared it. Prepared under Grant No. NsG-354 by UNIVERSITY OF CALIFORNIA Berkeley, Calif. for NATIONAL AERONAUTICS AND SPACE ADMINISTRATION For sale by the Clearinghouse for Federal Scientific and Technical Information Springfield, Virginia 22151 - Price $3.00 I NONLINEAR PROGRAMMING AND OPTIMAL CONTROL Pravin Pratap Varaiya ABSTRACT Considerable effort has been devoted in recent years to three classes of optimization problems. These areas are non- linear programming, optimal control, and solution of large-scale systems via decomposition. We have proposed a model problem which is a generalization of the usual nonlinear programming pro- blem, and which subsumes these three classes. We derive nec- essary conditions for the solution of our problem. These condi- tions, under varying interpretations and assumptions, yield the Kuhn-Tucker theorem and the maximum principle. Furthermore, they enable us to devise decomposition techniques for a class of large convex programming problems. More important than this unification, in our opinion, is the fact that we have been able to develop a point of view which is useful for most optimization problems. Specifically, weshow that there exist sets which we call local cones and local polars (Chapter I), which play a determining role in maximization theories which consider only first variations, and that these theories give varying sets of assumptions under which these sets, or relations between them, can be obtained explicitly.
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