Lecture – 2
An Overview of Static Optimization – I
Prof. Radhakant Padhi
Dept. of Aerospace Engineering
Indian Institute of Science - Bangalore
Topics
Unconstrained optimization
Constrained optimization with
equality constraints
Numerical examples
APPLIED OPTIMAL CONTROL & STATE ESTIMATION 2
Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Unconstrained Optimization
Prof. Radhakant Padhi
Dept. of Aerospace Engineering
Indian Institute of Science - Bangalore
Static Optimization
Observation for:
Point 1: Local maximum
Point 2: Point of inflexion
Point 3: Local minimum
Point 4: Local maximum
Point 3: Global minimum
Point 4: Global maximum
At all minima/maxima:
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Necessary and Sufficient
Conditions for Optimality
Scalar Case:
Performance Index : An analytic function of
Taylor series:
Necessary Condition:
If is a minimum irrespective of the sign of ,
then
APPLIED OPTIMAL CONTROL & STATE ESTIMATION 5
Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Necessary and Sufficient
Conditions for Optimality
Sufficient Condition:
HOT
if (sufficiency condition for local minimum)
Similarly, if it leads to a local maximum
APPLIED OPTIMAL CONTROL & STATE ESTIMATION 6
Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Necessary and Sufficient
Conditions for Optimality
Q-1: What if
Answer:
Necessary condition
Sufficient condition (for minimization)
APPLIED OPTIMAL CONTROL & STATE ESTIMATION 7
Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Necessary and Sufficient
Conditions for Optimality
Q-2: What if but
is a point of inflexion
Example – 1:
minimum
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Necessary and Sufficient
Conditions for Optimality
Example – 2:
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Necessary and Sufficient
Conditions for Optimality
Vector case
Minimize where
By definition,
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Necessary and Sufficient
Conditions for Optimality
For minimization,
Necessary Condition:
Sufficient Condition: (positive definite)
Remark: Further Conditions are difficult to use in practice!
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Necessary and Sufficient
Conditions for Optimality
Example – 1:
Necessary Condition
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Necessary and Sufficient
Conditions for Optimality
Sufficient Condition:
Eigenvalues: 1,1 at
(positive definite). So is a minimum
point
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Necessary and Sufficient
Conditions for Optimality
Example – 2:
Solution:
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Constrained Optimization with
Equality Constraints
Prof. Radhakant Padhi
Dept. of Aerospace Engineering
Indian Institute of Science - Bangalore
Constrained Optimization:
Equality Constraint
Problem:
Solution Procedure:
Formulate an augmented cost function
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Constrained Optimization:
Equality Constraint
Necessary Conditions:
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Constrained Optimization with
Equality Constraint: An Example
Minimize
Subjected to:
Solution:
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Constrained Optimization with
Equality Constraint: Another Example
Minimize
Subject to
Solution:
APPLIED OPTIMAL CONTROL & STATE ESTIMATION 19
Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Constrained Optimization with
Equality Constraint: Another Example
Solve:
Remark: has no physical meaning. It only helps to solve the problem.
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Constrained Optimization with
Equality Constraint: Sufficiency Condition
If the equation
has only positive roots Minimum
has only negative roots Maximum
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Example – 1
Problem:
Solution:
Necessary condition:
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Example – 1
Sufficient condition:
The Solution is a minimum.
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Example – 1: Some Remarks
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Example – 2
Problem:
Solution:
Necessary condition:
Sufficient condition:
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Example – 2
Necessary condition:
Solution Candidates:
1 0 -1/2
-1 0 1/2
-1/2 1.73/2 1
-1/2 -1.73/2 1
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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Example – 2
Case-1:
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Example – 2: Final Results
Conclusion
1 0 -1/2 -3 Maximum
-1 0 1/2 -1 Maximum
-1/2 1.73/2 1 3/2 Minimum
-1/2 -1.73/2 1 3/2 Minimum
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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References
T. F. Elbert, Estimation and Control Systems,
Von Nostard Reinhold, 1984.
S. S. Rao, Engineering Optimization: Theory
and Practice, Third Edition, New Age
International Publishers, 2010.
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
Thanks for the Attention….!!
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Prof. Radhakant Padhi, AE Dept., IISc-Bangalore
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