Calculus of Variations: An Overview: Dr. Radhakant Padhi

Lecture 24
Calculus of Variations : An Overview

Dr. Radhakant Padhi
Asst. Professor
Dept. of Aerospace Engineering
Indian Institute of Science - Bangalore
Fundamental Theorems of Calculus

x
Theorem 1:
Theorem 2:
d
f ( ) d = f ( x ) , provided f ( x ) is continuous
dx a
b
b
f ( x, y )
d
f ( x, y ) dy =
dy
dx a
x
a
provided f ( x, y ) has continuous partial derivative ( f / x )

Theorem 3:
( x)
2 ( x)
f ( x, y )
d 1
d 2
d 2
f
x
y
dy
dy
f
x
x
f
x
x
=
+
,
,
(
)
,
(
)
( )
)
( 1 )
2
dx (
dx 1( x )
x
dx
1 ( x )
provided f , 1 , 2 have continuous partial derivatives with respect to x

ADVANCED CONTROL SYSTEM DESIGN
Dr. Radhakant Padhi, AE Dept., IISc-Bangalore
Calculus of Variations:
Basic Concepts
z
Function (to each value of
the independent variable, there

is a corresponding value of the
dependent variable)
Functional
(to each
function, there is a
corresponding value of the
dependent variable)
1
x ( t ) = 2t 3 + 3t
J ( x ( t ) ) = x ( t ) dt
0
= ( 2t 3 + 3t ) dt = 2
z
Increment of a function
x
x ( t + t ) x ( t )
Increment of a
functional
J ( x (t ) + x (t )) J ( x (t ))

Example
tf
J = J ( x(t ) + x(t ) ) J ( x(t ) )

tf
tf
t0
t0
J = 2 x 2 (t ) + 1 dt
2
= 2 ( x(t ) + x(t ) ) + 1 dt 2 x 2 (t ) + 1 dt
tf
t0
2
= 2 ( x(t ) + x(t ) ) + 1 2 x 2 (t ) + 1 dt
t0
tf
=
t0
( (
2 x 2 (t ) + 2 x(t ) x(t ) + ( x(t ) )2 + 1 2 x 2 (t ) + 1 dt
tf
2
= 4 x(t ) x(t ) + 2 ( x(t ) ) dt
t0

Basic Concepts
Function and its increment
Functional and its increment
Reference: D. S. Naidu, Optimal Control Systems, CRC Press, 2002.

Basic Concepts
Differential of a function
Variation of a functional
f * = f ( t * + t ) f ( t * )
df
=
dt
t
*
t
1 d2 f
2! dt 2
df : First deviation
= df
+ d2 f
2
( t )
t*
d 2 f : Second deviation
df
df * = lim f * = lim
t 0
t 0 dt
( )
J = J ( x(t ) + x(t ) ) J ( x(t ) )
i.e. df = f t in general
J
= x
x
J : First variation
=J
t
t*
1 2 J
2
2 ( x )
2! x
+ 2J
2 J : Second variation
J = x
x

Basic Concepts
Result 1:
Result 2:
Derivative of variation = Variation of derivative
Integration of variation = Variation of integration
d
d
x ( t ) x* ( t )
x ( t ) =
dt
dt
=
dx ( t )
dt
dx ( t )
*
= x ( t )
dt
x ( ) d =
t0
x
(
)
( ) d
t0
t
t0
t0
*
x
(
)
( ) d
= x ( ) d
t0

Exercise
Evaluate the variation of :
tf
J ( x(t ) ) = 2 x 2 (t ) + 3 x(t ) + 4 dt
t0
Note:
By 'variation', we mean 'first variation' (by default)

Solution
Method - 1 :
J = J ( x(t ) + x(t ) ) J ( x(t ) )
tf
tf
t0
t0
= 2( x(t ) + x(t )) 2 + 3( x(t ) + x(t )) + 4 dt 2 x 2 (t ) + 3 x(t ) + 4 dt

tf
= 2 x 2 + 2 x x + ( x) 2 + 3( x + x) + 4 2 x 2 + 3 x + 4 dt
t0
tf
= 4 x x + 2( x) 2 + 3 x dt
t0
tf
= [ 4 x + 3] x dt
( Neglecting the higher order term )
t0

Solution
Method - 2 :
J
J = x
x
tf

2
= 2 x (t ) + 3 x(t ) + 4 dt x(t )
x t0
t f
2
= 2 x + 3 x + 4 x dt
t0 x
(Variation of integral = Integral of variation)

tf
= [ 4 x + 3] x dt
t0

10
Boundary Conditions
z
Fixed End Point Problems
( t0 , x(t0 ) ) :
(t
x(t )
(t
, x(t f ) )
( t0 , x(t0 ) )
Specified
, x(t f ) ) : Specified
t
Free End Point Problems
x(t )
Completely free
May be required to lie on a
curve (t )
(t )
( t0 , x(t0 ) )
(t
, x(t f ) )
t
11
Optimum of a Functional
A functional is said to have a relative optimum at x* ( t ) , if > 0
such that for all functions x ( t ) which satisfy x ( t ) x* ( t ) < ,
the increment of J has the "same sign".
1) If J = J ( x ) J ( x* ) 0, then J ( x* ) is a relative (local) "Minimum".
2) If J = J ( x ) J ( x* ) 0, then J ( x* ) is a relative (local) "Maximum".
Note: If the above relationships are satisfied for arbitrarily large > 0,
then J ( x* ) is a "global optimum".
12
Optimum of a Functional
x, x
Variation: x ( t ) = x ( t ) x* ( t )
x (t )
x (t )
x* ( t ) : Optimum path

13
Fundamental Theorem of
Calculus of Variations
For x* ( t ) to be a candidate for optimum,
the following conditions hold good:
1) Necessary Condition: J ( x* (t ), x(t ) ) = 0, admissible x (t )
2) Sufficiency Condition:
2 J > 0 (for minimum)

2 J < 0 (for maximum)

14
Fundamental Lemma
If for every continuous function g ( t )
tf
g ( t ) x ( t ) dt = 0
t0
where the variation x ( t ) is continuous in t t0 , t f ,

then
g (t ) = 0
t t0 , t f

15
Necessary condition of optimality

tf
Problem: Optimize J =
L x ( t ) , x ( t ) , t dt
by appropriate selection of x ( t ) .
t0
Note: t0 , t f are fixed.

Solution:
Make sure J = 0 for arbitrary x ( t )
Necessary Conditions:
1) Euler Lagrange (E-L) Equation
L d L
=0
x dt x
2) Transversality (Boundary) Condition
x
x
=0
t0
tf
Note: Part of this equation may

already be satisfied by problem
formulation

16
Proof:
Hint: Use the necessary condition of optimality from the

Fundamental theorem
Let x* ( t ) , t [t0 , t f ] : Optimumsolution

x ( t ) + x(t )
*
Variation: x ( t ) = x ( t ) x* ( t )
x, x*
x (t )
x (t )
x* ( t ) : Optimum path
: Some adjacent solution

a
Then
tf
tf
t0
t0
J = J J * = L x ( t ) , x ( t ) , t dt L x* ( t ) , x* ( t ) , t dt
tf
t0
tf
L x ( t ) , x ( t ) , t L x* ( t ) , x* ( t ) , t dt = L dt
L

t0
17
Proof
However at every point t ,
L = L x* + x , x* + x, t L x* ( t ) , x* ( t ) , t
L
L
=
x+
x + HOT
x x* , x*f
x x* , x*f
Assumption: L is continuous and smooth in both x and x.
L
L
Then, in the limit, L L = x + x . In that case,

x
x
tf
J J =
t0
L
L
x x + x x dt

18
Proof
However,
tf
t0
L
x x
tf
dt =
t0
L d ( x)
x dt dt

tf
tf
L t f d ( x)
d L d ( x)
dt
dt dt
=
x t0 dt
t t0 dt x dt
o
tf
tf
L
d L
= x x dt
x to t0 dt x

19
Proof
Hence,
tf
J =
t0
tf
L
L
x x + x x dt
L
=
x
t0
tf
t0
tf
tf
L
d L
x dt + x x dt x x dt
t o t0
tf
L d L
L
x dt x x dt + x x

to
= 0 (Necessary condition of optimality)

20
Necessary Conditions
L d L
1. = 0
x dt x
(Euler-Lagrange Equation)
tf
L
2. x = 0
x to
(Transversality Condition)
Note :
* Condition (1) must be satisfied regardless of the end condition.
* Part of second equation may already be satisfied by the problem
of specification. i.e. the amount of extra information contained by this
equation varies with the boundary conditions specified.
21
Example 1
1
Problem:
Minimize J = ( x 2 + x ) dt with x ( 0 ) = 2, x (1) = 3

0
Solution:
L = ( x2 + x )
L d L
1
t2
1) E-L Equation:
= 0 1 2 x = 0, x =
x ( t ) = + c1t + c2
x dt x
2
4
2) Boundary condition: x ( 0 ) = c2 = 2
1
+ c1 + 2 = 3
4
1 3
c1 = 1 =
4 4
t 2 3t
Hence, x ( t ) = + + 2
4 4
x (1) =
Transversality condition is
automatically satisfied, since
x0 = x f = 0

22
Example 2
1
Minimize J = ( x 2 + x ) dt with x ( 0 ) = 2,
Problem:
x (1) : Free
L = ( x2 + x )
Solution:
L d L
1
t2
1) E-L Equation:
= 0 1 2 x = 0, x =
x ( t ) = + c1t + c2
x dt x
2
4
2) Boundary condition: x ( 0 ) = c2 = 2
L
x f = 0,
x t f
2xt
=
=1
tf
2
L
=0
x t f
( x
+ c1 = 0, c1 =
t f =1
0)
1
2
t2 t
Hence, x ( t ) = + 2
4 2
23
Transversality Condition
tf
L
L
x
L
x
t = 0
x t0
t0
General condition:
Special Cases:
1) Fixed End Points: ( t0 , x0 ) and ( t f , x f
) are fixed.
No additional information!
2) t0 and t f are fixed (free initial and final states)

f
L
x x = 0
t0

24
Special Cases:
3) t0 , x0 are fixed (free final time, free final state)

L
L
x f + L x t f = 0
x t f
x t f
4) t0 , x0 and x f are fixed (free final time)

L
L x = 0
x t f
5) t0 , x0 and t f are fixed (free final state)

L
=0
x t f
25
Special Cases:
(t
6) ( t0 , x0 ) is fixed;
, x f ) is constrained to lie on a given curve ( t )
L
L
d
x f + L x t f = 0. However, x f =
dt
x t f
x t f
tf =f tf
tf
Hence, the transversality condition is

L
L
f + L x
x t f
x t f
Finally:
tf = 0
( t
0)
L
x
+
) =0
(
x t f

26
Example
1
Problem: Minimize J =
0
Solution:
1 + x 2 dt with x ( 0 ) = 0 and
(t
, xf
) lie on y ( t ) = 5t + 15
L = 1 + x2
1) E-L Equation: L d L = 0

dt x
d
2
1
x
+
=0
dt x
2x
d
dt 2 1 + x 2
= 0
) (
1 + x2 x x
2xx
2 1 + x2 = 0
2
(1 + x )
2 1 + x2 x 2 x2 x = 0
27
Example
L d L
= 0 x = 0 x ( t ) = c1t + c2
1) E-L Equation:
x dt x
2) Boundary condition:
(1)
(2)
x ( 0 ) = c2 = 0
x ( t ) = c1t
L
y
x
+
=0
(
)
x t f
5x f + 1 = 0
5 c1 + 1 = 0
c1 = 1/ 5
Hence, x ( t ) = t / 5
To find t f ,
t f / 5 = 5t f + 15

t f = 75 / 26
28
Variational Problems in Multiple

Dimensions: Without Constraints
Dr. Radhakant Padhi
Asst. Professor
Dept. of Aerospace Engineering
Indian Institute of Science - Bangalore
Multiple Dimension Problems

without constraints
tf
Problem: Optimize J =
L X ( t ) , X ( t ) , t dt
by appropriate selection of X ( t ) .
t0
[ x1
where X
Solution: Make sure J = 0 for arbitrary X ( t )
xn ]
x2
Necessary Conditions:
1) Euler Lagrange (E-L) Equation
L d L

X dt X
=0
2) Transversality (Boundary) Condition

tf
T L
X + L X
X
X
t0
T

tf

t = 0
t0
30
Variational Problems with

Constraints
tf
Optimize : J =
L ( X , X , t ) dt
t0
Subject to : ( X , X , t ) = 0
where
X
[ x1
x2
xn ] ,
T
[1

n ]
31

Constraints
Lagrange's Existence Theorem:
n1 (t ) : The above constrained optimization
problem leads to the same solution as the following
unconstrained cost functional
tf
J = L ( X , X , t ) + ( X , X , t ) dt
t0
Let L ( X , X , t ) = L ( X , X , t ) + ( X , X , t )
*

32

Constraints
Necessary Conditions of Optimality:
(1) E-L Equations:
L* d L*

(a)
= 0 ( n equations)
X dt X
L* d L*
(b)

= 0 ( n equations)
dt
L*
*
= 0 as there is no term in L
Note:

33

Constraints
(2) Transversality Conditions:
tf
f
*
L
T L
(a)
X + L X
t = 0
X
t
X to
o
tf
L*
T
*
(b)
+
t = 0;

to
to
T

tf
34

Constraints
E-L Equations:
Varaibles: n + n + 1
( X ) ( ) (t f )
L* d L*
1) (a)

=0
Boundary Conditions : n + n + 1
X dt X
L*
(b)
= ( X , X , t ) = 0 (same constraint equation)

2)Transversality Conditions: ( t0 , X 0 ) fixed, ( t f , X f
*
*
L
T L
(a)
X f + L X
t f = 0
X t f
X t f
) free
(b) L*t f t f = 0
so L*t f = 0
(n equations)
However t f is free t f 0
( 1 equation)
35
Constraint Equations
z
Nonholonomic constraints
( X , X , t) = 0
z
Isoperimetric constraints
tf
q ( X , X , t ) dt = k
t0
One way to get rid of Isoperimetric constraints is to convert

them into Nonholonomic constraints.
36
Isoperimetric Constraints
Define: xn +1 = q ( X , X , t )
Then
tf
dt = k
n +1
t0
xn +1 (t f ) xn +1 (t0 ) = k
Choose one of xn +1 (t f ) or xn +1 (t0 ) and fix the other
Let
xn +1 (t0 ) = 0
xn +1 (t f ) = k
37
Isoperimetric Constraints
Summary :
The following additional non-holonomic
constraint is introduced:
xn +1 = q ( X , X , t )
with boundary conditions:
xn +1 (t0 ) = 0
xn +1 (t f ) = k
The original problem is augmented
with this information and solved.
38
References
z
T. F. Elbert, Estimation and Control Systems,

Von Nostard Reinhold, 1984.
D. S. Naidu, Optimal Control Systems, CRC

Press, 2002.

39

40

Calculus of Variations: An Overview: Dr. Radhakant Padhi

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Lecture 24

Calculus of Variations : An Overview

Fundamental Theorems of Calculus

provided f ( x, y ) has continuous partial derivative ( f / x )

provided f , 1 , 2 have continuous partial derivatives with respect to x

Function (to each value of

the independent variable, there

ADVANCED CONTROL SYSTEM DESIGN

J = J ( x(t ) + x(t ) ) J ( x(t ) )

2 x 2 (t ) + 2 x(t ) x(t ) + ( x(t ) )2 + 1 2 x 2 (t ) + 1 dt

ADVANCED CONTROL SYSTEM DESIGN

Functional and its increment

Reference: D. S. Naidu, Optimal Control Systems, CRC Press, 2002.

J = J ( x(t ) + x(t ) ) J ( x(t ) )

ADVANCED CONTROL SYSTEM DESIGN

Derivative of variation = Variation of derivative

Integration of variation = Variation of integration

ADVANCED CONTROL SYSTEM DESIGN

ADVANCED CONTROL SYSTEM DESIGN

= 2( x(t ) + x(t )) 2 + 3( x(t ) + x(t )) + 4 dt 2 x 2 (t ) + 3 x(t ) + 4 dt

( Neglecting the higher order term )

ADVANCED CONTROL SYSTEM DESIGN

(Variation of integral = Integral of variation)

ADVANCED CONTROL SYSTEM DESIGN

Fixed End Point Problems

Free End Point Problems

ADVANCED CONTROL SYSTEM DESIGN

2 J > 0 (for minimum)

ADVANCED CONTROL SYSTEM DESIGN

where the variation x ( t ) is continuous in t t0 , t f ,

ADVANCED CONTROL SYSTEM DESIGN

Necessary condition of optimality

Note: t0 , t f are fixed.

Make sure J = 0 for arbitrary x ( t )

Note: Part of this equation may

ADVANCED CONTROL SYSTEM DESIGN

Hint: Use the necessary condition of optimality from the

Let x* ( t ) , t [t0 , t f ] : Optimumsolution

: Some adjacent solution

ADVANCED CONTROL SYSTEM DESIGN

Then, in the limit, L L = x + x . In that case,

ADVANCED CONTROL SYSTEM DESIGN

ADVANCED CONTROL SYSTEM DESIGN

= 0 (Necessary condition of optimality)

Minimize J = ( x 2 + x ) dt with x ( 0 ) = 2, x (1) = 3

ADVANCED CONTROL SYSTEM DESIGN

1) Fixed End Points: ( t0 , x0 ) and ( t f , x f

2) t0 and t f are fixed (free initial and final states)

ADVANCED CONTROL SYSTEM DESIGN

3) t0 , x0 are fixed (free final time, free final state)

4) t0 , x0 and x f are fixed (free final time)

5) t0 , x0 and t f are fixed (free final state)

, x f ) is constrained to lie on a given curve ( t )

Hence, the transversality condition is

ADVANCED CONTROL SYSTEM DESIGN

ADVANCED CONTROL SYSTEM DESIGN

Variational Problems in Multiple

Multiple Dimension Problems

Solution: Make sure J = 0 for arbitrary X ( t )

2) Transversality (Boundary) Condition

ADVANCED CONTROL SYSTEM DESIGN

Variational Problems with

ADVANCED CONTROL SYSTEM DESIGN