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Lecture Notes on Optimization
Pravin Varaiya
ii
Contents
1 INTRODUCTION 1
2 OPTIMIZATION OVER AN OPEN SET 7
3 Optimization with equality constraints 15
4 Linear Programming 27
5 Nonlinear Programming 49
6 Discretetime optimal control 75
7 Continuoustime linear optimal control 83
8 Coninuoustime optimal control 95
9 Dynamic programing 121
iii
iv CONTENTS
PREFACE to this edition
Notes on Optimization was published in 1971 as part of the Van Nostrand Reinhold Notes on Sys
tem Sciences, edited by George L. Turin. Our aim was to publish short, accessible treatments of
graduatelevel material in inexpensive books (the price of a book in the series was about ﬁve dol
lars). The effort was successful for several years. Van Nostrand Reinhold was then purchased by a
conglomerate which cancelled Notes on System Sciences because it was not sufﬁciently proﬁtable.
Books have since become expensive. However, the World Wide Web has again made it possible to
publish cheaply.
Notes on Optimization has been out of print for 20 years. However, several people have been
using it as a text or as a reference in a course. They have urged me to republish it. The idea of
making it freely available over the Web was attractive because it reafﬁrmed the original aim. The
only obstacle was to retype the manuscript in LaTex. I thank Kate Klohe for doing just that.
I would appreciate knowing if you ﬁnd any mistakes in the book, or if you have suggestions for
(small) changes that would improve it.
Berkeley, California P.P. Varaiya
September, 1998
v
vi CONTENTS
PREFACE
These Notes were developed for a tenweek course I have taught for the past three years to ﬁrstyear
graduate students of the University of California at Berkeley. My objective has been to present,
in a compact and uniﬁed manner, the main concepts and techniques of mathematical programming
and optimal control to students having diverse technical backgrounds. A reasonable knowledge of
advanced calculus (up to the Implicit Function Theorem), linear algebra (linear independence, basis,
matrix inverse), and linear differential equations (transition matrix, adjoint solution) is sufﬁcient for
the reader to follow the Notes.
The treatment of the topics presented here is deep. Although the coverage is not encyclopedic,
an understanding of this material should enable the reader to follow much of the recent technical
literature on nonlinear programming, (deterministic) optimal control, and mathematical economics.
The examples and exercises given in the text form an integral part of the Notes and most readers will
need to attend to them before continuing further. To facilitate the use of these Notes as a textbook,
I have incurred the cost of some repetition in order to make almost all chapters selfcontained.
However, Chapter V must be read before Chapter VI, and Chapter VII before Chapter VIII.
The selection of topics, as well as their presentation, has been inﬂuenced by many of my students
and colleagues, who have read and criticized earlier drafts. I would especially like to acknowledge
the help of Professors M. Athans, A. Cohen, C.A. Desoer, JP. Jacob, E. Polak, and Mr. M. Ripper. I
also want to thank Mrs. Billie Vrtiak for her marvelous typing in spite of starting from a not terribly
legible handwritten manuscript. Finally, I want to thank Professor G.L. Turin for his encouraging
and patient editorship.
Berkeley, California P.P. Varaiya
November, 1971
vii
viii CONTENTS
Chapter 1
INTRODUCTION
In this chapter, we present our model of the optimal decisionmaking problem, illustrate decision
making situations by a few examples, and brieﬂy introduce two more general models which we
cannot discuss further in these Notes.
1.1 The Optimal Decision Problem
These Notes show how to arrive at an optimal decision assuming that complete information is given.
The phrase complete information is given means that the following requirements are met:
1. The set of all permissible decisions is known, and
2. The cost of each decision is known.
When these conditions are satisﬁed, the decisions can be ranked according to whether they incur
greater or lesser cost. An optimal decision is then any decision which incurs the least cost among
the set of permissible decisions.
In order to model a decisionmaking situation in mathematical terms, certain further requirements
must be satisﬁed, namely,
1. The set of all decisions can be adequately represented as a subset of a vector space with each
vector representing a decision, and
2. The cost corresponding to these decisions is given by a realvalued function.
Some illustrations will help.
Example 1: The Pot Company (Potco) manufacturers a smoking blend called Acapulco Gold.
The blend is made up of tobacco and maryjohn leaves. For legal reasons the fraction α of mary
john in the mixture must satisfy 0 < α <
1
2
. From extensive market research Potco has determined
their expected volume of sales as a function of α and the selling price p. Furthermore, tobacco can
be purchased at a ﬁxed price, whereas the cost of maryjohn is a function of the amount purchased.
If Potco wants to maximize its proﬁts, how much maryjohn and tobacco should it purchase, and
what price p should it set?
Example 2: Tough University provides “quality” education to undergraduate and graduate stu
dents. In an agreement signed with Tough’s undergraduates and graduates (TUGs), “quality” is
1
2 CHAPTER 1. INTRODUCTION
deﬁned as follows: every year, each u (undergraduate) must take eight courses, one of which is a
seminar and the rest of which are lecture courses, whereas each g (graduate) must take two seminars
and ﬁve lecture courses. A seminar cannot have more than 20 students and a lecture course cannot
have more than 40 students. The University has a faculty of 1000. The Weary Old Radicals (WORs)
have a contract with the University which stipulates that every junior faculty member (there are 750
of these) shall be required to teach six lecture courses and two seminars each year, whereas every
senior faculty member (there are 250 of these) shall teach three lecture courses and three seminars
each year. The Regents of Touch rate Tough’s President at α points per u and β points per g “pro
cessed” by the University. Subject to the agreements with the TUGs and WORs how many u’s and
g’s should the President admit to maximize his rating?
Example 3: (See Figure 1.1.) An engineer is asked to construct a road (broken line) connection
point a to point b. The current proﬁle of the ground is given by the solid line. The only requirement
is that the ﬁnal road should not have a slope exceeding 0.001. If it costs $c per cubic foot to excavate
or ﬁll the ground, how should he design the road to meet the speciﬁcations at minimum cost?
Example 4: Mr. Shell is the manager of an economy which produces one output, wine. There
are two factors of production, capital and labor. If K(t) and L(t) respectively are the capital stock
used and the labor employed at time t, then the rate of output of wine W(t) at time is given by the
production function
W(t) = F(K(t), L(t))
As Manager, Mr. Shell allocates some of the output rate W(t) to the consumption rate C(t), and
the remainder I(t) to investment in capital goods. (Obviously, W, C, I, and K are being measured
in a common currency.) Thus, W(t) = C(t) + I(t) = (1 − s(t))W(t) where s(t) = I(t)/W(t)
.
.
a
b
Figure 1.1: Admissable set of example.
∈ [0, 1] is the fraction of output which is saved and invested. Suppose that the capital stock decays
exponentially with time at a rate δ > 0, so that the net rate of growth of capital is given by the
following equation:
˙
K(t) =
d
dt
K(t) (1.1)
= −δK(t) +s(t)W(t)
= −δK(t) +s(t)F(K(t), L(t)).
The labor force is growing at a constant birth rate of β > 0. Hence,
1.1. THE OPTIMAL DECISION PROBLEM 3
˙
L(t) = βL(t).
(1.2)
Suppose that the production function F exhibits constant returns to scale, i.e., F(λK, λL) =
λF(K, L) for all λ > 0. If we deﬁne the relevant variable in terms of per capita of labor, w =
W/L, c = C/L, k = K/l, and if we let f(k) = F(k, l), then we see that F(K, L)−LF(K/L, 1) =
Lf(k), whence the consumption per capita of labor becomes c(t) = (l −s(t))f(k(t)). Using these
deﬁnitions and equations (1.1) and (1.2) it is easy to see that K(t) satisﬁes the differential equation
(1.3).
˙
k(t) = s(t)f(k(t)) −µk(t)
(1.3)
where µ = (δ +β). The ﬁrst term of the righthand side in (3) is the increase in the capitaltolabor
ratio due to investment whereas the second terms is the decrease due to depreciation and increase in
the labor force.
Suppose there is a planning horizon time T, and at time 0 Mr. Shell starts with capitaltolabor
ratio k
o
. If “welfare” over the planning period [0, T] is identiﬁed with total consumption
T
0
c(t)dt,
what should Mr. Shell’s savings policy s(t), 0 ≤ t ≤ T, be so as to maximize welfare? What
savings policy maximizes welfare subject to the additional restriction that the capitaltolabor ratio
at time T should be at least k
T
? If future consumption is discounted at rate α > 0 and if time horizon
is ∞, the welfare function becomes
∞
0
e
−
αt c(t)dt. What is the optimum policy corresponding to
this criterion?
These examples illustrate the kinds of decisionmaking problems which can be formulated math
ematically so as to be amenable to solutions by the theory presented in these Notes. We must always
remember that a mathematical formulation is inevitably an abstraction and the gain in precision may
have occurred at a great loss of realism. For instance, Example 2 is caricature (see also a faintly re
lated but more more elaborate formulation in Bruno [1970]), whereas Example 4 is lightyears away
from reality. In the latter case, the value of the mathematical exercise is greater the more insensitive
are the optimum savings policies with respect to the simplifying assumptions of the mathematical
model. (In connection with this example and related models see the critique by Koopmans [1967].)
In the examples above, the set of permissible decisions is represented by the set of all points
in some vector space which satisfy certain constraints. Thus, in the ﬁrst example, a permissible
decision is any twodimensional vector (α, p) satisfying the constraints 0 < α <
1
2
and 0 <
p. In the second example, any vector (u, g) with u ≥ 0, g ≥ 0, constrained by the number
of faculty and the agreements with the TUGs and WORs is a permissible decision. In the last
example, a permissible decision is any realvalued function s(t), 0 ≤ t ≤ T, constrained by
0 ≤ s(t) ≤ 1. (It is of mathematical but not conceptual interest to note that in this case a decision
is represented by a vector in a function space which is inﬁnitedimensional.) More concisely then,
these Notes are concerned with optimizing (i.e. maximizing or minimizing) a realvalued function
over a vector space subject to constraints. The constraints themselves are presented in terms of
functional inequalities or equalities.
4 CHAPTER 1. INTRODUCTION
At this point, it is important to realize that the distinction between the function which is to be
optimized and the functions which describe the constraints, although convenient for presenting the
mathematical theory, may be quite artiﬁcial in practice. For instance, suppose we have to choose
the durations of various trafﬁc lights in a section of a city so as to achieve optimum trafﬁc ﬂow.
Let us suppose that we know the transportation needs of all the people in this section. Before we
can begin to suggest a design, we need a criterion to determine what is meant by “optimum trafﬁc
ﬂow.” More abstractly, we need a criterion by which we can compare different decisions, which in
this case are different patterns of trafﬁclight durations. One way of doing this is to assign as cost to
each decision the total amount of time taken to make all the trips within this section. An alternative
and equally plausible goal may be to minimize the maximum waiting time (that is the total time
spent at stop lights) in each trip. Now it may happen that these two objective functions may be
inconsistent in the sense that they may give rise to different orderings of the permissible decisions.
Indeed, it may be the case that the optimum decision according to the ﬁrst criterion may be lead to
very long waiting times for a few trips, so that this decision is far from optimum according to the
second criterion. We can then redeﬁne the problem as minimizing the ﬁrst cost function (total time
for trips) subject to the constraint that the waiting time for any trip is less than some reasonable
bound (say one minute). In this way, the second goal (minimum waiting time) has been modiﬁed
and reintroduced as a constraint. This interchangeability of goal and constraints also appears at a
deeper level in much of the mathematical theory. We will see that in most of the results the objective
function and the functions describing the constraints are treated in the same manner.
1.2 Some Other Models of Decision Problems
Our model of a single decisionmaker with complete information can be generalized along two
very important directions. In the ﬁrst place, the hypothesis of complete information can be relaxed
by allowing that decisionmaking occurs in an uncertain environment. In the second place, we
can replace the single decisionmaker by a group of two or more agents whose collective decision
determines the outcome. Since we cannot study these more general models in these Notes, we
merely point out here some situations where such models arise naturally and give some references.
1.2.1 Optimization under uncertainty.
A person wants to invest $1,000 in the stock market. He wants to maximize his capital gains, and
at the same time minimize the risk of losing his money. The two objectives are incompatible, since
the stock which is likely to have higher gains is also likely to involve greater risk. The situation
is different from our previous examples in that the outcome (future stock prices) is uncertain. It is
customary to model this uncertainty stochastically. Thus, the investor may assign probability 0.5 to
the event that the price of shares in Glamor company increases by $100, probability 0.25 that the
price is unchanged, and probability 0.25 that it drops by $100. A similar model is made for all the
other stocks that the investor is willing to consider, and a decision problem can be formulated as
follows. How should $1,000 be invested so as to maximize the expected value of the capital gains
subject to the constraint that the probability of losing more than $100 is less than 0.1?
As another example, consider the design of a controller for a chemical process where the decision
variable are temperature, input rates of various chemicals, etc. Usually there are impurities in the
chemicals and disturbances in the heating process which may be regarded as additional inputs of a
1.2. SOME OTHER MODELS OF DECISION PROBLEMS 5
random nature and modeled as stochastic processes. After this, just as in the case of the portfolio
selection problem, we can formulate a decision problem in such a way as to take into account these
random disturbances.
If the uncertainties are modelled stochastically as in the example above, then in many cases
the techniques presented in these Notes can be usefully applied to the resulting optimal decision
problem. To do justice to these decisionmaking situations, however, it is necessary to give great
attention to the various ways in which the uncertainties can be modelled mathematically. We also
need to worry about ﬁnding equivalent but simpler formulations. For instance, it is of great signif
icance to know that, given appropriate conditions, an optimal decision problem under uncertainty
is equivalent to another optimal decision problem under complete information. (This result, known
as the CertaintyEquivalence principle in economics has been extended and baptized the Separation
Theorem in the control literature. See Wonham [1968].) Unfortunately, to be able to deal with
these models, we need a good background in Statistics and Probability Theory besides the material
presented in these Notes. We can only refer the reader to the extensive literature on Statistical De
cision Theory (Savage [1954], Blackwell and Girshick [1954]) and on Stochastic Optimal Control
(Meditch [1969], Kushner [1971]).
1.2.2 The case of more than one decisionmaker.
Agent Alpha is chasing agent Beta. The place is a large circular ﬁeld. Alpha is driving a fast, heavy
car which does not maneuver easily, whereas Beta is riding a motor scooter, slow but with good
maneuverability. What should Alpha do to get as close to Beta as possible? What should Beta
do to stay out of Alpha’s reach? This situation is fundamentally different from those discussed so
far. Here there are two decisionmakers with opposing objectives. Each agent does not know what
the other is planning to do, yet the effectiveness of his decision depends crucially upon the other’s
decision, so that optimality cannot be deﬁned as we did earlier. We need a new concept of rational
(optimal) decisionmaking. Situations such as these have been studied extensively and an elaborate
structure, known as the Theory of Games, exists which describes and prescribes behavior in these
situations. Although the practical impact of this theory is not great, it has proved to be among the
most fruitful sources of unifying analytical concepts in the social sciences, notably economics and
political science. The best single source for Game Theory is still Luce and Raiffa [1957], whereas
the mathematical content of the theory is concisely displayed in Owen [1968]. The control theorist
will probably be most interested in Isaacs [1965], and Blaquiere, et al., [1969].
The difﬁculty caused by the lack of knowledge of the actions of the other decisionmaking agents
arises even if all the agents have the same objective, since a particular decision taken by our agent
may be better or worse than another decision depending upon the (unknown) decisions taken by the
other agents. It is of crucial importance to invent schemes to coordinate the actions of the individual
decisionmakers in a consistent manner. Although problems involving many decisionmakers are
present in any system of large size, the number of results available is pitifully small. (See Mesarovic,
et al., [1970] and Marschak and Radner [1971].) In the author’s opinion, these problems represent
one of the most important and challenging areas of research in decision theory.
6 CHAPTER 1. INTRODUCTION
Chapter 2
OPTIMIZATION OVER AN OPEN
SET
In this chapter we study in detail the ﬁrst example of Chapter 1. We ﬁrst establish some notation
which will be in force throughout these Notes. Then we study our example. This will generalize
to a canonical problem, the properties of whose solution are stated as a theorem. Some additional
properties are mentioned in the last section.
2.1 Notation
2.1.1
All vectors are column vectors, with two consistent exceptions mentioned in 2.1.3 and 2.1.5 below
and some other minor and convenient exceptions in the text. Prime denotes transpose so that if
x ∈ R
n
then x
is the row vector x
= (x
1
, . . . , x
n
), and x = (x
1
, . . . , x
n
)
. Vectors are normally
denoted by lower case letters, the ith component of a vector x ∈ R
n
is denoted x
i
, and different
vectors denoted by the same symbol are distinguished by superscripts as in x
j
and x
k
. 0 denotes
both the zero vector and the real number zero, but no confusion will result.
Thus if x = (x
1
, . . . , x
n
)
and y = (y
1
, . . . , y
n
)
then x
y = x
1
y
1
+ . . . + x
n
y
n
as in ordinary
matrix multiplication. If x ∈ R
n
we deﬁne [x[ = +
√
x
x.
2.1.2
If x = (x
1
, . . . , x
n
)
and y = (y
1
, . . . , y
n
)
then x ≥ y means x
i
≥ y
i
, i = 1, . . . , n. In particular if
x ∈ R
n
, then x ≥ 0, if x
i
≥ 0, i = 1, . . . , n.
2.1.3
Matrices are normally denoted by capital letters. If A is an m n matrix, then A
j
denotes the jth
column of A, and A
i
denotes the ith row of A. Note that A
i
is a row vector. A
j
i
denotes the entry
of A in the ith row and jth column; this entry is sometimes also denoted by the lower case letter
a
ij
, and then we also write A = ¦a
ij
¦. I denotes the identity matrix; its size will be clear from the
context. If confusion is likely, we write I
n
to denote the n n identity matrix.
7
8 CHAPTER 2. OPTIMIZATION OVER AN OPEN SET
2.1.4
If f : R
n
→ R
m
is a function, its ith component is written f
i
, i = 1, . . . , m. Note that f
i
: R
n
→ R.
Sometimes we describe a function by specifying a rule to calculate f(x) for every x. In this case
we write f : x → f(x). For example, if A is an mn matrix, we can write F : x → Ax to denote
the function f : R
n
→ R
m
whose value at a point x ∈ R
n
is Ax.
2.1.5
If f : R
n
→ Ris a differentiable function, the derivative of f at ˆ x is the row vector ((∂f/∂x
1
)(ˆ x), . . . , (∂f/∂x
n
)(ˆ x)).
This derivative is denoted by (∂f/∂x)(ˆ x) or f
x
(ˆ x) or ∂f/∂x[
x=ˆ x
or f
x
[
x=ˆ x
, and if the argument ˆ x
is clear from the context it may be dropped. The column vector (f
x
(ˆ x))
is also denoted ∇
x
f(ˆ x),
and is called the gradient of f at ˆ x. If f : (x, y) → f(x, y) is a differentiable function from
R
n
R
m
into R, the partial derivative of f with respect to x at the point (ˆ x, ˆ y) is the ndimensional
row vector f
x
(ˆ x, ˆ y) = (∂f/∂x)(ˆ x, ˆ y) = ((∂f/∂x
1
)(ˆ x, ˆ y), . . . , (∂f/∂x
n
)(ˆ x, ˆ y)), and similarly
f
y
(ˆ x, ˆ y) = (∂f/∂y)(ˆ x, ˆ y) = ((∂f/∂y
1
)(ˆ x, ˆ y), . . . , (∂f/∂y
m
)(ˆ x, ˆ y)). Finally, if f : R
n
→ R
m
is
a differentiable function with components f
1
, . . . , f
m
, then its derivative at ˆ x is the mn matrix
∂f
∂x
(ˆ x) = f
x
ˆ x =
f
1x
(ˆ x)
.
.
.
f
mx
(ˆ x)
¸
¸
¸
=
∂f
1
∂x
1
(ˆ x)
.
.
.
∂fm
∂x
1
(ˆ x)
. . .
. . .
∂f
1
∂xn
(ˆ x)
.
.
.
∂fm
∂xn
(ˆ x)
¸
¸
¸
¸
2.1.6
If f : R
n
→ Ris twice differentiable, its second derivative at ˆ x is the nn matrix (∂
2
f/∂x∂x)(ˆ x) =
f
xx
(ˆ x) where (f
xx
(ˆ x))
j
i
= (∂
2
f/∂x
j
∂x
i
)(ˆ x). Thus, in terms of the notation in Section 2.1.5 above,
f
xx
(ˆ x) = (∂/∂x)(f
x
)
(ˆ x).
2.2 Example
We consider in detail the ﬁrst example of Chapter 1. Deﬁne the following variables and functions:
α = fraction of maryjohn in proposed mixture,
p = sale price per pound of mixture,
v = total amount of mixture produced,
f(α, p) = expected sales volume (as determined by market research) of mixture as a function of(α, p).
2.2. EXAMPLE 9
Since it is not proﬁtable to produce more than can be sold we must have:
v = f(α, p),
m = amount (in pounds) of maryjohn purchased, and
t = amount (in pounds) of tobacco purchased.
Evidently,
m = αv, and
t = (l −α)v.
Let
P
1
(m) = purchase price of m pounds of maryjohn, and
P
2
= purchase price per pound of tobacco.
Then the total cost as a function of α, p is
C(α, p) = P
1
(αf(α, p)) +P
2
(1 −α)f(α, p).
The revenue is
R(α, p) = pf(α, p),
so that the net proﬁt is
N(α, p) = R(α, p) −C(α, p).
The set of admissible decisions is Ω, where Ω = ¦(α, p)[0 < α <
1
2
, 0 < p < ∞¦. Formally, we
have the the following decision problem:
Maximize
subject to
N(α, p),
(α, p) ∈ Ω.
Suppose that (α
∗
, p∗) is an optimal decision, i.e.,
(α
∗
, p
∗
) ∈ Ω
N(α
∗
, p
∗
) ≥ N(α, p)
and
for all (α, p) ∈ Ω.
(2.1)
We are going to establish some properties of (a
∗
, p
∗
). First of all we note that Ω is an open subset
of R
2
. Hence there exits ε > 0 such that
(α, p) ∈ Ω whenever [(α, p) −(α
∗
, p
∗
)[ < ε (2.2)
In turn (2.2) implies that for every vector h = (h
1
, h
2
)
in R
2
there exists η > 0 (η of course
depends on h) such that
((α
∗
, p
∗
) +δ(h
1
, h
2
)) ∈ Ω for 0 ≤ δ ≤ η (2.3)
10 CHAPTER 2. OPTIMIZATION OVER AN OPEN SET

.
(α
∗
, p
∗
) +δ(h
1
, h
2
)
α
1
2
Ω
δh
h
p
(a
∗
, p
∗
)
Figure 2.1: Admissable set of example.
Combining (2.3) with (2.1) we obtain (2.4):
N(α
∗
, p
∗
) ≥ N(α
∗
+δh
1
, p
∗
+δh
2
) for 0 ≤ δ ≤ η (2.4)
Now we assume that the function N is differentiable so that by Taylor’s theorem
N(α
∗
+δh
1
, p
∗
+δh
2
) =
N(α
∗
, p
∗
)
+δ[
∂N
∂α
(δ
∗
, p
∗
)h
1
+
∂N
∂p
(α
∗
, p
∗
)h
2
]
+o(δ),
(2.5)
where
oδ
δ
→ 0 as δ → 0. (2.6)
Substitution of (2.5) into (2.4) yields
0 ≥ δ[
∂N
∂α
(α
∗
, p
∗
)h
1
+
∂N
∂p
(α
∗
, p
∗
)h
2
] +o(δ).
Dividing by δ > 0 gives
0 ≥ [
∂N
∂α
(α
∗
, p
∗
)h
1
+
∂N
∂p
(α
∗
, p
∗
)h
2
] +
o(δ)
δ
. (2.7)
Letting δ approach zero in (2.7), and using (2.6) we get
0 ≥ [
∂N
∂α
(α
∗
, p
∗
)h
1
+
∂N
∂p
(α
∗
, p
∗
)h
2
]. (2.8)
Thus, using the facts that N is differentiable, (α
∗
, p
∗
) is optimal, and δ is open, we have concluded
that the inequality (2.9) holds for every vector h ∈ R
2
. Clearly this is possible only if
∂N
∂α
(α
∗
, p
∗
) = 0,
∂N
∂p
(α
∗
, p
∗
) = 0. (2.9)
Before evaluating the usefulness of property (2.8), let us prove a direct generalization.
2.3. THE MAIN RESULT AND ITS CONSEQUENCES 11
2.3 The Main Result and its Consequences
2.3.1 Theorem
.
Let Ω be an open subset of R
n
. Let f: R
n
→ R be a differentiable function. Let x
∗
be an optimal
solution of the following decisionmaking problem:
Maximize
subject to
f(x)
x ∈ Ω.
(2.10)
Then
∂f
∂x
(x
∗
) = 0. (2.11)
Proof: Since x
∗
∈ Ω and Ω is open, there exists ε > 0 such that
x ∈ Ω whenever [x −x
∗
[ < ε. (2.12)
In turn, (2.12) implies that for every vector h ∈ R
n
there exits η > 0 (η depending on h) such that
(x
∗
+δh) ∈ Ω whenever 0 ≤ δ ≤ η. (2.13)
Since x
∗
is optimal, we must then have
f(x
∗
) ≥ f(x
∗
+δh) whenever 0 ≤ δ ≤ η. (2.14)
Since f is differentiable, by Taylor’s theorem we have
f(x
∗
+δh) = f(x
∗
) +
∂f
∂x
(x
∗
)δh +o(δ), (2.15)
where
o(δ)
δ
→ 0 as δ → 0 (2.16)
Substitution of (2.15) into (2.14) yields
0 ≥ δ
∂f
∂x
(x
∗
)h +o(δ)
and dividing by δ > 0 gives
0 ≥
∂f
∂x
(x
∗
)h +
o(δ)
δ
(2.17)
Letting δ approach zero in (2.17) and taking (2.16) into account, we see that
0 ≥
∂f
∂x
(x
∗
)h, (2.18)
Since the inequality (2.18) must hold for every h ∈ R
n
, we must have
0 =
∂f
∂x
(x
∗
),
and the theorem is proved. ♦
12 CHAPTER 2. OPTIMIZATION OVER AN OPEN SET
Table 2.1
Does there exist At how many points
an optimal deci in Ω is 2.2.2 Further
Case sion for 2.2.1? satisﬁed? Consequences
1 Yes Exactly one point, x
∗
is the
say x
∗
unique optimal
2 Yes More than one point
3 No None
4 No Exactly one point
5 No More than one point
2.3.2 Consequences.
Let us evaluate the usefulness of (2.11) and its special case (2.18). Equation (2.11) gives us n
equations which must be satisﬁed at any optimal decision x
∗
= (x
∗
1
, . . . , x
∗
n
)
.
These are
∂f
∂x
1
(x
∗
) = 0,
∂f
∂x
2
(x
∗
) = 0, . . . ,
∂f
∂xn
(x
∗
) = 0 (2.19)
Thus, every optimal decision must be a solution of these n simultaneous equations of n variables, so
that the search for an optimal decision from Ω is reduced to searching among the solutions of (2.19).
In practice this may be a very difﬁcult problem since these may be nonlinear equations and it may
be necessary to use a digital computer. However, in these Notes we shall not be overly concerned
with numerical solution techniques (but see 2.4.6 below).
The theorem may also have conceptual signiﬁcance. We return to the example and recall the
N = R − C. Suppose that R and C are differentiable, in which case (2.18) implies that at every
optimal decision (α
∗
, p
∗
)
∂R
∂α
(α
∗
, p
∗
) =
∂C
∂α
(α
∗
, p
∗
),
∂R
∂p
(α
∗
, p
∗
) =
∂C
∂p
(α
∗
, p
∗
),
or, in the language of economic analysis, marginal revenue = marginal cost. We have obtained an
important economic insight.
2.4 Remarks and Extensions
2.4.1 A warning.
Equation (2.11) is only a necessary condition for x
∗
to be optimal. There may exist decisions ˜ x ∈ Ω
such that f
x
(˜ x) = 0 but ˜ x is not optimal. More generally, any one of the ﬁve cases in Table 2.1 may
occur. The diagrams in Figure 2.1 illustrate these cases. In each case Ω = (−1, 1).
Note that in the last three ﬁgures there is no optimal decision since the limit points 1 and +1 are
not in the set of permissible decisions Ω = (−1, 1). In summary, the theorem does not give us any
clues concerning the existence of an optimal decision, and it does not give us sufﬁcient conditions
either.
2.4. REMARKS AND EXTENSIONS 13
Case 1 Case 2 Case 3
Case 5 Case 4
1
1 1 1
1 1
1 1 1 1
Figure 2.2: Illustration of 4.1.
2.4.2 Existence.
If the set of permissible decisions Ω is a closed and bounded subset of R
n
, and if f is continuous,
then it follows by the Weierstrass Theorem that there exists an optimal decision. But if Ω is closed
we cannot assert that the derivative of f vanishes at the optimum. Indeed, in the third ﬁgure above,
if Ω = [−1, 1], then +1 is the optimal decision but the derivative is positive at that point.
2.4.3 Local optimum.
We say that x
∗
∈ Ω is a locally optimal decision if there exists ε > 0 such that f(x
∗
) ≥ f(x)
whenever x ∈ Ω and [x
∗
− x[ ≤ ε. It is easy to see that the theorem holds (i.e., 2.11) for local
optima also.
2.4.4 Secondorder conditions.
Suppose f is twicedifferentiable and let x
∗
∈ Ω be optimal or even locally optimal. Then f
x
(x
∗
) =
0, and by Taylor’s theorem
f(x
∗
+δh) = f(x
∗
) +
1
2
δ
2
h
f
xx
(x
∗
)h +o(δ
2
), (2.20)
where
o(δ
2
)
δ
2
→ 0 as δ → 0. Now for δ > 0 sufﬁciently small f(x
∗
+δh) ≤ f(x
∗
), so that dividing
by δ
2
> 0 yields
0 ≥
1
2
h
f
xx
(x
∗
)h +
o(δ
2
)
δ
2
and letting δ approach zero we conclude that h
f
xx
(x
∗
)h ≤ 0 for all h ∈ R
n
. This means that
f
xx
(x
∗
) is a negative semideﬁnite matrix. Thus, if we have a twice differentiable objective function,
we get an additional necessary condition.
2.4.5 Sufﬁciency for local optimal.
Suppose at x
∗
∈ Ω, f
x
(x
∗
) = 0 and f
xx
is strictly negative deﬁnite. But then from the expansion
(2.20) we can conclude that x
∗
is a local optimum.
14 CHAPTER 2. OPTIMIZATION OVER AN OPEN SET
2.4.6 A numerical procedure.
At any point ˜ x ∈ Ω the gradient
x
f(˜ x) is a direction along which f(x) increases, i.e., f(˜ x+ε
x
f(˜ x)) > f(˜ x) for all ε > 0 sufﬁciently small. This observation suggests the following scheme for
ﬁnding a point x
∗
∈ Ω which satisﬁes 2.11. We can formalize the scheme as an algorithm.
Step 1. Pick x
0
∈ Ω. Set i = 0. Go to Step 2.
Step 2. Calculate
x
f(x
i
). If
x
f(x
i
) = 0, stop.
Otherwise let x
i+1
= x
i
+d
i
x
f(x
i
) and go
to Step 3.
Step 3. Set i = i + 1 and return to Step 2.
The step size d
i
can be selected in many ways. For instance, one choice is to take d
i
to be an
optimal decision for the following problem:
Max¦f(x
i
+d
x
f(x
i
))[d > 0, (x
i
+d
x
f(x
i
)) ∈ Ω¦.
This requires a onedimensional search. Another choice is to let d
i
= d
i−1
if f(x
i
+ d
i−1
x
f(x
i
)) > f(x
i
); otherwise let d
i
= 1/k d
i−1
where k is the smallest positive integer such that
f(x
i
+ 1/k d
i−1
x
f(x
i
)) > f(x
i
). To start the process we let d
−1
> 0 be arbitrary.
Exercise: Let f be continuous differentiable. Let ¦d
i
¦ be produced by either of these choices and
let
¦x
i
¦ be the resulting sequence. Then
1. f(x
i+1
) > f(x
i
) if x
i+1
= x
i
, i
2. if x
∗
∈ Ω is a limit point of the sequence ¦x
i
¦, f
x
(x
∗
) = 0.
For other numerical procedures the reader is referred to Zangwill [1969] or Polak [1971].
Chapter 3
OPTIMIZATION OVER SETS
DEFINED BY EQUALITY
CONSTRAINTS
We ﬁrst study a simple example and examine the properties of an optimal decision. This will
generalize to a canonical problem, and the properties of its optimal decisions are stated in the form
of a theorem. Additional properties are summarized in Section 3 and a numerical scheme is applied
to determine the optimal design of resistive networks.
3.1 Example
We want to ﬁnd the rectangle of maximum area inscribed in an ellipse deﬁned by
f
1
(x, y) =
x
2
a
2
+
y
2
b
2
= α.
(3.1)
The problem can be formalized as follows (see Figure 3.1):
Maximize
subject to
f
0
(x, y)
(x, y) ∈ Ω
= 4xy
= ¦(x, y)[f
1
(x, y) = α¦.
(3.2)
The main difference between problem (3.2) and the decisions studied in the last chapter is that
the set of permissible decisions Ω is not an open set. Hence, if (x
∗
, y
∗
) is an optimal decision we
cannot assert that f
0
(x
∗
, y
∗
) ≥ f
0
(x, y) for all (x, y) in an open set containing (x
∗
, y
∗
). Returning
to problem (3.2), suppose (x
∗
, y
∗
) is an optimal decision. Clearly then either x
∗
= 0 or y
∗
= 0. Let
us suppose y
∗
= 0. Then from ﬁgure 3.1 it is evident that there exist (i)ε > 0, (ii) an open set V
containing (x
∗
, y
∗
), and (iii) a differentiable function g : (x
∗
−ε, x
∗
+ε) → V such that
f
1
(x, y) = α and (x, y) ∈ V iff fy = g(x).
1
(3.3)
In particular this implies that y
∗
= g(x
∗
), and that f
1
(x, g(x)) = α whenever [x − x
∗
[ < ε. Since
1
Note that y
∗
= 0 implies f1y(x
∗
, Y
∗
) = 0, so that this assertion follows from the Implicit Function Theorem. The
assertion is false if y
∗
= 0. In the present case let 0 < ε ≤ a −x
∗
and g(x) = +b[α −(x/a)
2
]
1/2
.
15
16 CHAPTER 3. OPTIMIZATION WITH EQUALITY CONSTRAINTS
) ( 

y
∗
g(x)
Tangent plane to
Ω at (x
∗
, y
∗
)
(f
1x
, f
1y
)
V
x
∗
x
Ω
Figure 3.1: Illustration of example.
(x
∗
, y
∗
) = (x
∗
, g(x
∗
)) is optimum for (3.2), it follows that x
∗
is an optimal solution for (3.4):
Maximize
subject to
ˆ
f
0
(x) = f
0
(x, g(x))
[x −x
∗
[ < ε.
(3.4)
But the constraint set in (3.4) is an open set (in R
1
) and the objective function
ˆ
f
0
is differentiable,
so that by Theorem 2.3.1,
ˆ
f
0x
(x
∗
) = 0, which we can also express as
f
0x
(x
∗
, y
∗
) +f
0y
(x
∗
, y
∗
)g
x
(x
∗
) = 0 (3.5)
Using the fact that f
1
(x, g(x)) ≡ α for [x −x
∗
[ < ε, we see that
f
1x
(x
∗
, y
∗
) +f
1y
(x
∗
, y
∗
)g
x
(x
∗
) = 0,
and since f
1y
(x
∗
, y
∗
) = 0 we can evaluate g
x
(x
∗
),
g
x
(x
∗
) = −f
−1
1y
f
1x
(x
∗
, y
∗
),
and substitute in (3.5) to obtain the condition (3.6):
f
0x
−f
0y
f
−1
1y
f
1x
= 0 at (x
∗
, y
∗
). (3.6)
Thus an optimal decision (x
∗
, y
∗
) must satisfy the two equations f
1
(x
∗
, y
∗
) = α and (3.6). Solving
these yields
x
∗
=
+
−
(α/2)
1/2
a , y
∗
=
+
−
(α/2)
1/2
b.
3.2. GENERAL CASE 17
Evidently there are two optimal decisions, (x
∗
, y
∗
) =
+
−
(α/2)
1/2
(a, b), and the maximum area is
m(α) = 2αab. (3.7)
The condition (3.6) can be interpreted differently. Deﬁne
λ
∗
= f
0y
f
−1
1y
(x
∗
, y
∗
). (3.8)
Then (3.6) and (3.8) can be rewritten as (3.9):
(f
0x
, f
0y
) = λ
∗
(f
1x
, f
1y
) at (x
∗
, y
∗
) (3.9)
In terms of the gradients of f
0
, f
1
, (3.9) is equivalent to
f
0
(x
∗
, y
∗
) = [f
1
(x
∗
, y
∗
)]λ
∗
, (3.10)
which means that at an optimal decision the gradient of the objective function f
0
is normal to the
plane tangent to the constraint set Ω.
Finally we note that
λ
∗
=
∂m
∂α
. (3.11)
where m(α) = maximum area.
3.2 General Case
3.2.1 Theorem.
Let f
i
: R
n
→ R, i = 0, 1, . . . , m (m < n), be continuously differentiable functions and let x
∗
be
an optimal decision of problem (3.12):
Maximize
subject to
f
0
(x)
f
i
(x) = α
i
, i = 1, . . . , m.
(3.12)
Suppose that at x
∗
the derivatives f
ix
(x
∗
), i = 1, . . . , m, are linearly independent. Then there exists
a vector λ
∗
= (λ
∗
1
, . . . , λ
∗
m
)
such that
f
0x
(x
∗
) = λ
∗
1
f
1x
(x
∗
) +. . . +λ
∗
m
f
mx
(x
∗
) (3.13)
Furthermore, let m(α
1
, . . . , α
m
) be the maximum value of (3.12) as a function of α = (α
1
, . . . , α
m
)
.
Let x
∗
(α) be an optimal decision for (3.12). If x
∗
(α) is a differentiable function of α then m(α) is
a differentiable function of α, and
(λ
∗
)
=
∂m
∂α
(3.14)
Proof. Since f
ix
(x
∗
), i = 1, . . . , m, are linearly independent, then by relabeling the coordinates of
x if necessary, we can assume that the mmmatrix [(∂f
i
/∂x
j
)(x
∗
)], 1 ≤ i, j ≤ m, is nonsingular.
By the Implicit Function Theorem (see Fleming [1965]) it follows that there exist (i) ε > 0, (ii) an
18 CHAPTER 3. OPTIMIZATION WITH EQUALITY CONSTRAINTS
open set V in R
n
containing x
∗
, and (iii) a differentiable function g : U → R
m
, where U =
[(x
m+1
, . . . , x
n
)][ [x
m+
−x
∗
m+
[ < ε, = 1, . . . , n −m], such that
f
i
(x
1
, . . . , x
n
) = α
i
, 1 ≤ i ≤ m, and (x
1
, . . . , x
n
) ∈ V
iff
x
j
= g
j
(x
m+1
, . . . , x
n
), 1 ≤ j ≤ m, and (x
m+1
, . . . , x
n
) ∈ U (3.15)
(see Figure 3.2).
In particular this implies that x
∗
j
= g
j
(x
∗
m+1
, . . . , x
∗
n
), 1 ≤ j ≤ m, and
f
i
(g(x
m+1
, . . . , x
n
), x
m+1
, . . . , x
n
) = α
i
, i = 1, . . . , m. (3.16)
For convenience, let us deﬁne w = (x
1
, . . . , x
m
)
, u = (x
m+1
, . . . , x
n
)
and f = (f
1
, . . . , f
m
)
.
Then, since x
∗
= (w
∗
, u
∗
) = (g(u
∗
), u
∗
) is optimal for (3.12), it follows that u
∗
is an optimal
decision for (3.17):
Maximize
subject to
ˆ
f
0
(u) = f
0
(g(u), u)
u ∈ U.
(3.17)
But U is an open subset of R
n−m
and
ˆ
f
0
is a differentiable function on U (since f
0
and g are
differentiable), so that by Theorem 2.3.1 ,
ˆ
f
0u
(u
∗
) = 0, which we can also express using the chain
rule for derivatives as
ˆ
f
0u
(u
∗
) = f
0w
(x
∗
)g
u
(u
∗
) +f
0u
(x
∗
) = 0. (3.18)
Differentiating (3.16) with respect to u = (x
m+1
, . . . , x
n
)
, we see that
f
w
(x
∗
)g
u
(u
∗
) +f
u
(x
∗
) = 0,
and since the mm matrix f
w
(x
∗
) is nonsingular we can evaluate g
u
(u
∗
),
g
u
(u
∗
) = −[f
w
(x∗)]
−1
f
u
(x
∗
),
and substitute in (3.18) to obtain the condition
−f
0w
f
−1
w
f
u
+f
0u
= 0 at x
∗
= (w
∗
, u
∗
). (3.19)
Next, deﬁne the mdimensional column vector λ
∗
by
(λ
∗
)
= f
0w
f
−1
w
[x
∗
. (3.20)
Then (3.19) and (3.20) can be written as (3.21):
(f
0w
(x
∗
), f
0u
(x
∗
)) = (λ
∗
)
(f
w
(x
∗
), f
u
(x
∗
)). (3.21)
Since x = (w, u), this is the same as
f
0x
(x
∗
) = (λ
∗
)
f
x
(x
∗
) = λ
∗
1
f
1x
(x
∗
) +. . . +λ
∗
m
f
mx
(x
∗
),
3.2. GENERAL CASE 19
.
.
.
.
x
1
, . . . , x
m
x
∗
V
x
m+1
(x
m+1
, . . . , x
n
)
(x
∗
m+1
, . . . , x
∗
n
)
2
U
x
n
Ω =
¦x[f
i
(x) = α
i
¦
i = 1, . . . , m
(x
∗
1
, . . . , x
∗
m
)
g(x
m+1
, . . . , x
n
)
Figure 3.2: Illustration of theorem.
which is equation (3.13).
To prove (3.14), we vary α in a neighborhood of a ﬁxed value, say α. We deﬁne w
∗
(α) =
(x
∗
1
(α), . . . , x
∗
m
(α))
and u
∗
(α) = (x
∗
m+1
(α), . . . , x
∗
(
α))
. By hypothesis, f
w
is nonsingular at
x
∗
(α). Since f(x) and x
∗
(α) are continuously differentiable by hypothesis, it follows that f
w
is
nonsingular at x
∗
(α) in a neighborhood of α, say N. We have the equation
f(w
∗
(α), u
∗
(α)) = α, (3.22)
−f
0w
f
−1
w
f
u
+f
0u
= 0 at (w
∗
(α), u
∗
(α)), (3.23)
for α ∈ N. Also, m(α) = f
0
(x
∗
(α)), so that
m
α
= f
0w
w
∗
α
+f
0u
u
∗
α
(3.24)
Differentiating (3.22) with respect to α gives
f
w
w
∗
α
+f
u
u
∗
α
= I,
so that
w
∗
α
+f
−1
w
f
u
u
∗
α
= f
−1
w
,
20 CHAPTER 3. OPTIMIZATION WITH EQUALITY CONSTRAINTS
and multiplying on the left by f
0w
gives
f
0w
w
∗
α
+f
0w
f
−1
w
f
u
u
∗
α
= f
0w
f
−1
w
.
Using (3.23), this equation can be rewritten as
f
0w
w
∗
α
+f
0u
u
∗
α
= f
0w
f
−1
w
. (3.25)
In (3.25), if we substitute from (3.20) and (3.24), we obtain (3.14) and the theorem is proved. ♦
3.2.2 Geometric interpretation.
The equality constraints of the problem in 3.12 deﬁne a n −m dimensional surface
Ω = ¦x[f
i
(x) = α
i
, i = 1, . . . , m¦.
The hypothesis of linear independence of ¦f
ix
(x
∗
)[1 ≤ i ≤ m¦ guarantees that the tangent plane
through Ω at x
∗
is described by
¦h[f
ix
(x
∗
)h = 0 , i = 1, . . . , m¦, (3.26)
so that the set of (column vectors orthogonal to this tangent surface is
¦λ
1
x
f
1
(x
∗
) +. . . +λ
m
x
f
m
(x
∗
)[λ
i
∈ R, i = 1, . . . , m¦.
Condition (3.13) is therefore equivalent to saying that at an optimal decision x
∗
, the gradient of the
objective function
x
f
0
(x
∗
) is normal to the tangent surface (3.12).
3.2.3 Algebraic interpretation.
Let us again deﬁne w = (x
1
, . . . , x
m
)
and u = (x
m+1
, . . . , x
n
)
. Suppose that f
w
(˜ x) is nonsin
gular at some point ˜ x = ( ˜ w, ˜ u) in Ω which is not necessarily optimal. Then the Implicit Function
Theorem enables us to solve, in a neighborhood of ˜ x, the mequations f(w, u) = α. u can then vary
arbitrarily in a neighborhood of ˜ u. As u varies, w must change according to w = g(u) (in order to
maintain f(w, u) = α), and the objective function changes according to
ˆ
f
0
(u) = f
0
(g(u), u). The
derivative of
ˆ
f
0
at ˜ u is
ˆ
f
0u
(˜ u) = f
0w
g
u
+f
0u˜ x
= −
˜
λ
f
u
(˜ x) +f
0u
(˜ x),
where
˜
λ
= f
0w
f
−1
w˜ x
, (3.27)
Therefore, the direction of steepest increase of
ˆ
f
0
at ˜ u is
u
ˆ
f
0
(˜ u) = −f
u
(˜ x)
˜
λ +f
Ou
(˜ x) , (3.28)
and if ˜ u is optimal,
u
ˆ
f
0
(˜ u) = 0 which, together with (3.27) is equation (3.13). We shall use (3.27)
and (3.28) in the last section.
3.3. REMARKS AND EXTENSIONS 21
3.3 Remarks and Extensions
3.3.1 The condition of linear independence.
The necessary condition (3.13) need not hold if the derivatives f
ix
(x
∗
), 1 ≤ i ≤ m, are not linearly
independent. This can be checked in the following example
Minimize
subject to sin(x
2
1
+x
2
2
)
π
2
(x
2
1
+x
2
2
) = 1.
(3.29)
3.3.2 An alternative condition.
Keeping the notation of Theorem 3.2.1, deﬁne the Lagrangian function L : R
n+m
→ R by L :
(x, λ) → f
0
(x) −
¸
m
i=1
λ
i
f
i
(x). The following is a reformulation of 3.12, and its proof is left as
an exercise.
Let x
∗
be optimal for (3.12), and suppose that f
ix
(x
∗
), 1 ≤ i ≤ m, are linearly independent.
Then there exists λ
∗
∈ R
m
such that (x
∗
, λ
∗
) is a stationary point of L, i.e., L
x
(x
∗
, λ
∗
) = 0 and
L
λ
(x
∗
, λ
∗
) = 0.
3.3.3 Secondorder conditions.
Since we can convert the problem (3.12) into a problem of maximizing
ˆ
f
0
over an open set, all
the comments of Section 2.4 will apply to the function
ˆ
f
0
. However, it is useful to translate these
remarks in terms of the original function f
0
and f. This is possible because the function g is
uniquely speciﬁed by (3.16) in a neighborhood of x
∗
. Furthermore, if f is twice differentiable, so
is g (see Fleming [1965]). It follows that if the functions f
i
, 0 ≤ i ≤ m, are twice continuously
differentiable, then so is
ˆ
f
0
, and a necessary condition for x
∗
to be optimal for (3.12) and (3.13) and
the condition that the (n − m) (n − m) matrix
ˆ
f
0uu
(u
∗
) is negative semideﬁnite. Furthermore,
if this matrix is negative deﬁnite then x
∗
is a local optimum. the following exercise expresses
f
ˆ
f
0uu
(u
∗
) in terms of derivatives of the functions f
i
.
Exercise: Show that
ˆ
f
0uu
(u
∗
) = [g
u
.
.
.I]
¸
L
ww
L
uw
L
wu
L
uu
g
u
. . .
I
¸
¸
(w
∗
, u
∗
)
where
g
u
(u
∗
) = −[f
w
(x
∗
)]
−1
f
u
(x
∗
), L(x) = f
0
(x) −
m
¸
i=1
λ
∗
i
f
i
(x).
22 CHAPTER 3. OPTIMIZATION WITH EQUALITY CONSTRAINTS
3.3.4 A numerical procedure.
We assume that the derivatives f
ix
(x), 1 ≤ i ≤ m, are linearly independent for all x. Then the
following algorithm is a straightforward adaptation of the procedure in Section 2.4.6.
Step 1. Find x
0
arbitrary so that f
i
(x
0
) = α
i
, 1 ≤ i ≤ m. Set k = 0 and go to Step 2.
Step 2. Find a partition x = (w, u)
2
of the variables such that f
w
(x
k
) is nonsingular. Calculate λ
k
by (λ
k
)
= f
0w
f
−1
w(xk)
, and
ˆ
f
k
0
(u
k
) = −f
u
(x
k
)λ
k
+f
0u
(x
k
). If
ˆ
f
k
0
(u
k
) = 0, stop. Otherwise
go to Step 3.
Step 3. Set ˜ u
k
= u
k
+d
k
ˆ
f
k
0
(u
k
). Find ˜ w
k
such that f
i
( ˜ w
k
, ˜ u
k
) = 0, 1 ≤ i ≤ m. Set
x
k+1
= ( ˜ w
k
, ˜ u
k
), set k = k + 1, and return to Step 2.
Remarks. As before, the step sizes d
k
> 0 can be selected various ways. The practical applicability
of the algorithm depends upon two crucial factors: the ease with which we can ﬁnd a partition
x = (w, u) so that f
w
(x
k
) is nonsingular, thus enabling us to calculate λ
k
; and the ease with which
we can ﬁnd ˜ w
k
so that f( ˜ w
k
, ˜ u
k
) = α. In the next section we apply this algorithm to a practical
problem where these two steps can be carried out without too much difﬁculty.
3.3.5 Design of resistive networks.
Consider a network N with n + 1 nodes and b branches. We choose one of the nodes as datum
and denote by e = (e
1
, . . . , e
n
)
the vector of nodetodatum voltages. Orient the network graph
and let v = (v
1
, . . . , v
b
)
and j = (j
1
, . . . , j
b
)
respectively, denote the vectors of branch voltages
and branch currents. Let A be the n b reduced incidence matrix of the network graph. Then the
Kirchhoff current and voltage laws respectively yield the equations
Aj = 0 and A
e = v (3.30)
Next we suppose that each branch k contains a (possibly nonlinear)resistive element with the form
shown in Figure 3.3, so that
j
k
−j
sk
= g
k
(v
rk
) = g
k
(v
k
−v
sk
), 1 ≤ k ≤ b, (3.31)
where v
rk
is the voltage across the resistor. Here j
sk
, v
sk
are the source current and voltage in the
kth branch, and g
k
is the characteristic of the resistor. Using the obvious vector notation j
s
∈ R
b
,
v
s
∈ R
b
for the sources, v
r
∈ R
b
for the resistor voltages, and g = (g
1
, . . . , g
b
)
, we can rewrite
(3.30) as (3.31):
j −j
s
= g(v −v
s
) = g(v
r
). (3.32)
Although (3.30) implies that the current (j
k
−j
s
k) through the kth resistor depends only on the
voltage v
rk
= (v
k
−v
sk
) across itself, no essential simpliﬁcation is achieved. Hence, in (3.31) we
shall assume that g
k
is a function of v
r
. This allows us to include coupled resistors and voltage
controlled current sources. Furthermore, let us suppose that there are design parameters p =
(p
1
, . . . , p
)
which are under our control, so that (3.31) is replaced by (3.32):
j −j
x
= g(v
r
, p) = g(v−v
s
, p). (3.33)
2
This is just a notational convenience. The w variable may consist of any m components of x.
3.3. REMARKS AND EXTENSIONS 23
o

+ 
+ 
+
o
j
sk
v
rk
v
sk
j
k
−j
sk
j
k
v
k
Figure 3.3: The kth branch.
If we combine (3.29) and (3.32) we obtain (3.33):
Ag(A
e −v
s
, p) = i
s
, (3.34)
where we have deﬁned i
s
= A
js
. The network design problem can then be stated as ﬁnding p, v
s
, i
s
so as to minimize some speciﬁed function f
0
(e, p, v
s
, i
s
). Formally, we have the optimization prob
lem (3.34):
Minimize
subject to
f
0
(e, p, v
s
, i
s
)
Ag(A
e −v
s
, p) −i
s
= 0.
(3.35)
We shall apply the algorithm 3.3.4 to this problem. To do this we make the following assumption.
Assumption: (a) f
0
is differentiable. (b) g is differentiable and the nn matrix A(∂g/∂v)(v, p)A
is nonsingular for all v ∈ R
b
, p ∈ R
. (c) The network N described by (3.33) is determinate i.e.,
for every value of (p, v
s
, i
s
) there is a unique e = E(p, v
s
, i
s
) satisfying (3.33).
In terms of the notation of 3.3.4, if we let x = (e, p, v
s
, i
s
), then assumption (b) allows us to
identify w = e, and u = (p, v
s
, i
s
). Also let f(x) = f(e, p, v
s
, i
s
) = Ag(A
e−v
s
, p) −i
s
. Now the
crucial part in the algorithm is to obtain λ
k
at some point x
k
. To this end let ˜ x = (˜ e, ˜ p, ˜ v
s
,
˜
i
s
) be a
ﬁxed point. Then the corresponding λ =
˜
λ is given by (see (3.27))
˜
λ
= f
0w
(˜ x)f
−1
w
(˜ x) = f
0e
(˜ x)f
−1
e
(˜ x). (3.36)
From the deﬁnition of f we have
f
e
(˜ x) = AG(˜ v
r
, ˜ p)A
,
where ˜ v
r
= A
˜ e − ˜ v
s
, and G(˜ v
r
, ˜ p) = (∂g/∂v
r
)(˜ v
r
, ˜ p). Therefore,
˜
λ is the solution (unique by
assumption (b)) of the following linear equation:
AG
(˜ v
r
, ˜ p)A
˜
λ = f
0e
(˜ x). (3.37)
Now (3.36) has the following extremely interesting physical interpretation. If we compare (3.33)
with (3.36) we see immediately that
˜
λ is the nodetodatum response voltages of a linear network
N(˜ v
r
, ˜ p) driven by the current sources f
0e
(˜ x). Furthermore, this network has the same graph as
the original network (since they have the same incidence matrix); moreover, its branch admittance
matrix, G
(˜ v
r
, ˜ p), is the transpose of the incremental branch admittance matrix (evaluated at (˜ v
r
, ˜ p))
of the original network N. For this reason, N(˜ v
r
, ˜ p) is called the adjoint network (of N) at (˜ v
r
, ˜ p).
24 CHAPTER 3. OPTIMIZATION WITH EQUALITY CONSTRAINTS
Once we have obtained
˜
λ we can obtain
u
ˆ
f
0
(˜ u) using (3.28). Elementary calculations yield
(3.37):
u
ˆ
f
0
(˜ u) =
ˆ
f
0p
(˜ u)
ˆ
f
0vs
(˜ u)
ˆ
f
0is
(˜ u)
¸
¸
¸ =
[
∂g
∂p
(˜ v
r
, ˜ p)]
A
G
(˜ v
r
, ˜ p)A
−I
¸
¸ ˜
λ +
f
0p
(˜ x)
f
0vs
(˜ x)
f
0is
(˜ x)
¸
¸
(3.38)
We can now state the algorithm.
Step 1. Select u
0
= (p
0
, v
0
s
, i
0
s
) arbitrary. Solve (3.33) to obtain e
0
= E(p
0
, v
0
s
, i
0
s
). Let k = 0 and
go to Step 2.
Step 2. Calculate v
k
r
= A
e
k
−v
k
s
. calculate f
0e
(x
k
). Calculate the nodetodatum response λ
k
of
the adjoint network N(v
k
r
, p
k
) driven by the current source f
0e
(x
k
). Calculate
u
ˆ
f
0
(u
k
) from
(3.37). If this gradient is zero, stop. Otherwise go to Step 3.
Step 3. Let u
k+1
= (p
k+1
, v
k+1
s
, i
k+1
s
) = u
k
−d
k
u
ˆ
f
0
(u
k
), where d
k
> 0 is a predetermined
step size.
3
Solve (3.33) to obtain e
k+1
= (Ep
k+1
, v
k+1
s
, i
k+1
s
). Set k = k +1 and return to Step 2.
Remark 1. Each iteration from u
k
to u
k+1
requires one linear network analysis step (the
computation of λ
k
in Step 2), and one nonlinear network analysis step (the computation of e
k+1
in
step 3). This latter step may be very complex.
Remark 2. In practice we can control only some of the components of v
s
and i
s
, the rest being
ﬁxed. The only change this requires in the algorithm is that in Step 3 we set
p
k+1
= p
k
−d
k
ˆ
f
0p
(u
k
) just as before, where as v
k+1
sj
= v
k
sj
−d
k
(∂
ˆ
f
0
/∂v
sj
)(u
k
) and
i
k+1
sm
= i
k
sm
−d
k
(∂
ˆ
f
0
/∂i
sm
)(u
k
) with j and m ranging only over the controllable components and
the rest of the components equal to their speciﬁed values.
Remark 3. The interpretation of λ as the response of the adjoint network has been exploited for
particular function f
0
in a series of papers (director and Rohrer [1969a], [1969b], [1969c]). Their
derivation of the adjoint network does not appear as transparent as the one given here. Although
we have used the incidence matrix A to obtain our network equation (3.33), one can use a more
general cutset matrix. Similarly, more general representations of the resistive elements may be
employed. In every case the “adjoint” network arises from a network interpretation of (3.27),
[f
w
(˜ x)]
˜
λ = f
0w
(˜ x),
with the transpose of the matrix giving rise to the adjective “adjoint.”
Exercise: [DC biasing of transistor circuits (see Dowell and Rohrer [1971]).] Let N be a transistor
circuit, and let (3.33) model the dc behavior of this circuit. Suppose that i
s
is ﬁxed, v
sj
for j ∈ J
are variable, and v
sj
for j / ∈ J are ﬁxed. For each choice of v
sj
, j ∈ J, we obtain the vector e and
hence the branch voltage vector v = A
e. Some of the components v
t
, t ∈ T, will correspond to
bias voltages for the transistors in the network, and we wish to choose v
sj
, j ∈ J, so that v
t
is as
close as possible to a desired bias voltage v
d
t
, t ∈ T. If we choose nonnegative numbers α
t
, with
relative magnitudes reﬂecting the importance of the different transistors then we can formulate the
criterion
3
Note the minus sign in the expression u
k
−d
k
u
ˆ
f0(u
k
). Remember we are minimizing f0, which is equivalent to
maximizing (−f0).
3.3. REMARKS AND EXTENSIONS 25
f
0
(e) =
¸
t∈T
α
t
[v
t
−v
d
t
[
2
.
(i) Specialize the algorithm above for this particular case.
(ii) How do the formulas change if the network equations are written using an arbitrary cutset matrix
instead of the incidence matrix?
26 CHAPTER 3. OPTIMIZATION WITH EQUALITY CONSTRAINTS
Chapter 4
OPTIMIZATION OVER SETS
DEFINED BY INEQUALITY
CONSTRAINTS: LINEAR
PROGRAMMING
In the ﬁrst section we study in detail Example 2 of Chapter I, and then we deﬁne the general linear
programming problem. In the second section we present the duality theory for linear program
ming and use it to obtain some sensitivity results. In Section 3 we present the Simplex algorithm
which is the main procedure used to solve linear programming problems. In section 4 we apply
the results of Sections 2 and 3 to study the linear programming theory of competitive economy.
Additional miscellaneous comments are collected in the last section. For a detailed and readily ac
cessible treatment of the material presented in this chapter see the companion volume in this Series
(Sakarovitch [1971]).
4.1 The Linear Programming Problem
4.1.1 Example.
Recall Example 2 of Chapter I. Let g and u respectively be the number of graduate and undergradu
ate students admitted. Then the number of seminars demanded per year is
2g+u
20
, and the number of
lecture courses demanded per year is
5g+7u
40
. On the supply side of our accounting, the faculty can
offer 2(750) + 3(250) = 2250 seminars and 6(750) + 3(250) = 5250 lecture courses. Because of
his contractual agreements, the President must satisfy
2g+u
20
≤ 2250 or 2g +u ≤ 45, 000
and
5g+7u
40
≤ 5250 or 5g + 7u ≤ 210, 000 .
27
28 CHAPTER 4. LINEAR PROGRAMMING
Since negative g or u is meaningless, there are also the constraints g ≥ 0, u ≥ 0. Formally then the
President faces the following decision problem:
Maximize αg +βu
subject to 2g +u ≤ 45, 000
5g + 7u ≤ 210, 000
g ≥ 0, u ≥ 0 .
(4.1)
It is convenient to use a more general notation. So let x = (g, u)
, c = (α, β)
, b = (45000, 210000, 0, 0)
and let A be the 42 matrix
A =
2
5
−1
0
1
7
0
−1
¸
¸
¸
¸
.
Then (4.1) can be rewritten as (4.2)
1
Maximize c
x
subject to Ax ≤ b .
(4.2)
Let A
i
, 1 ≤ i ≤ 4, denote the rows of A. Then the set Ω of all vectors x which satisfy the constraints
in (4.2) is given by Ω = ¦x[A
i
x ≤ b
i
, 1 ≤ i ≤ 4¦ and is the polygon OPQR in Figure 4.1.
For each choice x, the President receives the payoff c
x. Therefore, the surface of constant payoff
k say, is the hyperplane π(k) = ¦x[c
x = k¦. These hyperplanes for different values of k are
parallel to one another since they have the same normal c. Furthermore, as k increases π(k) moves
in the direction c. (Obviously we are assuming in this discussion that c = 0.) Evidently an optimal
decision is any point x
∗
∈ Ω which lies on a hyperplane π(k) which is farthest along the direction
c. We can rephrase this by saying that x∗ ∈ Ω is an optimal decision if and only if the plane π
∗
through x
∗
does not intersect the interior of Ω, and futhermore at x
∗
the direction c points away
from Ω. From this condition we can immediately draw two very important conclusions: (i) at least
one of the vertices of Ω is an optimal decision, and (ii) x
∗
yields a higher payoff than all points
in the cone K
∗
consisting of all rays starting at x
∗
and passing through Ω, since K
∗
lies “below”
π
∗
. The ﬁrst conclusion is the foundation of the powerful Simplex algorithm which we present in
Section 3. Here we pursue consequences of the second conclusion. For the situation depicted in
Figure 4.1 we can see that x
∗
= Q is an optimal decision and the cone K
∗
is shown in Figure 4.2.
Now x
∗
satisﬁes A
x
x
∗
= b
1
, A
2
x
∗
= b
2
, and A
3
x
∗
< b
3
, A
4
x
∗
< b
4
, so that K
∗
is given by
K
∗
= ¦x
∗
+h[A
1
h ≤ 0 , A
2
h ≤ 0¦ .
Since c
x
∗
≥ c
y for all y ∈ K
∗
we conclude that
c
h ≤ 0 for all h such that A
1
h ≤ 0, A
2
h ≤ 0 . (4.3)
We pause to formulate the generalization of (4.3) as an exercise.
1
Recall the notation introduced in 1.1.2, so that x ≤ y means xi ≤ yi for all i.
4.1. THE LINEAR PROGRAMMING PROBLEM 29
,










x
2
π(k) = ¦x[c
x = k¦
π
∗
Q = x
∗
direction of
increasing
payoff k
¦x[A
2
x = b
2
¦
x
1
¦x[A
1
x = b
1
¦
R
A
4
O A
3
A
1
⊥ QR
c ⊥ π
∗
A
2
⊥ PQ
P
Figure 4.1: Ω = OPQR.
Exercise 1: Let A
i
, 1 ≤ i ≤ k, be ndimensional row vectors. Let c ∈ R
n
, and let b
i
, 1 ≤ i ≤ k,
be real numbers. Consider the problem
Maximize c
x
subject to A
i
x ≤ b
i
, 1 ≤ i ≤ k .
For any x satisfying the constraints, let I(x) ⊂ ¦1, . . . , n¦ be such that A
i
(x) = b
i
, i ∈ I(x), A
i
x <
b
i
, i / ∈ I(x). Suppose x
∗
satisﬁes the constraints. Show that x
∗
is optimal if an only if
c
h ≤ 0 for all h such that A
i
h ≤ 0 , i ∈ I(x
∗
).
Returning to our problem, it is clear that (4.3) is satisﬁed as long as c lies between A
1
and A
2
.
Mathematically this means that (4.3) is satisﬁed if and only if there exist λ
∗
1
≥ 0, λ
∗
2
≥ 0 such that
2
c
= λ
∗
1
, A
1
+λ
∗
2
A
2
. (4.4)
As c varies, the optimal decision will change. We can see from our analysis that the situation is as
follows (see Figure 4.1):
2
Although this statement is intuitively obvious, its generalization to n dimensions is a deep theorem known as Farkas’
lemma (see Section 2).
30 CHAPTER 4. LINEAR PROGRAMMING
P
x
∗
= Q
K
∗
π
∗
R
A
4
O
A
3
A
2
c
A
1
Figure 4.2: K
∗
is the cone generated by Ω at x
∗
.
1. x
∗
= Qis optimal iff c lies between A
1
and A
2
iff c
= λ
∗
1
A
1
+λ
∗
2
A
2
for some λ
∗
1
≥ 0, λ
∗
2
≥
0,
2. x
∗
∈ QP is optimal iff c lies along A
2
iff c
= λ
∗
2
A
2
for some λ
∗
2
≥ 0,
3. x
∗
= P is optimal iff c lies between A
3
and A
2
iff c
= λ
∗
2
A
2
+λ
∗
3
A
3
for some λ
∗
2
≥ 0, λ
∗
3
≥
0, etc.
These statements can be made in a more elegant way as follows:
x
∗
∈ Ω is optimal iff there exists λ
∗
i
≥ 0 , 1 ≤ i ≤ 4, such that
(a) c
=
4
¸
i=1
λ
∗
i
a
i
, (b) if A
i
x
∗
< b
i
then λ
∗
i
= 0 . (4.5)
For purposes of application it is useful to separate those constraints which are of the form x
i
≥ 0,
from the rest, and to reformulate (4.5) accordingly We leave this as an exercise.
Exercise 2: Show that (4.5) is equivalent to (4.6), below. (Here A
i
= (a
i1
, a
i2
).) x
∗
∈ Ω is optimal
iff there exist λ
∗
1
≥ 0 , λ
∗
2
≥ 0 such that
(a) c
i
≤ λ
∗
1
a
1i
+λ
∗
2
a
2i
, i = 1, 2,
(b) if a
j1
x
∗
1
+a
j2
x
∗
2
< b
j
then x
∗
j
= 0, j = 1, 2.
(c) if c
i
< λ
∗
1i
+λ
∗
2
a
2i
then x
∗
i
= 0, i = 1, 2.
(4.6)
4.1. THE LINEAR PROGRAMMING PROBLEM 31
4.1.2 Problem formulation.
A linear programming problem (or LP in brief) is any decision problem of the form 4.7.
Maximize c
1
x
1
+c
2
x
2
+. . . +c
n
x
n
subject to
a
il
x
1
+a
i2
x
2
+. . . +a
in
x
n
≤ b
i
, l ≤ i ≤ k ,
a
il
x
1
+. . . . . . . . . +a
in
x
n
≥ b
i
, k + 1 ≤ i ≤ ,
a
il
x
1
+. . . . . . . . . +a
in
x
n
= b
i
, + 1 ≤ i ≤ m ,
and
x
j
≥ 0 , 1 ≤ j ≤ p ,
x
j
≥ 0 , p + 1 ≤ j ≤ q;
x
j
arbitary , q + 1 ≤ j ≤ n ,
(4.7)
where the c
j
, a
ij
, b
i
are ﬁxed real numbers.
There are two important special cases:
Case I: (4.7) is of the form (4.8):
Maximize
n
¸
j=1
c
j
x
j
subject to
n
¸
j=1
a
ij
x
j
≤ b
i
,
x
j
≥ 0 ,
1 ≤ i ≤ m ,
1 ≤ j ≤ n
(4.8)
Case II: (4.7) is of the form (4.9):
Maximize
n
¸
j=1
c
j
x
j
subject to
n
¸
j=1
a
ij
x
j
= b
i
,
x
j
≥ 0 ,
1 ≤ i ≤ m ,
1 ≤ j ≤ n .
(4.9)
Although (4.7) appears to be more general than (4.8) and (4.9), such is not the case.
Proposition: Every LP of the form (4.7) can be transformed into an equivalent LP of the form (4.8).
Proof.
Step 1: Replace each inequality constraint
¸
a
ij
x
j
≥ b
i
by
¸
(−a
ij
)x
j
≤ (−b
i
).
Step 2: Replace each equality constraint
¸
a
ij
x
j
= b
i
by two inequality constraints:
¸
a
ij
x
j
≤ b
i
,
¸
(−a
ij
)x
j
≤ (−b
i
).
Step 3: Replace each variable x
j
which is constrained x
j
≤ 0 by a variable y
j
= −x
j
constrained
y
j
≥ 0 and then replace a
ij
x
j
by (−a
ij
)y
j
for every i and c
j
x
j
by (−c
j
)y
j
.
32 CHAPTER 4. LINEAR PROGRAMMING
Step 4: Replace each variable x
j
which is not constrained in sign by a pair of variables
y
j
−z
j
= x
j
constrained y
j
≥ 0, z
j
≥ 0 and then replace a
ij
x
j
by a
ij
y
j
+ (−a
ij
)z
j
for every i and
c
j
x
j
by c
j
y
j
+ (−c
j
)z
j
. Evidently the resulting LP has the form (4.8) and is equivalent to the
original one. ♦
Proposition: Every LP of the form (4.7) can be transformed into an equivalent LP of the from (4.9)
Proof.
Step 1: Replace each inequality constraint
¸
a
ij
x
j
≤ b
i
by the equality constraint
¸
a
ij
x
j
+y
i
= b
i
where y
i
is an additional variable constrained y
i
≥ 0.
Step 2: Replace each inequality constraint
¸
a
ij
x
j
≥ b
i
by the equality constraint
¸
a
ij
x
j
−y
i
= b
i
where y
i
is an additional variable constrained by y
i
≥ 0. (The new variables
added in these steps are called slack variables.)
Step 3, Step 4: Repeat these steps from the previous proposition. Evidently the new LP has the
form (4.9) and is equivalent to the original one. ♦
4.2 Qualitative Theory of Linear Programming
4.2.1 Main results.
We begin by quoting a fundamental result. For a proof the reader is referred to (Mangasarian
[1969]).
Farkas’ Lemma. Let A
i
, 1 ≤ i ≤ k, be ndimensional row vectors. Let c ∈ R
n
be a column vector.
The following statements are equivalent:
(i) for all x ∈ R
n
, A
i
x ≤ 0 for 1 ≤ i ≤ k implies c
x ≤ 0,
(ii) there exists λ
1
≥ 0, . . . , λ
k
≥ 0 such that c
=
k
¸
i=1
λ
i
A
i
.
An algebraic version of this result is sometimes more convenient.
Farkas’ Lemma (algebraic version). Let Abe a kn matrix. Let c ∈ R
n
. The following statements
are equivalent.
(i) for all x ∈ R
n
, Ax ≤ 0 implies c
x ≤ 0,
(ii) there exists λ ≥ 0, λ ∈ R
k
, such that A
λ = c.
Using this result it is possible to derive the main results following the intuitive reasoning of (4.1).
We leave this development as two exercises and follow a more elegant but less intuitive approach.
Exercise 1: With the same hypothesis and notation of Exercise 1 in 4.1, use the ﬁrst version of
Farkas
lemma to show that there exist λ
∗
i
≥ 0 for i ∈ I(x
∗
) such that
¸
i∈I(x
∗
)
λ
∗
i
A
i
= c
.
Exercise 2: Let x
∗
satisfy the constraints for problem (4.17). Use the previous exercise to show
that x
∗
is optimal iff there exist λ
∗
1
≥ 0, . . . , λ
∗
m
≥ 0 such that
(a) c
j
≤
m
¸
i=1
λ
∗
i
a
ij
, 1 ≤ j ≤ n
(b) if
n
¸
j=1
a
ij
x
∗
j
< b
i
then λ
∗
i
= 0 , 1 ≤ i ≤ m (c) if
m
¸
i=1
λ
∗
i
a
ij
> c
j
then x
∗
j
= 0 , 1 ≤ j ≤ m.
In the remaining discussion, c ∈ R
n
, b ∈
n
are ﬁxed vectors, and A = ¦a
ij
¦ is a ﬁxed m n
matrix, whereas x ∈ R
n
and λ ∈ R
m
will be variable. Consider the pair of LPs (4.10) and (4.11)
4.2. QUALITATIVE THEORY OF LINEAR PROGRAMMING 33
below. (4.10) is called the primal problem and (4.11) is called the dual problem.
Maximize
subject to
c
1
x
1
+. . . +c
n
x
n
a
i1
x
1
+. . . +a
in
x
n
≤ b
i
,
x
j
≥ 0 ,
1 ≤ i ≤ m
1 ≤ j ≤ n .
(4.10)
Maximize
subject to
λ
1
b
1
+. . . +λ
m
b
m
λ
1
a
1j
+. . . +λ
m
a
mj
≥ c
j
,
λ
i
≥ 0 ,
1 ≤ j ≤ n
1 ≤ i ≤ m .
(4.11)
Deﬁnition: Let Ω
p
= ¦x ∈ R
n
[Ax ≤ b, x ≥ 0¦ be the set of all points satisfying the constraints
of the primal problem. Similarly let Ω
d
= ¦λ ∈ R
m
[λ
A ≥ c
, λ ≥ 0¦. A point x ∈ Ω
p
(λ ∈ Ω
d
) is
said to be a feasible solution or feasible decision for the primal (dual).
The next result is trivial.
Lemma 1: (Weak duality) Let x ∈ Ω
p
, λ ∈ Ω
d
. Then
c
x ≤ λ
Ax ≤ λ
b. (4.12)
Proof: x ≥ 0 and λ
A − c
≥ 0 implies (λ
A−c
)x ≥ 0 giving the ﬁrst inequality. b−Ax ≥ 0 and
λ
≥ 0 implies λ
(b−Ax) ≥ 0 giving the second inequality. ♦
Corollary 1: If x
∗
∈ Ω and λ
∗
∈ Ω
d
such that c
x
∗
= (λ
∗
)
b, then x
∗
is optimal for (4.10) and λ
∗
is
optimal for (4.11).
Theorem 1: (Strong duality) Suppose Ω
p
= φ and Ω
d
= φ. Then there exists x
∗
which is optimum
for (4.10) and λ
∗
which is optimum for (4.11). Furthermore, c
x
∗
= (λ
∗
)
b.
Proof: Because of the Corollary 1 it is enough to prove the last statement, i.e., we must show that
there exist x ≥ 0, λ ≥ 0, such that Ax ≤ b, A
λ ≥ c and b
λ−c
x ≤ 0. By introducing slack
variables y ∈ R
m
, µ ∈ R
m
, r ∈ R, this is equivalent to the existence of x ≥ 0, y ≥ 0, λ ≥ 0, µ ≤
0, r ≤ 0 such that
A I
m
A
−I
n
−c
b
1
¸
¸
x
y
λ
µ
r
¸
¸
¸
¸
¸
¸
=
b
c
0
¸
¸
By the algebraic version of Farkas’ Lemma, this is possible only if
A
ξ −cθ ≤ 0 , ξ ≤ 0 ,
Aw = bθ ≤ 0 , −w ≤ 0 ,
θ ≤ 0
(4.13)
implies
b
ξ +c
w ≤ 0. (4.14)
34 CHAPTER 4. LINEAR PROGRAMMING
Case (i): Suppose (w, ξ, θ) satisﬁes (4.13) and θ < 0. Then (ξ/θ) ∈ Ω
d
, (w/−θ) ∈ Ω
p
, so that by
Lemma 1 c
w/(−θ) ≤ b
ξ/θ, which is equivalent to (4.14) since θ < 0.
Case (ii): Suppose (w, ξ, θ) satisﬁes (4.13) and θ = 0, so that −A
ξ ≥ 0, −ξ ≥ 0, Aw ≤ 0, w ≥ 0.
By hypothesis, there exist x ∈ Ω
p
, λ ∈ Ω
d
. Hence, −b
ξ = b
(−ξ) ≥ (Ax)
(−ξ) = x
(−A
ξ) ≥ 0,
and c
w ≤ (A
λ)
w = λ
(Aw) ≤ 0. So that b
ξ +c
w ≤ 0. ♦
The existence part of the above result can be strengthened.
Theorem 2: (i) Suppose Ω
p
= φ. Then there exists an optimum decision for the primal LP iff
Ω
d
= φ.
(ii) Suppose Ω
d
= φ. Then there exists an optimum decision for the dual LP iff Ω
p
= φ.
Proof Because of the symmetry of the primal and dual it is enough to prove only (i). The
sufﬁciency part of (i) follows from Theorem 1, so that only the necessity remains. Suppose, in
contradiction, that Ω
d
= φ. We will show that sup ¦c
x[x ∈ Ω
p
¦ = +∞. Now, Ω
d
= φ means
there does not exist λ ≥ 0 such that A
λ ≥ c. Equivalently, there does not exist λ ≥ 0, µ ≤ 0 such
that
¸
A
[
[
−I
n
λ
−−−
µ
¸
¸
=
c
By Farkas’ Lemma there exists w ∈ R
n
such that Aw ≤ 0, −w ≤ 0, and c
w > 0. By hypothesis,
Ω
p
= φ, so there exists x ≥ 0 such that Ax ≤ b. but then for any θ > 0, A(x + θw) ≤ b,
(x + θw) ≥ 0, so that (x + θw) ∈ Ω
p
. Also, c
(x + θw) = c
x + θc
w. Evidently then, sup
¦c
x[x ∈ Ω
p
¦ = +∞so that there is no optimal decision for the primal. ♦
Remark: In Theorem 2(i), the hypothesis that Ω
p
= φ is essential. Consider the following exercise.
Exercise 3: Exhibit a pair of primal and dual problems such that neither has a feasible solution.
Theorem 3: (Optimality condition) x
∗
∈ Ω
p
is optimal if and only if there exists λ
∗
∈ Ω
d
such that
m
¸
j=1
a
ij
x
∗
j
< b
i
implies λ
∗
i
= 0 ,
and
m
¸
i=1
λ
∗
i
a
ij
< c
j
implies x
∗
j
= 0 .
(4.15)
((4.15) is known as the condition of complementary slackness.)
Proof: First of all we note that for x
∗
∈ Ω
p
, λ
∗
∈ Ω
d
, (4.15) is equivalent to (4.16):
(λ
∗
)
(Ax
∗
−b) = 0, and (A
λ
∗
−c)
x
∗
= 0 . (4.16)
Necessity. Suppose x
∗
∈ Ω
p
is optimal. Then from Theorem 2, Ω
d
= φ, so that by Theorem 1
there exists λ
∗
∈ Ω
d
such that c
x
∗
= (λ
∗
)
b. By Lemma 1 we always have
c
x
∗
≤ (λ
∗
)
Ax
∗
≤ (λ
∗
)
b so that we must have c
x
∗
= (λ
∗
)
Ax
∗
= (λ
∗
)
b. But (4.16) is just an
equivalent rearrangement of these two equalities.
Sufﬁciency. Suppose (4.16) holds for some x
∗
∈ Ω
p
, λ
∗
∈ Ω
d
. The ﬁrst equality in (4.16) yields
(λ
∗
)
b = (λ
∗
)
Ax
∗
= (A
λ
∗
)
x
∗
, while the second yields (A
λ
∗
)
x
∗
= c
x
∗
, so that c
x
∗
= (λ
∗
)
b.
By Corollary 1, x
∗
is optimal. ♦
4.2. QUALITATIVE THEORY OF LINEAR PROGRAMMING 35
The conditions x
∗
∈ Ω
p
, x
∗
∈ Ω
d
in Theorem 3 can be replaced by the weaker x
∗
≥ 0, λ
∗
≥ 0
provided we strengthen (4.15) as in the following result, whose proof is left as an exercise.
Theorem 4: (Saddle point) x
∗
≥ 0 is optimal for the primal if and only if there exists λ
∗
≥ 0 such
that
L(x, λ
∗
) ≤ L(x
∗
, λ
∗
) ≤ L(x
∗
, λ) for all x ≥ 0, and allλ ≥ 0, (4.17)
where L: R
n
xR
m
→ R is deﬁned by
L(x, λ) = c
x −λ
(Ax −b) (4.18)
Exercise 4: Prove Theorem 4.
Remark. The function L is called the Lagrangian. A pair (x
∗
, λ
∗
) satisfying (4.17) is said to form
a saddlepoint of L over the set ¦x[x ∈ R
n
, x ≥ 0¦ ¦λ[λ ∈ R
m
, λ ≥ 0¦.
4.2.2 Results for problem (4.9).
It is possible to derive analogous results for LPs of the form (4.9). We state these results as exercises,
indicating how to use the results already obtained. We begin with a pair of LPs:
Maximize
subject to
c
1
x
1
+. . . +c
n
x
n
a
il
x
1
+. . . +a
in
x
n
= b
i
,
x
j
≥ 0 ,
1 ≤ i ≤ m ,
1 ≤ j ≤ n .
(4.19)
Minimize
subject to
λ
1
b
1
+. . . +λ
m
b
m
λ
1
a
1j
+. . . +λ
m
a
mj
≥ c
j
, 1 ≤ j ≤ n .
(4.20)
Note that in (4.20) the λ
i
are unrestricted in sign. Again (4.19) is called the primal and (4.20) the
dual. We let Ω
p
, Ω
d
denote the set of all x, λ satisfying the constraints of (4.19), (4.20) respectively.
Exercise 5: Prove Theorems 1 and 2 with Ω
p
and Ω
d
interpreted as above. (Hint. Replace (4.19)
by the equivalent LP: maximize c
x, subject to Ax ≤ b, (−A)x ≤ (−b), x ≥ 0. This is now of the
form (4.10). Apply Theorems 1 and 2.)
Exercise 6: Show that x
∗
∈ Ω
p
is optimal iff there exists λ
∗
∈ Ω
d
such that
x
∗
j
> 0 implies
m
¸
i=1
λ
∗
i
a
ij
= c
j
.
Exercise 7: x
∗
≥ 0 is optimal iff there exists λ
∗
∈ R
m
such that
L(x, λ
∗
) ≤ L(x
∗
, λ
∗
) ≤ L(x
∗
, λ) for all x ≥ 0, λ ∈ R
m
.
where L is deﬁned in (4.18). (Note that, unlike (4.17), λ is not restricted in sign.)
Exercise 8: Formulate a dual for (4.7), and obtain the result analogous to Exercise 5.
36 CHAPTER 4. LINEAR PROGRAMMING
4.2.3 Sensitivity analysis.
We investigate how the maximum value of (4.10) or (4.19) changes as the vectors b and c change.
The matrix Awill remain ﬁxed. Let Ω
p
and Ω
d
be the sets of feasible solutions for the pair (4.10) and
(4.11) or for the pair (4.19) and (4.20). We write Ω
p
(b) and Ω
d
(c) to denote the explicit dependence
on b and c respectively. Let B = ¦b ∈ R
m
[Ω
p
(b) = φ¦ and C = ¦c ∈ R
n
[Ω
d
(c) = φ¦, and for
(b, c) ∈ B C deﬁne
M(b, c) = max ¦c
x[x ∈ Ω
p
(b)¦ = min ¦λ
b[λ ∈ Ω
d
(c)¦ . (4.21)
For 1 ≤ i ≤ m, ε ∈ R, b ∈ R
m
denote
b(i, ε) = (b
1
, b
2
, . . . , b
i−1
, b
i
+ε, b
i+1
, . . . , b
m
)
,
and for 1 ≤ j ≤ n, ε ∈ R, c ∈ R
n
denote
c(j, ε) = (c
1
, c
2
, . . . , c
j−1
, c
j
+ε, c
j+1
, . . . , c
n
)
.
We deﬁne in the usual way the right and left hand partial derivatives of M at a point (
ˆ
b, ˆ c) ∈ BC
as follows:
∂M
+
∂b
i
(
ˆ
b, ˆ c) = lim
ε → 0
ε > 0
1
ε
¦M(
ˆ
b(i, ε), ˆ c) −M(
ˆ
b, ˆ c)¦ ,
∂M
−
∂b
i
(
ˆ
b, ˆ c) = lim
ε → 0
ε > 0
1
ε
¦M(
ˆ
b, ˆ c) −M(
ˆ
b(i, −ε), ˆ c)¦ ,
∂M
+
∂c
j
(
ˆ
b, ˆ c) = lim
ε → 0
ε > 0
1
ε
¦M(
ˆ
b, ˆ c(j, ε)) −M(
ˆ
b, ˆ c¦ ,
∂M
−
∂c
j
(
ˆ
b, ˆ c) = lim
ε → 0
ε > 0
1
ε
¦M(
ˆ
b, ˆ c −M(
ˆ
b, ˆ c(j, −ε))¦ ,
Let
◦
B,
◦
C denote the interiors of B, C respectively.
Theorem 5: At each (
ˆ
b, ˆ c) ∈
◦
B
◦
C, the partial derivatives given above exist. Furthermore, if
ˆ x ∈ Ω
p
(
ˆ
b),
ˆ
λ ∈ Ω
d
(ˆ c) are optimal, then
∂M
+
∂b
i
(
ˆ
b, ˆ c) ≤
ˆ
λ
i
≤
∂M
−
∂b
i
(
ˆ
b, ˆ c) , 1 ≤ i ≤ m , (4.22)
4.3. THE SIMPLEX ALGORITHM 37
∂M
+
∂c
j
(
ˆ
b, ˆ c) ≥ ˆ x
j
≥
∂M
−
∂c
j
(
ˆ
b, ˆ c) , 1 ≤ j ≤ n , (4.23)
Proof: We ﬁrst show (4.22), (4.23) assuming that the partial derivatives exist. By strong duality
M(
ˆ
b, ˆ c) =
ˆ
λ
ˆ
b, and by weak duality M(
ˆ
b(i, ε), ˆ c) ≤
ˆ
λ
ˆ
b(i, ε), so that
1
ε
¦M(
ˆ
b(i, ε), ˆ c) −M(
ˆ
b, ˆ c)¦ ≤
1
ε
ˆ
λ
¦
ˆ
b(i, ε) −
ˆ
b¦
ˆ
λ
i
, for ε > 0,
1
ε
¦M(
ˆ
b, ˆ c) −M(
ˆ
b(i, −ε), ˆ c)¦ ≥
1
ε
ˆ
λ
¦
ˆ
b −
ˆ
b(i, −ε)¦ =
ˆ
λ
i
, for ε > 0.
Taking limits as ε → 0, ε > 0, gives (4.22).
On the other hand, M(
ˆ
b, ˆ c) = ˆ c
ˆ x, and M(
ˆ
b, ˆ c(j, ε)) ≥ (ˆ c(j, ε))
ˆ x, so that
1
ε
¦M(
ˆ
b, ˆ c(j, ε)) −M(
ˆ
b, ˆ c)¦ ≥
1
ε
¦ˆ c(j, ε)
− ˆ c¦
ˆ x = ˆ x
j
, for ε > 0,
1
ε
¦M(
ˆ
b, ˆ c) −M(
ˆ
b, ˆ c(j, −ε))¦ ≤
1
ε
¦ˆ c − ˆ c(j, −ε)¦
ˆ x = ˆ x
j
, for ε > 0,
which give (4.23) as ε → 0, ε > 0.
Finally, the existence of the right and left partial derivatives follows from Exercises 8, 9 below. ♦
We recall some fundamental deﬁnitions from convex analysis.
Deﬁnition: X ⊂ R
n
is said to be convex if x, y ∈ X and 0 ≤ θ ≤ 1 implies (θx+(1−θ)y) ∈ X.
Deﬁnition: Let X ⊂ R
n
and f : X → R. (i) f is said to be convex if X is convex, and x, y ∈ X,
0 ≤ θ ≤ 1 implies f(θx + (1 − θ)y) ≤ θf(x) + (1 − θ)f(y). (ii) f is said to be concave if −f is
convex, i.e., x, y ∈ X, 0 ≤ θ ≤ 1 implies f(θx + (1 −θ)y) ≥ θf(x) + (1 −θ)f(y).
Exercise 8: (a) Show that Ω
p
, Ω
d
, and the sets B ⊂ R
m
, C ⊂ R
n
deﬁned above are convex sets.
(b) Show that for ﬁxed c ∈ C, M(, c) : B → R is concave and for ﬁxed b ∈ B, M(b, ) : C → R
is convex.
Exercise 9: Let X ⊂ R
n
, and f : X → R be convex. Show that at each point ˆ x in the interior of
X, the left and right hand partial derivatives of f exist. (Hint: First show that for
ε
2
> ε
1
> 0 > δ
1
> δ
2
,(1/ε
2
)¦f(ˆ x(i, ε
2
)) −f(ˆ x)¦ ≥ (1/ε
1
)¦f(ˆ x(i, ε
1
)) −f(ˆ x))¦ ≥
(1/δ
1
)¦f(ˆ x(i, δ
1
)) −f(ˆ x))¦ ≥ (1/δ
2
)¦f(ˆ x(i, δ
2
)) −f(ˆ x)¦. Then the result follows immediately.)
Remark 1: Clearly if (∂M/∂b
i
)(
ˆ
b) exists, then we have equality in (4.22), and then this result
compares with 3.14).
Remark 2: We can also show without difﬁculty that M(, c) and M(b, ) are piecewise linear (more
accurately, linear plus constant) functions on B and C respectively. This is useful in some
computational problems.
Remark 3: The variables of the dual problem are called Lagrange variables or dual variables or
shadowprices. The reason behind the last name will be clear in Section 4.
4.3 The Simplex Algorithm
4.3.1 Preliminaries
We now present the celebrated Simplex algorithm for ﬁnding an optimum solution to any LP of the
form (4.24):
Maximize
subject to
c
1
x
1
+. . . +c
n
x
n
a
il
x
1
+. . . +a
in
x
n
= b
i
,
x
j
≥ 0 ,
1 ≤ i ≤ m
1 ≤ j ≤ n .
(4.24)
38 CHAPTER 4. LINEAR PROGRAMMING
As mentioned in 4.1 the algorithm rests upon the observations that if an optimal exists, then at least
one vertex of the feasible set Ω
p
is an optimal solution. Since Ω
p
has only ﬁnitely many vertices (see
Corollary 1 below), we only have to investigate a ﬁnite set. The practicability of this investigation
depends on the ease with which we can characterize the vertices of Ω
p
. This is done in Lemma 1.
In the following we let A
j
denote the jth column of A, i.e., A
j
= (a
1j
, . . . , a
mj
)
. We begin with
a precise deﬁnition of a vertex.
Deﬁnition: x ∈ Ω
p
is said to be a vertex of Ω
p
if x = λy + (1 −λ)z, with y, z in Ω
p
and
0 < λ < 1, implies x = y = z.
Deﬁnition: For x ∈ Ω
p
, let I(x) = ¦j[x
j
> 0¦.
Lemma 1: Let x ∈ Ω
p
. Then x is a vertex of Ω
p
iff ¦A
j
[j ∈ I(x)¦ is a linearly independent set.
Exercise 1: Prove Lemma 1.
Corollary 1: Ω
p
has at most
m
¸
j=1
n!
(n −j)!
vertices.
Lemma 2: Let x
∗
be an optimal decision of (4.24). Then there is a vertex z
∗
of Ω
p
which is optimal.
Proof: If ¦A
j
[j ∈ I(x
∗
)¦ is linearly independent, let z
∗
= x
∗
and we are done. Hence suppose
¦A
j
[j ∈ I(x
∗
)¦ is linearly dependent so that there exist γ
j
, not all zero, such that
¸
j∈I(x
∗
)
γ
j
A
j
= 0 .
For θ ∈ R deﬁne z(θ) ∈ R
n
by
z
j
(θ) =
x
∗
j
= θγ
j
,
x
∗
j
= 0 ,
j ∈ I(x
∗
)
j ∈ I(x
∗
) .
Az(θ) =
¸
j∈I(x
∗
)
z
j
(θ)A
j
=
¸
j∈I(x
∗
)
x
∗
j
A
j
+θ
¸
j∈I(x
∗
)
γ
j
A
j
= b +θ 0 = b .
Since x
∗
j
> 0 for j ∈ I(x
∗
), it follows that z(θ) ≥ 0 when
[θ[ ≤ min
x
∗
j
γ
j

j ∈ I(x
∗
)
¸
= θ
∗
say .
Hence z(θ) ∈ Ω
p
whenever [θ[ ≤ θ
∗
. Since x
∗
is optimal we must have
c
x
∗
≥ c
z(θ) = c
x
∗
+θ
¸
j∈I(x
∗
)
c
j
y
j
for −
∗
θ ≤ θ ≤ θ
∗
.
Since θ can take on positive and negative values, the inequality above can hold on if
¸
J∈I(x
∗
)
c
j
γ
j
=
0, and then c
x
∗
= c
z(θ), so that z(θ) is also an optimal solution for [θ[ ≤ θ
∗
. But from the
deﬁnition of z(θ) it is easy to see that we can pick θ
0
with [θ
0
[ = θ
∗
such that z
j
(θ
0
) = x
∗
j
+θ
0
γ
j
= 0
for at least one j = j
0
in I(x
∗
). Then,
I(z(θ
0
)) ⊂ I(x
∗
) −¦j
0
¦ .
4.3. THE SIMPLEX ALGORITHM 39
Again, if ¦A
j
[j ∈ I(z(θ
0
))¦ is linearly independent, then we let z
∗
= z(θ
0
) and we are done.
Otherwise we repeat the procedure above with z(θ
0
). Clearly, in a ﬁnite number of steps we will
ﬁnd an optimal decision z
∗
which is also vertex. ♦
At this point we abandon the geometric term “vertex” and how to established LP terminology.
Deﬁnition: (i) z is said to be a basic feasible solution if z ∈ Ω
p
, and ¦A
j
[j ∈ I(z)¦ is linearly
independent. The set I(z) is then called the basis at z, and x
j
, j ∈ I(z), are called the basic
variables at z. x
j
, j ∈ I(z) are called the nonbasic variables at z.
Deﬁnition: A basic feasible solution z is said to be nondegenerate if I(z) has m elements.
Notation: Let z be a nondegenerate basic feasible solution, and let j
1
< j
2
< . . . < j
m
constitute I(z). Let D(z) denote the m m nonsingular matrix D(z) = [A
j
1
.
.
.A
j
2
.
.
. . . .
.
.
.A
jm
], let
c(z) denote the mdimensional column vector c(z) = (c
j
1
, . . . , c
jm
)
and deﬁne λ(z) by λ
(z) =
c
(z)[D(z)]
−1
. We call λ(z) the shadowprice vector at z.
Lemma 3: Let z be a nondegenerate basic feasible solution. Then z is optimal if and only if
λ
(z)A ≥ c
j
, for all , j ∈ I(z) . (4.25)
Proof: By Exercise 6 of Section 2.2, z is optimal iff there exists λ such that
λ
A
j
= c
j
, for , j ∈ I(z) , (4.26)
λ
A
j
≥ c
j
, for , j ∈ I(z) , (4.27)
But since z is nondegenerate, (4.26) holds iff λ = λ(z) and then (4.27) is the same as (4.25). ♦
4.3.2 The Simplex Algorithm.
The algorithm is divided into two parts: In Phase I we determine if Ω
p
is empty or not, and if not,
we obtain a basic feasible solution. Phase II starts with a basic feasible solution and determines if
it is optimal or not, and if not obtains another basic feasible solution with a higher value. Iterating
on this procedure, in a ﬁnite number of steps, either we obtain an optimum solution or we discover
that no optimum exists, i.e., sup ¦c
x[x ∈ Ω
p
¦ = +∞. We shall discuss Phase II ﬁrst.
We make the following simplifying assumption. We will comment on it later.
Assumption of nondegeneracy. Every basic feasible solution is nondegenerate.
Phase II:
Step 1. Let z
0
be a basic feasible solution obtained from Phase I or by any other means. Set k = 0
and go to Step 2.
Step 2. Calculate [D(z
k
)]
−1
,c(z
k
), and the shadowprice vector λ
(z
k
) = c
(z
k
)[D(z
k
)]
−1
. For
each j ∈ I(z
k
) calculate c
j
−λ
(z
k
)A
j
. If all these numbers are ≤ 0, stop, because z
k
is optimal
by Lemma 3. Otherwise pick any
ˆ
j ∈ I(z
k
) such that c
ˆ
j
−λ
(z
k
)A
ˆ
j
> 0 and go to Step 3.
Step 3. Let I(z
k
) consist of j
1
< j
2
< . . . < j
m
. Compute the vector
γ
k
= (γ
k
j
1
, . . . γ
k
jm
)
= [D(z
k
)]
−1
A
ˆ
j
. If γ
k
≤ 0, stop, because by Lemma 4 below, there is no
ﬁnite optimum. Otherwise go to Step 4.
Step 4. Compute θ = min ¦(z
k
j
γ
k
j
)[j ∈ i(z), γ
k
j
> 0¦. Evidently 0 < θ < ∞. Deﬁne z
k+1
by
40 CHAPTER 4. LINEAR PROGRAMMING
z
k+1
j
=
z
k
j
−θγ
k
j
θ
z
k
j
= 0
,
,
,
j ∈ I(z)
j =
ˆ
j
j =
ˆ
j and j ∈ I(z) .
(4.28)
By Lemma 5 below, z
k+1
is a basic feasible solution with c
z
k+1
> c
z
k
. Set k = k + 1 and return
to Step 2.
Lemma 4: If γ
k
≤ 0, sup ¦c
x[x ∈ Ω
p
¦ = ∞.
Proof: Deﬁne z(θ) by
z
j
(θ) =
z
j
−θγ
k
j
θ
z
j
= 0
,
,
,
j ∈ I(z)
j =
ˆ
j
j ∈ I(z) and j =
ˆ
j .
(4.29)
First of all, since γ
k
≤ 0 it follows that z(θ) ≥ 0 for θ ≥ 0. Next, Az(θ) = Az − θ
¸
j∈I(z)
γ
k
j
A
j
+
θA
ˆ
j
= Az by deﬁnition of γ
k
. Hence, z(θ) ∈ Ω
p
for θ ≥ 0. Finally,
c
z(θ)
= c
z −θc
(z
k
)γ
k
+θc
ˆ
j
= c
z +θ¦c
ˆ
j
−c
(z
k
)[D(z
k
)]
−1
A
ˆ
j
¦
= c
z +θ¦c
ˆ
j
−λ
(z
k
)A
ˆ
j
¦i .
(4.30)
But from step 2 ¦c
ˆ
j −λ
(z
k
)A
ˆ
j
¦ > 0, so that c
z(θ) → ∞as θ → ∞. ♦
Lemma 5: z
k+1
is a basic feasible solution and c
z
k+1
> c
z
k
.
Proof: Let
˜
j ∈ I(z
k
) be such that γ
k
˜
j
> 0 and z
k
˜
j
= θγ
k
˜
j
. Then from (4.28) we see that z
k+1
˜
j
= 0,
hence
I(z
k+1
) ⊂ (I(z) −¦
˜
j¦)
¸
¦
ˆ
j¦ , (4.31)
so that it is enough to prove that A
˜
j
is independent of ¦A
j
[j ∈ I(z), j =
˜
j¦. But if this is not the
case, we must have γ
k
˜
j
= 0, giving a contradiction. Finally if we compare (4.28) and (4.29), we see
from (4.30) that
c
z
k+1
−c
z
k
= θ¦c
ˆ
j
−γ
(z
k
)A
ˆ
j
¦ ,
which is positive from Step 2. ♦
Corollary 2: In a ﬁnite number of steps Phase II will obtain an optimal solution or will determine
that sup¦c
x[x ∈ Ω
p
¦ = ∞.
Corollary 3: Suppose Phase II terminates at an optimal basic feasible solution z
∗
. Then γ(z
∗
) is an
optimal solution of the dual of (4.24).
Exercise 2: Prove Corollaries 2 and 3.
Remark 1: By the nondegeneracy assumption, I(z
k+1
) has m elements, so that in (4.31) we must
have equality. We see then that D(z
k+1
) is obtained from D(z
k
) by replacing the column A
j
by
4.3. THE SIMPLEX ALGORITHM 41
the column A
ˆ
j
. More precisely if D(z
k
) = [A
j
1
.
.
. . . .
.
.
.A
j
i−1
.
.
.A
˜
j
.
.
.A
j
i+1
.
.
. . . .
.
.
.A
jm
] and if
j
k
<
ˆ
j < j
k+1
then D(z
k+1
) = [A
j
1
.
.
. . . .
.
.
.A
j
i−1
.
.
.A
j
i+1
.
.
. . . .
.
.
.A
j
k
.
.
.A
ˆ
j
.
.
.A
j
k+1
.
.
. . . .
.
.
.A
jm
]. Let E be the
matrix E = [A
j
1
.
.
. . . .
.
.
.A
j
i−1
.
.
.A
ˆ
j
.
.
.A
j
i+1
.
.
. . . .
.
.
.A
jm
]. Then [D(z
k+1
)]
−1
= P E
−1
where the matrix P
permutes the columns of D(z
k+1
) such that E = D(z
k+1
)P. Next, if A
ˆ
j
=
m
¸
=1
γ
j
A
j
, it is easy
to check that E
−1
= M[D(z
k
)]
−1
where
M =
1
1
.
.
.
1
−γ
j
1
γ
˜
j
1
γ
˜
j
−γ
jm
γ
˜
j
1
.
.
.
1
¸
¸
¸
¸
¸
¸
¸
¸
¸
¸
↑
ith column
Then [D(z
k+1
)]
−1
= PM[D(z
k
)]
−1
, so that these inverses can be easily computed.
Remark 2: The similarity between Step 2 of Phase II and Step 2 of the algorithm in 3.3.4 is
striking. The basic variables at z
k
correspond to the variables w
k
and nonbasic variables
correspond to u
k
. For each j ∈ I(z
k
) we can interpret the number c
j
−λ
(z
k
)A
j
to be the net
increase in the objective value per unit increase in the jth component of z
k
. This net increase is due
to the direct increase c
j
minus the indirect decrease λ
(z
k
)A
j
due to the compensating changes in
the basic variables necessary to maintain feasibility. The analogous quantity in 3.3.4 is
(∂f
0
/∂u
j
)(x
k
) −(λ
k
)
(∂f/∂u
j
)(x
k
).
Remark 3: By eliminating any dependent equations in (4.24) we can guarantee that the matrix A
has rank n. Hence at any degenerate basic feasible solution z
k
we can always ﬁnd
¯
I(z
k
) ⊃ I(z
k
)
such that
¯
I(z
k
) has m elements and ¦A
j
[j ∈
¯
I(z
k
)¦ is a linearly independent set. We can apply
Phase II using
¯
I(z
k
) instead of I(z
k
). But then in Step 4 it may turn out that θ = 0 so that
z
k+1
= z
k
. The reason for this is that
¯
I(z
k
) is not unique, so that we have to try various
alternatives for
¯
I(z
k
) until we ﬁnd one for which θ > 0. In this way the nondegeneracy
assumption can be eliminated. For details see (Canon, et al., [1970]).
We now describe how to obtain an initial basic feasible solution.
Phase I:
Step I. by multiplying some of the equality constraints in (4.24) by −1 if necessary, we can assume
that b ≥ 0. Replace the LP (4.24) by the LP (4.32) involving the variables x and y:
Maximize −
m
¸
i=1
y
i
subject to a
il
x
1
+. . . +a
in
x
n
+y
i
= b
i
, 1 ≤ i ≤ m ,
x
j
≥ 0 , y
i
≥ 0 , 1 ≤ j ≤ n , 1 ≤ i ≤ m .
(4.32)
42 CHAPTER 4. LINEAR PROGRAMMING
Go to step 2.
Step 2. Note that (x
0
, y
0
) = (0, b) is a basic feasible solution of (4.32). Apply phase II to (4.32)
starting with this solution. Phase II must terminate in an optimum based feasible solution (x
∗
, y
∗
)
since the value of the objective function in (4.32) lies between −
m
¸
i=1
b
i
and 0. Go to Step 3.
Step 3. If y
∗
= 0, x
∗
is a basic feasible solution for (4.24). If y
∗
= 0, by Exercise 3 below, (4.24)
has no feasible solution.
Exercise 3: Show that (4.24) has a feasible solution iff y
∗
= 0.
4.4 LP Theory of a Firm in a Competitive Economy
4.4.1 Activity analysis of the ﬁrm.
We think of a ﬁrm as a system which transforms input into outputs. There are m kinds of inputs
and k kinds of outputs. Inputs are usually classiﬁed into raw materials such as iron ore, crude oil,
or raw cotton; intermediate products such as steel, chemicals, or textiles; capital goods
3
such as
machines of various kinds, or factory buildings, ofﬁce equipment, or computers; ﬁnally various
kinds of labor services. The ﬁrm’s outputs themselves may be raw materials (if it is a mining
company) or intermediate products (if it is a steel mill) or capital goods (if it manufactures lathes)
or ﬁnished goods (if it makes shirts or bakes cookies) which go directly to the consumer. Labor is
not usually considered an output since slavery is not practiced; however, it may be considered an
output in a “closed,” dynamic Malthusian framework where the increase in labor is a function of the
output. (See the von Neumann model in (Nikaido [1968]), p. 141.)
Within the ﬁrm, this transformation can be conducted in different ways, i.e., different combina
tions of inputs can be used to produce the same combination of outputs, since human labor can
do the same job as some machines and machines can replace other kinds of machines, etc. This
substitutability among inputs is a fundamental concept in economics. We formalize it by specifying
which transformation possibilities are available to the ﬁrm.
By an input vector we mean any mdimensional vector r = (r
1
, . . . , r
m
)
with r ≥ 0, and by an
output vector we mean any kdimensional vector y = (y
1
, . . . , y
k
)
with y ≥ 0. We now make three
basic assumptions about the ﬁrm.
(i) The transformation of inputs into outputs is organized into a ﬁnite number, say n, of processes
or activities.
(ii) Each activity combines the k inputs in ﬁxed proportions into the m outputs in ﬁxed propor
tions. Furthermore, each activity can be conducted at any nonnegative intensity or level. Pre
cisely, the jth activity is characterized completely by two vectors A
j
= (a
1j
, a
2j
, . . . , a
mj
)
and
B
j
= (b
ij
, . . . , b
kj
)
so that if it is conducted at a level x
j
≥ 0, then it combines (transforms) the
input vector (a
1j
x
j
, . . . , a
mj
x
j
)
= x
j
A
j
into the output vector (b
1j
x
j
, . . . , b
kj
x
j
)
= x
j
B
j
. Let
A be the mn matrix [A
1
.
.
. . . .
.
.
.A
n
] and B be the k n matrix B = [B
1
.
.
. . . .
.
.
.B
n
].
3
It is more accurate to think of the services of capital goods rather than these goods themselves as inputs. It is these
services which are consumed in the transformation into outputs.
4.4. LP THEORY OF A FIRM IN A COMPETITIVE ECONOMY 43
(iii) If the ﬁrmconducts all the activities simultaneously with the jth activity at level x
j
≥ 0, 1 ≤ j ≤
n, then it transforms the input vector x
1
A
1
+. . . +x
n
A
n
into the output vector x
1
B
1
+. . . +x
n
B
n
.
With these assumptions we know all the transformations technically possible as soon as we spec
ify the matrices A and B. Which of these possible transformations will actually take place depends
upon their relative proﬁtability and availability of inputs. We study this next.
4.4.2 Shortterm behavior.
In the shortterm, the ﬁrm cannot change the amount available to it of some of the inputs such as
capital equipment, certain kinds of labor, and perhaps some raw materials. Let us suppose that these
inputs are 1, 2, . . . , and they are available in the amounts r
∗
1
, . . . , r
∗
, whereas the supply of the
remaining inputs can be varied. We assume that the ﬁrm is operating in a competitive economy
which means that the unit prices p = (p
1
, . . . , p
k
)
of the outputs, and q = (q
1
, . . . , q
m
)
of the
inputs is ﬁxed. Then the manager of the ﬁrm, if he is maximizing the ﬁrm’s proﬁts, faces the
following decision problem:
Maximize p
y −
m
¸
j=+1
q
j
r
j
subject to y = Bx,
a
i1
x
1
+. . . +a
in
x
n
≤ r
∗
i
, 1 ≤ i ≤ ,
a
i1
x
1
+. . . +a
in
x
n
≤ r
i
, + 1 ≤ i ≤ m ,
x
j
≥ 0, 1 ≤ j ≤ n; r
i
≥ 0 , + 1 ≤ i ≤ m .
(4.33)
The decision variables are the activity levels x
1
, . . . , x
n
, and the shortterm input supplies r
+1
, . . . , r
m
.
The coefﬁcients of B and Aare the ﬁxed technical coefﬁcients of the ﬁrm, the r
∗
i
are the ﬁxed short
term supplies, whereas the p
i
, q
j
are prices determined by the whole economy, which the ﬁrm ac
cepts as given. Under realistic conditions (4.33) has an optimal solution, say, x
∗
1
, . . . , x
∗
n
, r
∗
+1
, . . . , r
∗
m
.
4.4.3 Longterm equilibrium behavior.
In the long run the supplies of the ﬁrst inputs are also variable and the ﬁrm can change these
supplies from r
∗
1
, . . . , r
∗
by buying or selling these inputs at the market price q
1
, . . . , q
. Whether
the ﬁrm will actually change these inputs will depend upon whether it is proﬁtable to do so, and in
turn this depends upon the prices p, q. We say that the prices (p
∗
, q
∗
) and a set of input supplies
r
∗
= (r
∗
1
, . . . , r
∗
m
) are in (longterm) equilibrium if the ﬁrm has no proﬁt incentive to change r
∗
under the prices (p
∗
, q
∗
).
Theorem 1: p
∗
, q
∗
, r
∗
are in equilibrium if and only if q
∗
is an optimal solution of (4.34):
Minimize (r
∗
)
q
subject to A
q ≥ B
p
∗
q ≥ 0 .
(4.34)
Proof: Let c = B
p
∗
. By deﬁnition, p
∗
, q
∗
, r
∗
are in equilibrium iff for all ﬁxed ∆ ∈ R
m
,
M(∆) ≤ M(0) where M(∆) is the maximum value of the LP (4.35):
Maximize c
x −(q
∗
)
∆
subject to Ax ≤ r
∗
+ ∆ ,
x ≥ 0 .
(4.35)
44 CHAPTER 4. LINEAR PROGRAMMING
For ∆ = 0, (4.34) becomes the dual of (4.35) so that by the strong duality theorem, M(0) = (r
∗
)
q
∗
.
Hence p
∗
, q
∗
, r
∗
are in equilibrium iff
c
x −(q
∗
)
∆ ≤ M(0) = (r
∗
)
q
∗
, (4.36)
whenever x is feasible for (4.35). By weak duality if x is feasible for (4.35) and q is feasible for
(4.34),
c
x −(q
∗
)
∆ ≤ q
(r
∗
= ∆) −(q
∗
)
∆ , (4.37)
and, in particular, for q = q
∗
,
c
x −(q
∗
)
∆ ≤ (q
∗
)
(r
∗
+ ∆) −(q
∗
)
∆ = (q
∗
)
r
∗
♦
Remark 1: We have shown that (p
∗
, q
∗
, r
∗
are in longterm equilibrium iff q
∗
is an optimum
solution to the dual (namely (4.34)) of (4.38):
Maximize c
x
subject to Ax ≤ r
∗
x ≥ 0 .
(4.38)
This relation between p
∗
, q
∗
, r
∗
has a very nice economic interpretation. Recall that c = B
p
∗
, i.e.,
c
j
= p
∗
1
b
1j
+p
∗
2
b
2j
+. . . +p
∗
k
b
kj
. Now b
ij
is the amount of the ith output produced by operating the
jth activity at a unit level x
j
= 1. Hence, c
j
is the revenue per unit level operation of the jth activity
so that c
x is the revenue when the n activities are operated at levels x. On the other hand if the jth
activity is operated at level x
j
= 1, it uses an amount a
ij
of the ith input. If the ith input is valued at
a
∗
i
, then the input cost of operating at x
j
= 1, is
m
¸
i=1
q
i
a
ij
, so that the input cost of operating the n
activities at levels x is (A
q
∗
)
= (q
∗
)
Ax. Thus, if x
∗
is the optimum activity levels for (4.38) then
the output revenue is c
x
∗
and the input cost is (q
∗
)
Ax
∗
. But from (4.16), (q
∗
)
(Ax
∗
−r
∗
) = 0 so
that
c
x
∗
= (q
∗
)
r
∗
, (4.39)
i.e., at the optimum activity levels, in equilibrium, total revenues = total cost of input supplies. In
fact, we can say even more. From (4.15) we see that if x
=
ast
j
> 0 then
c
j
=
m
¸
i=1
q
∗
i
a
ij
,
i.e., at the optimum, the revenue of an activity operated at a positive level = input cost of that activity.
Also if
c
j
<
m
¸
i=1
q
∗
i
a
ij
,
then x
∗
j
= 0, i.e., if the revenue of an activity is less than its input cost, then at the optimum it is
operated at zero level. Finally, again from (4.15), if an equilibrium the optimum ith input supply r
∗
i
is greater than the optimum demand for the ith input,
4.4. LP THEORY OF A FIRM IN A COMPETITIVE ECONOMY 45
r
∗
i
>
n
¸
j=1
a
ij
x
∗
j
,
then q
∗
i
= 0, i.e., the equilibrium price of an input which is in excess supply must be zero, in other
words it must be a free good.
Remark 2: Returning to the shortterm decision problem (4.33), suppose that
(λ
∗
1
, . . . , λ
∗
, λ
∗
+1
, . . . , λ
∗
m
) is an optimum solution of the dual of (4.33). Suppose that the market
prices of inputs 1, . . . , are q
1
, . . . , q
. Let us denote by M(∆
1
, . . . , ∆
) the optimum value of
(4.33) when the amounts of the inputs in ﬁxed supply are r
∗
1
+ ∆
1
, . . . , r
∗
+ ∆
. Then if
(∂M/∂∆
i
)[
∆=0
exists, we can see from (4.22) that it is always proﬁtable to increase the ith input
by buying some additional amount at price q
i
if λ
∗
i
> q
i
, and conversely it is proﬁtable to sell some
of the ith input at price q
i
if λ
∗
i
< q
i
. Thus λ
∗
i
can be interpreted as the ﬁrm’s internal valuation of
the ith input or the ﬁrm’s imputed or shadow price of the ith input. This interpretation has wide
applicability, which we mention brieﬂy. Often engineering design problems can be formulated as
LPs of the form (4.10) or (4.19), where some of the coefﬁcients b
i
are design parameters. The
design procedure is to ﬁx these parameters at some nominal value b
∗
i
, and carry out the
optimization problem. Suppose the resulting optimal dual variables are λ
∗
i
. then we see (assuming
differentiability) that it is worth increasing b
∗
i
if the unit cost of increasing this parameter is less
than λ
∗
i
, and it is worth decreasing this parameter if the reduction in total cost per unit decrease is
greater than λ
∗
i
.
4.4.4 Longterm equilibrium of a competitive, capitalist economy.
The proﬁtmaximizing behavior of the ﬁrm presented above is one of the two fundamental building
blocks in the equilibrium theory of a competitive, capitalist economy. Unfortunately we cannot
present the details here. We shall limit ourselves to a rough sketch. We think of the economy as
a feedback process involving ﬁrms and consumers. Let us suppose that there are a total of h com
modities in the economy including raw materials, intermediate and capital goods, labor, and ﬁnished
products. By adding zero rows to the matrices (A, B) characterizing a ﬁrm we can suppose that all
the h commodities are possible inputs and all the h commodities are possible outputs. Of course,
for an individual ﬁrm most of the inputs and most of the outputs will be zero. the sole purpose for
making this change is that we no longer need to distinguish between prices of inputs and prices of
outputs. We observe the economy starting at time T. At this time there exists within the economy
an inventory of the various commodities which we can represent by a vector ω = (ω
1
, . . . , ω
h
) ≥ 0.
ω is that portion of the outputs produced prior to T which have not been consumed up to T. We are
assuming that this is a capitalist economy, which means that the ownership of ω is divided among
the various consumers j = 1, . . . , J. More precisely, the jth consumer owns the vector of commodi
ties ω(j) ≥ 0, and
J
¸
j=1
ω(j) = ω. We are including in ω(j) the amount of his labor services which
consumer j is willing to sell. Now suppose that at time T the prevailing prices of the h commodities
are λ = (λ
1
, . . . , λ
h
)
≥ 0. Next, suppose that the managers of the various ﬁrms assume that the
prices λ are not going to change for a long period of time. Then, from our previous analysis we
know that the manager of the ith ﬁrm will plan to buy input supplies r(i) ≥ 0, r(i) ∈ R
h
, such
46 CHAPTER 4. LINEAR PROGRAMMING
that (λ, r(i)) is in long term equilibrium, and he will plan to produce an optimum amount, say y(i).
Here i = 1, 2, . . . , I, where I is the total number of ﬁrms. We know that r(i) and y(i) depend on
λ, so that we explicitly write r(i, λ), y(i, λ). We also recall that (see (4.38))
λ
r(i, λ) = λ
y(i, λ) , 1 ≤ i ≤ I . (4.40)
Now the ith manager can buy r(i) from only two sources: outputs from other ﬁrms, and the con
sumers who collectively own ω. Similarly, the ith manager can sell his planned output y(i) either as
input supplies to other ﬁrms or to the consumers. Thus, the net supply offered for sale to consumers
is S(λ), where
S(λ) =
J
¸
j=1
ω(j) +
I
¸
i=1
y(i, λ) −
i
¸
i=1
r(i, λ) . (4.41)
We note two important facts. First of all, from (4.40), (4.41) we immediately conclude that
λ
S(λ) =
J
¸
j=1
λ
ω(j) , (4.42)
that is the value of the supply offered to consumers is equal to the value of the commodities (and
labor) which they own. The second point is that there is no reason to expect that S(λ) ≥ 0.
Now we come to the second building block of equilibrium theory. The value of the jth consumer’s
possessions is λ
ω(j). The theory assumes that he will plan to buy a set of commodities d(j) =
(d
1
(j), . . . , d
h
(j)) ≥ 0 so as to maximize his satisfaction subject to the constraint λ
d(j) = λ
ω(j).
Here also d(j) will depend on λ, so we write d(j, λ). If we add up the buying plans of all the
consumers we obtain the total demand
D(λ) =
J
¸
j=1
d(j, λ) ≥ 0 , (4.43)
which also satisﬁes
λ
D(λ) =
J
¸
j=1
λ
ω(j) . (4.44)
The most basic question of equilibrium theory is to determine conditions under which there exists a
price vector λ
E
such that the economy is in equilibrium, i.e., S(λ
E
) = D(λ
E
), because if such an
equilibrium price λ
E
exists, then at that price the production plans of all the ﬁrms and the buying
plan of all the consumers can be realized. Unfortunately we must stop at this point since we cannot
proceed further without introducing some more convex analysis and the ﬁxed point theorem. For
a simple treatment the reader is referred to (Dorfman, Samuelson, and Solow [1958], Chapter 13).
For a much more general mathematical treatment see (Nikaido [1968], Chapter V).
4.5 Miscellaneous Comments
4.5. MISCELLANEOUS COMMENTS 47
4.5.1 Some mathematical tricks.
It is often the case in practical decision problems that the objective is not welldeﬁned. There may
be a number of plausible objective functions. In our LP framework this situation can be formulated
as follows. The constraints are given as usual by Ax ≤ b, x ≥ 0. However, there are, say, k
objective functions (c
1
)
x, . . . , (c
k
)
x. It is reasonable then to deﬁne a single objective function
f
0
(x) by f
0
(x) = minimum ¦(c
1
)
x, (c
2
)
x, . . . , (c
k
)
x¦, so that we have the decision problem,
Maximize f
0
(x)
subject to Ax ≤ b, x ≥ 0 .
(4.45)
This is not a LP since f
0
is not linear. However, the following exercise shows how to transform
(4.45) into an equivalent LP.
Exercise 1: Show that (4.45) is equivalent to (4.46) below, in the sense that x
∗
is optimal for (4.45)
iff (x
∗
, y
∗
) = (x
∗
, f
0
(x
∗
)) is optimal for (4.46).
Maximize y
subject to Ax ≤ b, x ≤ 0
y ≤ (c
i
)
x , 1 ≤ i ≤ k .
(4.46)
Exercise 1 will also indicate how to do Exercise 2.
Exercise 2: Obtain an equivalent LP for (4.47):
Maximize
n
¸
j=1
c
i
(x
i
)
subject to Ax ≤ b, x ≤ 0 ,
(4.47)
where c
i
: R → R are concave, piecewiselinear functions of the kind shown in Figure 4.3.
The abovegiven assumption of the concavity of the c
i
is crucial. In the next exercise, the inter
pretation of “equivalent” is purposely left ambiguous.
Exercise 3: Construct an example of the kind (4.47), where the c
i
are piecewise linear (but not
concave), and such that there is no equivalent LP.
It turns out however, that even if the c
i
are not concave, an elementary modiﬁcation of the Simplex
algorithm can be given to obtain a “local” optimal decision. See (Miller [1963]).
4.5.2 Scope of linear programming.
LP is today the single most important optimization technique. This is because many decision prob
lems can be adequately formulated as LPs, and, given the capabilities of modern computers, the
Simplex method (together with its variants) is an extremely powerful technique for solving LPs in
volving thousands of variables. To obtain a feeling for the scope of LP we refer the reader to the
book by one of the originators of LP (Dantzig [1963]).
48 CHAPTER 4. LINEAR PROGRAMMING
.
.
.
c
i
(x
i
)
x
i
Figure 4.3: A function of the form used in Exercise 2.
Chapter 5
OPTIMIZATION OVER SETS
DEFINED BY INEQUALITY
CONSTRAINTS: NONLINEAR
PROGRAMMING
In many decisionmaking situations the assumption of linearity of the constraint inequalities in LP
is quite restrictive. The linearity of the objective function is not restrictive as shown in the ﬁrst
exercise below. In Section 1 we present the general nonlinear programming problem (NP) and
prove the KuhnTucker theorem. Section 2 deals with Duality theory for the case where appropriate
convexity conditions are satisﬁed. Two applications are given. Section 3 is devoted to the important
special case of quadratic programming. The last section is devoted to computational considerations.
5.1 Qualitative Theory of Nonlinear Programming
5.1.1 The problem and elementary results.
The general NP is a decision problem of the form:
Maximize f
0
(x)
subject to (x) ≤ 0 , i = 1, . . . , m,
(5.1)
where x ∈ R
n
, f
i
: R
n
→ R, i = 0, 1, . . . , m, are differentiable functions. As in Chapter 4,
x ∈ R
n
is said to be a feasible solution if it satisﬁes the constraints of (5.1), and Ω ⊂ R
n
is the
subset of all feasible solutions; x
∗
∈ Ω is said to be an optimal decision or optimal solution if
f
0
(x
∗
) ≥ f
0
(x) for x ∈ Ω. From the discussion in 4.1.2 it is clear that equality constraints and sign
constraints on some of the components of x can all be transformed into the form (5.1). The next
exercise shows that we could restrict ourselves to objective functions which are linear; however, we
will not do this.
Exercise 1: Show that (5.2), with variables y ∈ R, x ∈ R
n
, is equivalent to (5.1):
49
50 CHAPTER 5. NONLINEAR PROGRAMMING
Maximize y
subject to f
i
(x) ≤ 0, 1 ≤ i ≤ m, and y −f
0
(x) ≤ 0 .
(5.2)
Returning to problem (5.1), we are interested in obtaining conditions which any optimal decision
must satisfy. The argument parallels very closely that developed in Exercise 1 of 4.1 and Exercise 1
of 4.2. The basic idea is to linearize the functions f
i
in a neighborhood of an optimal decision x
∗
.
Deﬁnition: Let x be a feasible solution, and let I(x) ⊂ ¦1, . . . , m¦ be such that f
i
(x) = 0 for
ı ∈ I(x), f
i
(x) < 0 for i ∈ I(x). (The set I(x) is called the set of active constraints at x.)
Deﬁnition: (i) Let x ∈ Ω. A vector h ∈ R
n
is said to be an admissible direction for Ω at x if there
exists a sequence x
k
, k = 1, 2, . . . , in Ω and a sequence of numbers ε
k
, k = 1, . . . , with ε
k
> 0
for all k such that
lim
k→∞
x
k
= x ,
lim
k→∞
1
ε
k
(x
k
−x) = h .
(ii) Let C(Ω, x) = ¦h[h is an admissible direction for Ω at x¦. C(Ω, x) is called the tangent cone
of Ω at x. Let K(Ω, x) = ¦x + h[h ∈ C(Ω, x)¦. (See Figures 5.1 and 5.2 and compare them with
Figures 4.1 and 4.2.)
If we take x
k
= x and ε
k
= 1 for all k, we see that 0 ∈ C(Ω, x) so that the tangent cone is always
nonempty. Two more properties are stated below.
Exercise 2: (i) Show that C(Ω, x) is a cone, i.e., if h ∈ C(Ω, x) and θ ≥ 0, then θh ∈ C(Ω, x).
(ii) Show that C(Ω, x) is a closed subset of R
n
. (Hint for (ii): For m = 1, 2, . . . , let h
m
and
¦x
mk
, ε
mk
> 0¦
∞
k=1
be such that x
mk
→ x and (1/ε
mk
)(x
mk
−x) → h
m
as k → ∞. Suppose
that h
m
→ h as m → ∞. Show that there exist subsequences ¦x
mkm
, ε
mkm
¦
∞
m=1
such that
x
mkm
→ x and (1/ε
mkm
)(x
mkm
−x) → h as m → ∞.)
In the deﬁnition of C(Ω, x) we made no use of the particular functional description of Ω. The
following elementary result is more interesting in this light and should be compared with (2.18) in
Chapter 2 and Exercise 1 of 4.1.
Lemma 1: Suppose x
∗
∈ Ω is an optimum decision for (5.1).
Then
f
0x
(x
∗
)h ≤ 0 for all h ∈ C(Ω, x
∗
) . (5.3)
Proof: Let x
k
∈ Ω, ε
k
> 0, k = 1, 2, 3, . . . , be such that
5.1. QUALITATIVE THEORY OF NONLINEAR PROGRAMMING 51
,
P
¦x[f
3
(x) = 0¦
Q
x
∗
direction of
increasing
payoff
π(k) =
¦x[f
0
(x) = k¦
¦x[f
1
(x) = 0¦
Ω
R
¦x[f
2
(x) = 0¦
Figure 5.1: Ω = PQR
lim
k→∞
x
k
= x
∗
,
lim
k→∞
1
ε
k
(x
k
−x
∗
) = h . (5.4)
Note that in particular (5.4) implies
lim
k→∞
1
ε
k
[x
k
−x
∗
[ = [h[ . (5.5)
Since f
0
is differentiable, by Taylor’s theorem we have
f
0
(x
k
) = f
0
(x
∗
+ (x
k
−x
∗
)) = f
0
(x
∗
) +f
0x
(x
∗
)(x
k
−x
∗
) +o([x
k
−x
∗
[) . (5.6)
Since x
k
∈ Ω, and x
∗
is optimal, we have f
0
(x
k
) ≤ f
0
(x
∗
), so that
0 ≥ f
0x
(x
∗
)
(x
k
−x
∗
)
ε
k
+
o(x
k
−x
∗
)
ε
k
.
Taking limits as k → ∞, using (5.4) and (5.5), we can see that
0 ≥
=
lim
k→∞
f
0x
(x
∗
)h. ♦
f
0x
(x
∗
)
(x
k
−x
∗
)
ε
k
+
lim
k→∞
o(x
k
−x
∗
)
x
k
−x
∗
 lim
k→∞
x
k
−x
∗

ε
k
52 CHAPTER 5. NONLINEAR PROGRAMMING








x
∗
K(Ω, x
∗
)
0
C(Ω, x
∗
)
Figure 5.2: C(Ω, x
∗
) is the tangent cone of Ω at x
∗
.
The basic problem that remains is to characterize the set C(Ω, x
∗
) in terms of the derivatives of the
functions f
i
. Then we can apply Farkas’ Lemma just as in Exercise 1 of 4.2.
Lemma 2: Let x
∗
∈ Ω. Then
C(Ω, x
∗
) ⊂ ¦h[f
ix
(x
∗
)h ≤ 0 for all i ∈ I(x
∗
)¦ . (5.7)
Proof: Let h ∈ R
n
and x
k
∈ Ω, ε
k
> 0, k = 1, 2, . . . , satisfy (5.4). Since f
i
is differentiable, by
Taylor’s theorem we have
f
i
(x
k
) = f
i
(x
∗
) +f
ix
(x
∗
)(x
k
−x
∗
) +o([x
k
−x
∗
[) .
Since x
k
∈ Ω, f
i
(x
k
) ≤ 0, and if i ∈ I(x
∗
), f
i
(x
∗
) = 0, so that f
i
(x
k
) ≤ f
i
(x
∗
). Following the
proof of Lemma 1 we can conclude that 0 ≥ f
ix
(x
∗
)h. ♦
Lemma 2 gives us a partial characterization of C(Ω, x
∗
). Unfortunately, in general the inclusion
sign in (5.7) cannot be reversed. The main reason for this is that the set ¦f
ix
(x
∗
)[i ∈ I(x
∗
)¦ is not
in general linearly independent.
Exercise 3: Let x ∈ R
2
, f
1
(x
1
, x
2
) = (x
1
−1)
3
+x
2
, and f
2
(x
1
, x
2
) = −x
2
. Let
(x
∗
1
, x
∗
2
) = (1, 0). Then I(x
∗
) = ¦1, 2¦. Show that
5.1. QUALITATIVE THEORY OF NONLINEAR PROGRAMMING 53
C(Ω, x
∗
) = ¦h[f
ix
(x
∗
)h ≤ 0 , i = 1, 2, ¦.
(Note that ¦f
1x
(x
∗
), f
2x
(x
∗
)¦ is not a linearly independent set; see Lemma 4 below.)
5.1.2 KuhnTucker Theorem.
Deﬁnition: Let x
∗
∈ Ω. We say that the constraint qualiﬁcation (CQ) is satisﬁed at x
∗
if
C(Ω, x) = ¦h[f
ix
(x
∗
)h ≤ 0 for all i ∈ I(x
∗
)¦,
and we say that CQ is satisﬁed if CQ is satisﬁed at all x ∈ Ω. (Note that by Lemma 2 C(Ω, x) is
always a subset of the righthand side.)
Compare the next result with Exercise 2 of 4.2.
Theorem 1: (Kuhn and Tucker [1951]) Let x
∗
be an optimum solution of (5.1), and suppose that
CQ is satisﬁed at x
∗
. Then there exist λ
∗
i
≥ 0, for i ∈ I(x
∗
), such that
f
0x
(x
∗
) =
¸
i∈I(x
∗
)
λ
∗
i
f
ix
(x
∗
)
(5.8)
Proof: By Lemma 1 and the deﬁnition of CQ it follows that f
0x
(x
∗
)h ≤ 0 whenever f
ix
(x
∗
)h ≤ 0
for all i ∈ I(x
∗
). By the Farkas’ Lemma of 4.2.1 it follows that there exist λ
∗
i
≥ 0 for i ∈ I(x
∗
)
such that (5.8) holds. ♦
In the original formulation of the decision problem we often have equality constraints of the form
r
j
(x) = 0, which get replaced by r
j
(x) ≤ 0, −r
j
(x) ≤ 0 to give the form (5.1). It is convenient in
application to separate the equality constraints from the rest. Theorem 1 can then be expressed as
Theorem 2.
Theorem 2: Consider the problem (5.9).
Maximize f
0
(x)
subject to f
i
(x) ≤ 0 , i = 1, . . . , m,
r
j
(x) = 0 , j = 1, . . . , k .
(5.9)
Let x
∗
be an optimum decision and suppose that CQ is satisﬁed at x
∗
. Then there exist λ
∗
i
≥ 0, i =
1, . . . , m, and µ
∗
j
, j = 1, . . . , k such that
f
0x
(x
∗
) =
m
¸
i=1
λ
∗
i
f
ix
(x
∗
) +
k
¸
j=1
µ
∗
j
r
jx
(x
∗
) , (5.10)
and
λ
∗
i
= 0 whenever f
i
(x
∗
) < 0 . (5.11)
Exercise 4: Prove Theorem 2.
54 CHAPTER 5. NONLINEAR PROGRAMMING
An alternative form of Theorem 1 will prove useful for computational purposes (see Section 4).
Theorem 3: Consider (5.9), and suppose that CQ is satisﬁed at an optimal solution x
∗
. Deﬁne
ψ : R
n
→ R by
ψ(h) = max ¦−f
0x
(x
∗
)h, f
1
(x
∗
) +f
1x
(x
∗
)h, . . . , f
m
(x
∗
) +f
mx
(x
∗
)h¦ ,
and consider the decision problem
Minimize ψ(h)
subject to −ψ(h) −f
0x
(x
∗
)h ≤ 0,
−ψ(h) +f
i
(x
∗
) +f
ix
(x
∗
)h ≤ 0 , 1 ≤ i ≤ m
−1 ≤ h
i
≤ 1 , i = 1, . . . , n .
(5.12)
Then h = 0 is an optimal solution of (5.12).
Exercise 5: Prove Theorem 3. (Note that by Exercise 1 of 4.5, (5.12) can be transformed into a
LP.)
Remark: For problem (5.9) deﬁne the Lagrangian function L:
(x
1
, . . . , x
n
; λ
1
, . . . , λ
m
; µ
1
, . . . , µ
k
) → f
0
(x) −
m
¸
i=1
λ
i
f
i
(x) −
k
¸
j=1
µ
j
r
j
(x).
Then Theorem 2 is equivalent to the following statement: if CQ is satisﬁed and x
∗
is optimal, then
there exist λ
∗
≥ 0 and µ
∗
such that L
x
(x
∗
, λ
∗
, µ
∗
) = 0 and L(x
∗
, λ
∗
, µ
∗
) ≤ L(x
∗
, λ, µ) for all
λ ≥ 0, µ.
There is a very important special case when the necessary conditions of Theorem 1 are also
sufﬁcient. But ﬁrst we need some elementary properties of convex functions which are stated as an
exercise. Some additional properties which we will use later are also collected here.
Recall the deﬁnition of convex and concave functions in 4.2.3.
Exercise 6: Let X ⊂ R
n
be convex. Let h : X → R be a differentiable function. Then
(i) h is convex iff h(y) ≥ h(x) +h
x
(x)(y −x) for all x, y, in X,
(ii) h is concave iff h(y) ≤ h(x) +h
x
(x)(y −x) for all x, y in X,
(iii) h is concave and convex iff h is afﬁne, i.e. h(x) ≡ α +b
x for some
ﬁxed α ∈ R, b ∈ R
n
.
Suppose that h is twice differentiable. Then
(iv) h is convex iff h
xx
(x) is positive semideﬁnite for all x in X,
(v) h is concave iff h
xx
(x) is negative semideﬁnite for all x in X,
(vi) h is convex and concave iff h
xx
(x) ≡ 0.
Theorem 4: (Sufﬁcient condition) In (5.1) suppose that f
0
is concave and f
i
is convex for
i = 1, . . . , m. Then
(i) Ω is a convex subset of R
n
, and
(ii) if there exist x
∗
∈ Ω, λ
∗
i
≥ 0, i ∈ I(x
∗
), satisfying (5.8), then x
∗
is an optimal solution of
(5.1).
Proof:
(i) Let y, z be in Ω so that f
i
(y) ≤ 0, f
i
(z) ≤ 0 for i = 1, . . . , m. Let 0 ≤ θ ≤ 1. Since f
i
is
convex we have
5.1. QUALITATIVE THEORY OF NONLINEAR PROGRAMMING 55
f
i
(θy + (1 −θ)z) ≤ θf
i
(y) + (1 −θ)f
i
(z) ≤ 0 , 1 ≤ i ≤ m,
so that (θy + (1 −θ)z) ∈ Ω, hence Ω is convex.
(ii) Let x ∈ Ω be arbitrary. Since f
0
is concave, by Exercise 6 we have
f
0
(x) ≤ f
0
(x
∗
) +f
0x
(x
∗
)(x −x
∗
) ,
so that by (5.8)
f
0
(x) ≤ f
0
(x
∗
) +
¸
i∈I(x
∗
)
λ
∗
i
f
ix
(x
∗
)(x −x
∗
) .
(5.13)
Next, f
i
is convex so that again by Exercise 6,
f
i
(x) ≥ f
i
(x
∗
) +f
ix
(x
∗
)(x −x
∗
) ;
but f
i
(x) ≤ 0, and f
i
(x
∗
) = 0 for i ∈ I(x
∗
), so that
f
ix
(x
∗
)(x −x
∗
) ≤ 0 for i ∈ I(x
∗
) . (5.14)
Combining (5.14) with the fact that λ
∗
i
≥ 0, we conclude from (5.13) that f
0
(x) ≤ f
0
(x
∗
), so that
x
∗
is optimal. ♦
Exercise 7: Under the hypothesis of Theorem 4, show that the subset Ω
∗
of Ω, consisting of all the
optimal solutions of (5.1), is a convex set.
Exercise 8: A function h : X → R deﬁned on a convex set X ⊂ R
n
is said to be strictly convex if
h(θy + (1 −θ)z) < θh(y) + (1 −θ)h(z) whenever 0 < θ < 1 and y, z are in X with y = z. h is
said to be strictly concave if −h is strictly convex. Under the hypothesis of Theorem 4, show that
an optimal solution to (5.1) is unique (if it exists) if either f
0
is strictly concave or if the
f
i
, 1 ≤ i ≤ m, are strictly convex. (Hint: Show that in (5.13) we have strict inequality if x = x
∗
.)
5.1.3 Sufﬁcient conditions for CQ.
As stated, it is usually impractical to verify if CQ is satisﬁed for a particular problem. In this
subsection we give two conditions which guarantee CQ. These conditions can often be veriﬁed in
practice. Recall that a function g : R
n
→ R is said to be afﬁne if g(x) ≡ α + b
x for some ﬁxed
α ∈ R and b ∈ R
n
.
We adopt the formulation (5.1) so that
Ω = ¦x ∈ R
n
[f
i
(x) ≤ 0 , 1 ≤ i ≤ m¦ .
Lemma 3: Suppose x
∗
∈ Ω and suppose there exists h
∗
∈ R
n
such that for each i ∈ I(x
∗
), either
f
ix
(x
∗
)h
∗
< 0, or f
ix
(x
∗
)h
∗
= 0 and f
i
is afﬁne. Then CQ is satisﬁed at x
∗
.
Proof: Let h ∈ R
n
be such that f
ix
(x
∗
)h ≤ 0 for i ∈ I(x
∗
). Let δ > 0. We will ﬁrst show that
(h +δh
∗
) ∈ C(Ω, x
∗
). To this end let ε
k
> 0, k = 1, 2, . . . , be a sequence converging to 0 and set
x
k
= x
∗
+ε
k
(h +δh
∗
). Clearly x
k
converges to x
∗
, and (1/ε
k
)(x
k
−x
∗
) converges to (h +δh
∗
).
Also for i ∈ I(x
∗
), if f
ix
(x
∗
)h < 0, then
f
i
(x
k
) = f
i
(x
∗
) +ε
k
f
ix
(x
∗
)(h +δh
∗
) +o(ε
k
[h +δh
∗
[)
≤ δε
k
f
ix
(x
∗
)h
∗
+o(ε
k
[h +δh
∗
[)
< 0 for sufﬁciently large k ,
whereas for i ∈ I(x
∗
), if f
i
is afﬁne, then
56 CHAPTER 5. NONLINEAR PROGRAMMING
f
i
(x
k
) = f
i
(x
∗
) +ε
k
f
ix
(x
∗
)(h +δh
∗
) ≤ 0 for all k .
Finally, for i ∈ I(x
∗
) we have f
i
(x
∗
) < 0, so that f
i
(x
k
) < 0 for sufﬁciently large k. Thus we
have also shown that x
k
∈ Ω for sufﬁciently large k, and so by deﬁnition (h + δh
∗
) ∈ C(Ω, x
∗
).
Since δ > 0 can be arbitrarily small, and since C(Ω, x
∗
) is a closed set by Exercise 2, it follows that
h ∈ C(Ω, x
∗
). ♦
Exercise 9: Suppose x
∗
∈ Ω and suppose there exists ˆ x ∈ R
n
such that for each i ∈ I(x
∗
), either
f
i
(x
∗
) < 0 and f
i
is convex, or f
i
(ˆ x) ≤ 0 and f
i
is afﬁne. Then CQ is satisﬁed at x
∗
. (Hint: Show
that h
∗
= ˆ x −x
∗
satisﬁes the hypothesis of Lemma 3.)
Lemma 4: Suppose x
∗
∈ Ω and suppose there exists h
∗
∈ R
n
such that f
ix
(x
∗
)h
∗
≤ 0 for
i ∈ I(x
∗
), and ¦f
ix
(x
∗
)[i ∈ I(x
∗
), f
ix
(x
∗
)h
∗
= 0¦ is a linearly independent set. Then CQ is
satisﬁed at x
∗
.
Proof: Let h ∈ R
n
be such that f
ix
(x
∗
)h ≤ 0 for all i ∈ I(x
∗
). Let δ > 0. We will show that
(h +δh
∗
) ∈ C(Ω, x
∗
). Let J
δ
= ¦i[i ∈ I(x
∗
), f
ix
(x
∗
)(h +δh
∗
) = 0¦, consist of p elements.
Clearly J
δ
⊂ J = ¦i[i ∈ I(x
∗
), f
i
x(x
∗
)h
∗
= 0¦, so that ¦f
ix
(x
∗
, u
∗
)[i ∈ J
δ
¦ is linearly
independent. By the Implicit Function Theorem, there exist ρ > 0, an open set V ⊂ R
n
containing
x
∗
= (w
∗
, u
∗
), and a differentiable function g : U → R
p
, where U = ¦u ∈ R
n−p
[[u −u
∗
[ < ρ¦,
such that
f
i
(w, u) = 0, i ∈ J
δ
, and (w, u) ∈ V
iff
u ∈ U, and w = g(u) .
Next we partition h, h
∗
as h = (ξ, η), h
∗
= (ξ
∗
, η
∗
) corresponding to the partition of x = (w, u).
Let ε
k
> 0, k = 1, 2 . . . , be any sequence converging to 0, and set u
k
= u
∗
+ ε
k
(η +δη
∗
), w
k
=
g(u
k
), and ﬁnally x
k
= (s
k
, u
k
).
We note that u
k
converges to u
∗
, so w
k
= g(u
k
) converges to w
∗
= g(u
∗
). Thus, x
k
converges
to x
∗
. Now (1/ε
k
)(x
k
−x
∗
) = (1/ε
k
)(w
k
−w
∗
, u
k
−u
∗
) = (1/ε
k
)(g(u
k
) −g(u
∗
), ε
k
(η +δη
∗
)).
Since g is differentiable, it follows that (1/ε
k
)(x
k
−x
∗
) converges to (g
u
(u
∗
)(η +δη
∗
), η +δη
∗
).
But for i ∈ J
δ
we have
0 = f
ix
(x
∗
)(h +δh
∗
) = f
iw
(x
∗
)(ξ +δξ
∗
) +f
iu
(x
∗
)(η +δη
∗
) . (5.15)
Also, for i ∈ J
δ
, 0 = f
i
(g(u), u) for u ∈ U so that 0 = f
iw
(x
∗
)g
u
(u
∗
) +f
iu
(x
∗
), and hence
0 = f
iw
(x
∗
)g
u
(u
∗
)(η +δη
∗
) +f
iu
(x
∗
)(η +δη
∗
) . (5.16)
If we compare (5.15) and (5.16) and recall that ¦f
iw
(x
∗
)[i ∈ J
δ
¦ is a basis in R
p
we can conclude
that (ξ +δξ
∗
) = g
u
(u
∗
)(η +δη
∗
) so that (1/ε
k
)(x
k
−x
∗
) converges to (h +hδh
∗
).
It remains to show that x
k
∈ Ω for sufﬁciently large k. First of all, for i ∈ J
δ
, f
i
(x
k
) =
f
i
(g(u
k
), u
k
) = 0, whereas for i ∈ J
δ
, i ∈ I(x
∗
),
f
i
(x
k
) = f
i
(x
∗
) +f
ix
(x
∗
)(x
k
−x
∗
) +o([x
k
−x
∗
[)
f
i
(x
∗
) +ε
k
f
ix
(x
∗
)(h +δh
∗
) +o(ε
k
) +o([x
k
−x
∗
[),
5.2. DUALITY THEORY 57
and since f
i
(x
∗
) = 0 whereas f
ix
(x
∗
)(h + δh
∗
) < 0, we can conclude that f
i
(x
k
) < 0 for sufﬁ
ciently large k. Thus, x
k
∈ Ω for sufﬁciently large k. Hence, (h +δh
∗
) ∈ C(Ω, x
∗
).
To ﬁnish the proof we note that δ > 0 can be made arbitrarily small, and C(Ω, x
∗
) is closed by
Exercise 2, so that h ∈ C(Ω, x
∗
). ♦
The next lemma applies to the formulation (5.9). Its proof is left as an exercise since it is very
similar to the proof of Lemma 4.
Lemma 5: Suppose x
∗
is feasible for (5.9) and suppose there exists h
∗
∈ R
n
such that the set
¦f
ix
(x
∗
)[i ∈ I(x
∗
), f
ix
(x
∗
)h
∗
= 0¦
¸
¦r
jx
(x
∗
)[j = 1, . . . , k¦ is linearly independent, and f
ix
(x
∗
)h
∗
≤
0 for i ∈ I(x
∗
), r
jx
(x
∗
)h
∗
= 0 for 1 ≤ j ≤ k. Then CQ is satisﬁed at x
∗
.
Exercise 10: Prove Lemma 5
5.2 Duality Theory
Duality theory is perhaps the most beautiful part of nonlinear programming. It has resulted in many
applications within nonlinear programming, in terms of suggesting important computational algo
rithms, and it has provided many unifying conceptual insights into economics and management
science. We can only present some of the basic results here, and even so some of the proofs are
relegated to the Appendix at the end of this Chapter since they depend on advanced material. How
ever, we will give some geometric insight. In 2.3 we give some application of duality theory and in
2.2 we refer to some of the important generalizations. The results in 2.1 should be compared with
Theorems 1 and 4 of 4.2.1 and the results in 4.2.3.
It may be useful to note in the following discussion that most of the results do not require differ
entiability of the various functions.
5.2.1 Basic results.
Consider problem (5.17) which we call the primal problem:
Maximize f
0
(x)
subject to f
i
(x) ≤
ˆ
b
i
, 1 ≤ i ≤ m
x ∈ X ,
(5.17)
where x ∈ R
n
, f
i
: R
n
→ R, 1 ≤ i ≤ m, are given convex functions, f
0
: R
n
→ R is a
given concave function, X is a given convex subset of R
n
and
ˆ
b = (
ˆ
b
1
, . . . ,
ˆ
b
m
)
is a given vector.
For convenience, let f = (f
1
, . . . , f
m
)
: R
n
→ R
m
. We wish to examine the behavior of the
maximum value of (5.17) as
ˆ
b varies. So we deﬁne
Ω(b) = ¦x[x ∈ X, f(x) ≤ b¦, B = ¦b[Ω(b) = φ¦,
and
M : B → R
¸
¦+∞¦ by M(b) = sup¦f
0
(x)[x ∈ X, f(x) ≤ b¦
= sup¦f
0
(x)[x ∈ Ω(b)¦ ,
so that in particular if x
∗
is an optimal solution of (5.17) then M(
ˆ
b) = f
0
(ˆ x). We need to consider
the following problem also. Let λ ∈ R
m
, λ ≥ 0, be ﬁxed.
Maximize f
0
(x) −λ
(f(x) −
ˆ
b)
subject to x ∈ X ,
(5.18)
58 CHAPTER 5. NONLINEAR PROGRAMMING
and deﬁne
m(λ) = sub¦f
0
(x) −λ
(f(x) −
ˆ
b)[x ∈ X¦ .
Problem (5.19) is called the dual problem:
Minimize m(λ)
subject to λ ≥ 0 .
(5.19)
Let m
∗
= inf ¦m(λ)[λ ≥ 0¦.
Remark 1: The set X in (5.17) is usually equal to R
n
and then, of course, there is no reason to
separate it out. However, it is sometimes possible to include some of the constraints in X in such
a way that the calculation of m(λ) by (5.18) and the solution of the dual problem (5.19) become
simple. For example see the problems discussed in Sections 2.3.1 and 2.3.2 below.
Remark 2: It is sometimes useful to know that Lemmas 1 and 2 below hold without any convexity
conditions on f
0
, f, X. Lemma 1 shows that the cost function of the dual problem is convex which
is useful information since there are computation techniques which apply to convex cost functions
but not to arbitrary nonlinear cost functions. Lemma 2 shows that the optimum value of the dual
problem is always an upper bound for the optimum value of the primal.
Lemma 1: m : R
n
+
→ R
¸
¦+∞¦ is a convex function. (Here R
n
+
= ¦λ ∈ R
n
[λ ≥ 0¦.)
Exercise 1: Prove Lemma 1.
Lemma 2: (Weak duality) If x is feasible for (5.17), i.e., x ∈ Ω(
ˆ
b), and if λ ≥ 0, then
f
0
(x) ≤ M(
ˆ
b) ≤ m
∗
≤ m(λ) . (5.20)
Proof: Since f(x) −
ˆ
b ≤ 0, and λ ≥ 0, we have λ
(f(x) −
ˆ
b) ≤ 0. So,
f
0
(x) ≤ f
0
(x) −λ
(f(x) −
ˆ
b), for x ∈ Ω(
ˆ
b), λ ≥ 0 .
Hence
f
0
(x) ≤ sup ¦f
0
(x)[x ∈ Ω(
ˆ
b)¦ = M(
ˆ
b)
≤ sup ¦f
0
(x) −λ
(f(x) −
ˆ
b)[x ∈ Ω(
ˆ
b)¦ and since Ω(
ˆ
b) ⊂ X,
≤ sup ¦f
0
(x) −λ
(f(x) −
ˆ
b)[x ∈ X¦ = m(λ) .
Thus, we have
f
0
(x) ≤ M(
ˆ
b) ≤ m(λ) for x ∈ Ω(
ˆ
b), λ ≥ 0 ,
and since M(
ˆ
b) is independent of λ, if we take the inﬁmum with respect to λ ≥ 0 in the righthand
inequality we get (5.20). ♦
The basic problem of Duality Theory is to determine conditions under which M(
ˆ
b) = m
∗
in
(5.20). We ﬁrst give a simple sufﬁciency condition.
Deﬁnition: A pair (ˆ x,
ˆ
λ) with ˆ x ∈ X, and
ˆ
λ ≤ 0 is said to satisfy the optimality conditions if
5.2. DUALITY THEORY 59
ˆ x is optimal solution of (5.18) with λ =
ˆ
λ, (5.21)
ˆ x is feasible for (5.17), i.e., f
i
(ˆ x) ≤
ˆ
b
i
for i = 1, . . . , m , (5.22)
ˆ
λ
i
= 0 when f
i
(ˆ x) <
ˆ
b
i
, equivalently,
ˆ
λ
(f(ˆ x) −
ˆ
b) = 0. (5.23)
ˆ
λ ≥ 0 is said to be an optimal price vector if there is ˆ x ∈ X such that (ˆ x,
ˆ
λ) satisfy the optimality
condition. Note that in this case ˆ x ∈ Ω(
ˆ
b) by virtue of (5.22).
The next result is equivalent to Theorem 4(ii) of Section 1 if X = R
n
, and f
i
, 0 ≤ i ≤ m, are
differentiable.
Theorem 1: (Sufﬁciency) If (ˆ x,
ˆ
λ) satisfy the optimality conditions, then ˆ x is an optimal solution to
the primal,
ˆ
λ is an optimal solution to the dual, and M(
ˆ
b) = m
∗
.
Proof: Let x ∈ Ω(
ˆ
b), so that
ˆ
λ
(f(x) −
ˆ
b) ≤ 0. Then
f
0
(x) ≤ f
0
(x) −
ˆ
λ
(f(x) −
ˆ
b)
≤ sup¦f
0
(x) −
ˆ
λ
(f(x) −
ˆ
b)[x ∈ X¦
= f
0
(ˆ x) −
ˆ
λ
(f(ˆ x) −
ˆ
b) by (5.21)
= f
0
(ˆ x) by (5.23)
so that ˆ x is optimal for the primal, and hence by deﬁnition f
0
(ˆ x) = M(
ˆ
b). Also
m(
ˆ
λ) = f
0
(ˆ x) −
ˆ
λ
(f(ˆ x) −
ˆ
b)
f
0
(ˆ x) = M(
ˆ
b) ,
so that from Weak Duality
ˆ
λ is optimal for the dual. ♦
We now proceed to a much more detailed investigation.
Lemma 3: B is a convex subset of R
m
, and M : B → R
¸
¦+∞¦ is a concave function.
Proof: Let b,
˜
b belong to B, let x ∈ Ω(b), ˜ x ∈ Ω(
˜
b), let 0 ≤ θ ≤ 1. Then (θx + (1 − θ)˜ x) ∈ X
since X is convex, and
f
i
(θx + (1 −θ)˜ x) ≤ θf
i
(x) + (1 −θ)f
i
(˜ x)
since f
i
is convex, so that
f
i
(θx + (1 −θ)˜ x) ≤ θb + (1 −θ)
˜
b , (5.24)
hence
(θx + (1 −θ)˜ x) ∈ Ω(θb + (1 −θ)
˜
b)
and therefore, B is convex.
Also, since f
0
is concave,
f
0
(θx + (1 −θ)˜ x) ≥ θf
0
(x) + (1 −θ)f
0
(˜ x) .
60 CHAPTER 5. NONLINEAR PROGRAMMING
Since (5.24) holds for all x ∈ Ω(b) and ˜ x ∈ Ω(
˜
b) it follows that
M(θb + (1 −θ)
ˆ
b) ≥ sup ¦f
0
(θx + (1 −θ)˜ x)[x ∈ Ω(b), ˜ x ∈ Ω(
˜
b)¦
≥ sup¦f
0
(x)[x ∈ Ω(b)¦ + (1 −θ) sup ¦f
0
(˜ x)[˜ x ∈ Ω(
˜
b)¦
= θM(b) + (1 −θ)M(
˜
b). ♦
Deﬁnition: Let X ⊂ R
n
and let g : X → R
¸
¦∞, −∞¦. A vector λ ∈ R
n
is said to be a
supergradient (subgradient) of g at ˆ x ∈ X if
g(x) ≤ g(ˆ x) +λ
(x − ˆ x) for x ∈ X.
(g(x) ≥ g(ˆ x) +λ
(x − ˆ x) for x ∈ X.)
(See Figure 53.)
,





.
.
.
.
M(b)
M(
ˆ
b)
b ∈ B
ˆ
b b
M is not stable at
ˆ
b
M(b)
M(
ˆ
b)
ˆ
b
b
M is stable at
ˆ
b
M(b)
M(
ˆ
b) +λ
(b −
ˆ
b)
ˆ
b b
λ is a supergradient at
ˆ
b
Figure 5.3: Illustration of supergradient of stability.
Deﬁnition: The function M : B → R
¸
¦∞¦ is said to be stable at
ˆ
b ∈ B if there exists a real
number K such that
M(b) ≤ M(
ˆ
b) +K[b −
ˆ
b[ for b ∈ B .
(In words, M is stable at
ˆ
b if M does not increase inﬁnitely steeply in a neighborhood of
ˆ
b. See
Figure 5.3.)
A more geometric way of thinking about subgradients is the following. Deﬁne the subset A ⊂
R
1+m
by
5.2. DUALITY THEORY 61
A = ¦(r, b)[b ∈ B, and r ≤ M(b)¦ .
Thus A is the set lying ”below” the graph of M. We call A the hypograph
1
of M. Since M is
concave it follows immediately that A is convex (in fact these are equivalent statements).
Deﬁnition: A vector (λ
0
, λ
1
, . . . , λ
m
) is said to be the normal to a hyperplane supporting A at a
point(ˆ r,
ˆ
b) if
λ
0
ˆ r +
m
¸
i=1
λ
i
ˆ
b
i
≥ λ
0
r +
m
¸
i=1
λ
i
b
i
for all (r, b) ∈ A . (5.25)
(In words, Alies below the hyperplane ˆ π = ¦(r, b)[λ
0
r+
¸
λ
i
b
i
= λ
0
ˆ r+
¸
λ
i
b
i
¦.) The supporting
hyperplane is said to be nonvertical if λ
0
= 0. See Figure 5.4.
Exercise 2: Show that if
ˆ
b ∈ B,
˜
b ≥
ˆ
b, and ˜ r ≤ M(
ˆ
b), then
˜
b ∈ B, M(
˜
b), and (˜ r,
˜
b) ∈ A.
Exercise 3: Assume that
ˆ
b ∈ B, and M(
ˆ
b) < ∞. Show that (i) if λ = (λ
1
, . . . , λ
m
)
is a
supergradient of M at
ˆ
b then λ ≥ 0, and (1, −λ
1
, . . . , −λ
m
)
deﬁnes a nonvertical hyperplane
supporting A at (M(
ˆ
b),
ˆ
b), (ii) if (λ
0
, −λ
1
, . . . , −λ
m
)
deﬁnes a hyperplane supporting A at
(M(
ˆ
b),
ˆ
b) then λ
0
≥ 0, λ
i
≥ 0 for 1 ≤ i ≤ m; futhermore, if the hyperplane is nonvertical then
((λ
1
/λ
0
, . . . , (λ
m
/λ
0
))
is a supergradient of M at
ˆ
b.
We will prove only one part of the next crucial result. The reader who is familiar with the
Separation Theorem of convex sets should be able to construct a proof for the second part based
on Figure 5.4, or see the Appendix at the end of this Chapter.
Lemma 4: (Gale [1967]) M is stable at
ˆ
b iff M has a supergradient at
ˆ
b. Proof: (Sufﬁciency only)
Let λ be a supergradient at
ˆ
b, then
M(b) ≤ M(
ˆ
b) +λ
(b −
ˆ
b)
≤ M(
ˆ
b) +[λ[[b −
ˆ
b[ . ♦
The next two results give important alternative interpretations of supergradients.
Lemma 5: Suppose that ˆ x is optimal for (5.17). Then
ˆ
λ is a supergradient of M at
ˆ
b iff
ˆ
λ is an
optimal price vector, and then (ˆ x,
ˆ
λ) satisfy the optimality conditions.
Proof: By hypothesis, f(ˆ x) = M(
ˆ
b), ˆ x ∈ X, and f(ˆ x) ≤
ˆ
b. Let
ˆ
λ be a supergradient of M at
ˆ
b.
By Exercise 2, (M(
ˆ
b), f(ˆ x)) ∈ A and by Exercise 3,
ˆ
λ ≥ 0 and
M(
ˆ
b) −
ˆ
λ
ˆ
b ≥ M(
ˆ
b) −
ˆ
λ
f(ˆ x) ,
so that
ˆ
λ
(f(ˆ x) −
ˆ
b) ≥ 0. But then
ˆ
λ
(
ˆ
b − f(ˆ x)) = 0, giving (5.23). Next let x ∈ X. Then
(f
0
(x), f(x)) ∈ A, hence again by Exercise 3
M(
ˆ
b) −
ˆ
λ
ˆ
b ≥ f
0
(x) −
ˆ
λ
f(x) .
Since f
0
(ˆ x) = M(
ˆ
b), and
ˆ
λ
(f(ˆ x) −
ˆ
b) = 0, we can rewrite the inequality above as
1
From the Greek “hypo” meaning below or under. This neologism contrasts with the epigraph of a function which is
the set lying above the graph of the function.
62 CHAPTER 5. NONLINEAR PROGRAMMING
.
.
M(
ˆ
b)
M(b)
ˆ
b
A
b
No nonvertical hyperplane supporting A at (M(
ˆ
b),
ˆ
b)
(λ
0
, . . . , λ
m
)
M(
ˆ
b)
M(b)
ˆ π
A
b
ˆ
b
ˆ π is a nonvertical hyperplane supporting A at (M(
ˆ
b),
ˆ
b)
Figure 5.4: Hypograph and supporting hyperplane.
f
0
(ˆ x) +
ˆ
λ
(f(ˆ x) −
ˆ
b) ≥ f
0
(x) −
ˆ
λ
(f(x) −
ˆ
b) ,
so that (5.21) holds. It follows that (ˆ x,
ˆ
λ) satisfy the optimality conditions.
Conversely, suppose ˆ x ∈ X,
ˆ
λ ≥ 0 satisfy (5.21), (5.22), and (5.23). Let x ∈ Ω(b), i.e.,
x ∈ X, f(x) ≤ b. Then
ˆ
λ
(f(x) −b) ≤ 0 so that
f
0
(x) ≤ f
0
(x)
ˆ
λ
(f(x) −b)
= f
0
(x) −
ˆ
λ
(f(x) −
ˆ
b) +
ˆ
λ
(b −
ˆ
b)
≤ f
0
(ˆ x) −
ˆ
λ
(f(ˆ x) −
ˆ
b) +
ˆ
λ
(b −
ˆ
b) by (5.21)
= f
0
(ˆ x) +
ˆ
λ
(b −
ˆ
b) by (5.23)
= M(
ˆ
b) +
ˆ
λ
(b −
ˆ
b) .
Hence
M(b) = sup¦f
0
(x)[x ∈ Ω(b)¦ ≤ M(
ˆ
b) +
ˆ
λ
(b −
ˆ
b) ,
so that
ˆ
λ
is a supergradient of M at
ˆ
b. ♦
Lemma 6: Suppose that
ˆ
b ∈ B, and M(
ˆ
b) < ∞. Then
ˆ
λ is a supergradient of M at
ˆ
b iff
ˆ
λ is an
optimal solution of the dual (5.19) and m(
ˆ
λ) = M(
ˆ
b).
Proof: Let
ˆ
λ be a supergradient of M at
ˆ
b. Let x ∈ X. By Exercises 2 and 3
5.2. DUALITY THEORY 63
M(
ˆ
b) −
ˆ
λ
ˆ
b ≥ f
0
(x) −
ˆ
λ
f(x)
or
M(
ˆ
b) ≥ f
0
(x) −
ˆ
λ
(f(x) −
ˆ
b) ,
so that
M(
ˆ
b) ≥ sup¦f
0
(x) −
ˆ
λ
(f(x) −
ˆ
b)[x ∈ X¦ = m(
ˆ
λ) .
By weak duality (Lemma 2) it follows that M(
ˆ
b) = m(
ˆ
λ) and
ˆ
λ is optimal for (5.19).
Conversely suppose
ˆ
λ ≥ 0, and m(
ˆ
λ) = M(
ˆ
b). Then for any x ∈ X
M(
ˆ
b) ≥ f
0
(x) −
ˆ
λ
(f(x) −
ˆ
b) ,
and if moreover f(x) ≤ b, then
ˆ
λ
(f(x) −b) ≤ 0, so that
M(
ˆ
b) ≥ f
0
(x) −
ˆ
λ
(f(x) −
ˆ
b) +
ˆ
λ
(f(x) −b)
= f
0
(x) −
ˆ
λ
b +
ˆ
λ
ˆ
b for x ∈ Ω(b) .
Hence,
M(b) = sup¦f
0
(x)[x ∈ Ω(b)¦ ≤ M(
ˆ
b) +
ˆ
λ
(b −
ˆ
b) ,
so that
ˆ
λ is a supergradient. ♦
We can now summarize our results as follows.
Theorem 2: (Duality) Suppose
ˆ
b ∈ B, M(
ˆ
b) < ∞, and M is stable at
ˆ
b. Then
(i) there exists an optimal solution
ˆ
λ for the dual, and m(
ˆ
λ) = M(
ˆ
b),
(ii)
ˆ
λ is optimal for the dual iff
ˆ
λ is a supergradient of M at
ˆ
b,
(iii) if
ˆ
λ is any optimal solution for the dual, then ˆ x is optimal for the primal iff (ˆ x,
ˆ
λ) satisfy the
optimality conditions of (5.21), (5.22), and (5.23).
Proof: (i) follows from Lemmas 4,6. (ii) is implied by Lemma 6. The “if” part of (iii) follows from
Theorem 1, whereas the “only if” part of (iii) follows from Lemma 5. ♦
Corollary 1: Under the hypothesis of Theorem 2, if
ˆ
λ is an optimal solution to the dual then
(∂M
+
/∂b
i
)(
ˆ
b) ≤
ˆ
λ
i
≤ (∂M
−
/∂b
i
)(
ˆ
b).
Exercise 4: Prove Corollary 1. (Hint: See Theorem 5 of 4.2.3.)
5.2.2 Interpretation and extensions.
It is easy to see using convexity properties that, if X = R
n
and f
i
, 0 ≤ i ≤ m, are differentiable,
then the optimality conditions (5.21), (5.22), and (5.23) are equivalent to the KuhnTucker condition
(5.8). Thus the condition of stability of M at
ˆ
b plays a similar role to the constraint qualiﬁcation.
However, by Lemmas 4, 6 stability is equivalent to the existence of optimal dual variables, whereas
CQ is only a sufﬁcient condition. In other words if CQ holds at ˆ x then M is stable at
ˆ
b. In particular,
if X = R
n
and the f
i
are differentiable, the various conditions of Section 1.3 imply stability. Here
we give one sufﬁcient condition which implies stability for the general case.
Lemma 7: If
ˆ
b is in the interior of B, in particular if there exists x ∈ X such that f
i
(x) <
ˆ
b
i
for
1 ≤ i ≤ m, then M is stable at
ˆ
b.
64 CHAPTER 5. NONLINEAR PROGRAMMING
The proof rests on the Separation Theorem for convex sets, and only depends on the fact that M
is concave, M(
ˆ
b) < ∞ without loss of generality, and
ˆ
b is the interior of B. For details see the
Appendix.
Much of duality theory can be given an economic interpretation similar to that in Section 4.4.
Thus, we can think of x as the vector of n activity levels, f
0
(x) the corresponding revenue, X as
constraints due to physical or longterm limitations, b as the vector of current resource supplies,
and ﬁnally f(x) the amount of these resources used up at activity levels x. The various convexity
conditions are generalizations of the economic hypothesis of nonincreasing returnstoscale. The
primal problem (5.17) is the shortterm decision problem faced by the ﬁrm. Next, if the current
resources can be bought or sold at prices
ˆ
λ = (λ
1
, . . . , λ
m
)
, the ﬁrm faces the decision problem
(5.18). If for a price system
ˆ
λ, an optimal solution of (5.17) also is an optimal solution for (5.18),
then we can interpret
ˆ
λ as a system of equilibrium prices just as in 4.2. Assuming the realistic
condition
ˆ
b ∈ B, M(
ˆ
b) < ∞ we can see from Theorem 2 and its Corollary 1 that there exists
an equilibrium price system iff (∂M
+
/∂b
i
)(
ˆ
b) < ∞, 1 ≤ i ≤ m; if we interpret (∂M
+
/∂b
i
)(
ˆ
b)
as the marginal revenue of the ith resource, we can say that equilibrium prices exist iff marginal
productivities of every (variable) resource is ﬁnite. These ideas are developed in (Gale [1967]).
.
M(b)
A
b
ˆ
b
M(
ˆ
b)
Figure 5.5: If M is not concave there may be no supporting hyperplane at (M(
ˆ
b),
ˆ
b).
Referring to Figure 5.3 or Figure 5.4, and comparing with Figure 5.5 it is evident that if M is not
concave or, equivalently, if its hypograph Ais not convex, there may be no hyperplane supporting A
at (M(
ˆ
b),
ˆ
b). This is the reason why duality theory requires the often restrictive convexity hypoth
esis on X and f
i
. It is possible to obtain the duality theorem under conditions slightly weaker than
convexity but since these conditions are not easily veriﬁable we do not pursue this direction any fur
ther (see Luenberger [1968]). A much more promising development has recently taken place. The
basic idea involved is to consider supporting A at (M(
ˆ
b),
ˆ
b) by (nonvertical) surfaces ˆ π more gen
eral than hyperplanes; see Figure 5.6. Instead of (5.18) we would then have more general problem
of the form (5.26):
Maximize f
0
(x) −F(f(x) −
ˆ
b)
subject to x ∈ X ,
(5.26)
5.2. DUALITY THEORY 65
where F : R
m
→ R is chosen so that ˆ π (in Figure 5.6) is the graph of the function b → M(
ˆ
b) −
F(b −
ˆ
b). Usually F is chosen from a class of functions φ parameterized by µ = (µ
1
, . . . , µ
k
) ≥ 0.
Then for each ﬁxed µ ≥ 0 we have (5.27) instead of (5.26):
Maximize f
0
(x) −φ(µ; f(x) −
ˆ
b)
subject to x ∈ X .
(5.27)
.
M(b)
ˆ π
A
b
ˆ
b
M(
ˆ
b)
Figure 5.6: The surface ˆ π supports A at (M(
ˆ
b),
ˆ
b).
If we let
ψ(µ) =sup¦f
0
(x) −φ(µ; f(x) −
ˆ
b)[x ∈ X¦ .
then the dual problem is
Minimize ψ(µ)
subject to µ ≥ 0 ,
in analogy with (5.19).
The economic interpretation of (5.27) would be that if the prevailing (nonuniform) price system
is φ(µ; ) then the resources f(x) −
ˆ
b can be bought (or sold) for the amount φ(µ; f(x) −
ˆ
b). For
such an interpretation to make sense we should have φ(µ; b) ≥ 0 for b ≥ 0, and φ(µ; b) ≥ φ(µ;
˜
b)
whenever b ≥
˜
b. A relatively unnoticed, but quite interesting development along these lines is
presented in (Frank [1969]). Also see (Arrow and Hurwicz [1960]).
For noneconomic applications, of course, no such limitation on φ is necessary. The following
references are pertinent: (Gould [1969]), (Greenberg and Pierskalla [1970]), (Banerjee [1971]). For
more details concerning the topics of 2.1 see (Geoffrion [1970a]) and for a mathematically more
elegant treatment see (Rockafellar [1970]).
5.2.3 Applications.
Decentralized resource allocation.
Parts (i) and (iii) of Theorem 2 make duality theory attractive for computation purposes. In particular
from Theorem 2 (iii), if we have an optimal dual solution
ˆ
λ then the optimal primal solutions are
those optimal solutions of (5.18) for λ =
ˆ
λ which also satisfy the feasibility condition (5.22) and
66 CHAPTER 5. NONLINEAR PROGRAMMING
the “complementary slackness” condition (5.23). This is useful because generally speaking (5.18)
is easier to solve than (5.17) since (5.18) has fewer constraints.
Consider a decision problem in a large system (e.g., a multidivisional ﬁrm). The system is
made up of k subsystems (divisions), and the decision variable of the ith subsystem is a vector
x
i
∈ R
n
i
, 1 ≤ i ≤ k. The subsystem has individual constraints of the form x
i
∈ X
i
where x
i
is
a convex set. Furthermore, the subsystems share some resources in common and this limitation is
expressed as f
1
(x
1
) +. . . +f
k
(x
k
) ≤
ˆ
b where f
i
: R
n
i
→ R
m
are convex functions and
ˆ
b ∈ R
m
is the vector of available common resources. Suppose that the objective function of the large system
is additive, i.e. it is the form f
1
0
(x
1
) + . . . + f
k
0
(x
k
) where f
i
0
: R
n
i
→ R are concave functions.
Thus we have the decision problem (5.28):
Maximize
k
¸
i=1
f
i
0
(x
i
)
subject to x
i
∈ X
i
, 1 ≤ i ≤ k,
k
¸
i=1
f
i
(x
i
) ≤
ˆ
b .
(5.28)
For λ ∈ R
m
, λ ≥ 0, the problem corresponding to (5.19) is
Maximize f
i
0
(x
i
) −λ
f
i
(x
i
) −λ
(
k
¸
i=1
f
i
(x
i
) −
ˆ
b)
subject to x
i
∈ X
i
, 1 ≤ i ≤ k ,
which decomposes into k separate problems:
Maximize f
i
0
(x
i
) −λ
f
i
(x
i
)
subject to x
i
∈ X
i
, 1 ≤ i ≤ k .
(5.29)
If we let m
i
(λ) = sup¦f
i
0
(x
i
) −λ
f
i
(x
i
)[x
i
∈ X
i
¦, and m(λ) =
k
¸
i=1
m
i
(λ) +λ
ˆ
b, then the dual
problem is
Minimize m(λ) ,
subject to λ ≥ 0 .
(5.30)
Note that (5.29) may be much easier to solve than (5.28) because, ﬁrst of all, (5.29) involves fewer
constraints, but perhaps more importantly the decision problems in (5.29) are decentralized whereas
in (5.28) all the decision variables x
1
, . . . , x
k
are coupled together; in fact, if k is very large it may
be practically impossible to solve (5.28) whereas (5.29) may be trivial if the dimensions of x
i
are
small.
Assuming that (5.28) has an optimal solution and the stability condition is satisﬁed, we need to
ﬁnd an optimal dual solution so that we can use Theorem 2(iii). For simplicity suppose that the
f
i
0
, 1 ≤ i ≤ k, are strictly concave, and also suppose that (5.29) has an optimal solution for every
λ ≥ 0. Then by Exercise 8 of Section 1, for each λ ≥ 0 there is a unique optimal solution of (5.29),
say x
i
(λ). Consider the following algorithm.
5.2. DUALITY THEORY 67
Step 1. Select λ
0
≥ 0 arbitrary. Set p = 0, and go to Step 2.
Step 2. Solve (5.29) for λ = λ
p
and obtain the optimal solution x
p
= (x
1
(λ
p
), . . . , x
k
(λ
p
)).
Compute e
p
=
k
¸
i=1
f
i
(x
i
(λ
p
)) −
ˆ
b. If e
p
≥ 0, x
p
is feasible for (5.28) and can easily be seen to be
optimal.
Step 3. Set λ
p=1
according to
λ
p+1
i
=
λ
p
i
if e
p
i
≥ 0
λ
p
i
−d
p
e
p
i
if e
p
i
< 0
where d
p
> 0 is chosen a priori. Set p = p + 1 and return to Step 3.
It can be shown that if the step sizes d
p
are chosen properly, x
p
will converge to the optimum
solution of (5.28). For more detail see (Arrow and Hurwicz [1960]), and for other decentralization
schemes for solving (5.28) see (Geoffrion [1970b]).
Control of water quality in a stream.
The discussion in this section is mainly based on (Kendrick, et al., [1971]). For an informal discus
sion of schemes of pollution control which derive their effectiveness from duality theory see (Solow
[1971]). See (Dorfman and Jacoby [1970].)
Figure 5.7 is a schematic diagram of a part of a stream into which n sources (industries and
municipalities) discharge polluting efﬂuents. The pollutants consist of various materials, but for
simplicity of exposition we assume that their impact on the quality of the stream is measured in
terms of a single quantity, namely the biochemical oxygen demand (BOD) which they place on the
dissolved oxygen (DO) in the stream. Since the DO in the stream is used to breakdown chemically
the pollutants into harmless substances, the quality of the stream improves with the amount of
DO and decreases with increasing BOD. It is a welladvertized fact that if the DO drops below a
certain concentration, then life in the stream is seriously threatened; indeed, the stream can “die.”
Therefore, it is important to treat the efﬂuents before they enter the stream in order to reduce the
BOD to concentration levels which can be safely absorbed by the DO in the stream. In this example
we are concerned with ﬁnding the optimal balance between costs of waste treatment and costs of
high BOD in the stream.
We ﬁrst derive the equations which govern the evolution in time of BOD and DO in the n areas
of the streams. The ﬂuctuations of BOD and DO will be cyclical with a period of 24 hours. Hence,
it is enough to study the problem over a 24hour period. We divide this period into T intervals,
t = 1, . . . , T. During interval t and in area i let
z
i
(t) = concentration of BOD measured in mg/liter,
q
i
(t) = concentration of DO measured in mg/liter,
s
i
(t) = concentration of BOD of efﬂuent discharge in mg/liter, and
m
i
(t) = amount of efﬂuent discharge in liters.
The principle of conservation of mass gives us equations (5.31) and (5.32):
z
i
(t + 1) −z
i
(t) = −α
i
z
i
(t) +
ψ
i−1
z
i−1
(t)
v
i
−
ψ
i
z
i
(t)
v
i
+
s
i
(t)m
i
(t)
v
i
, (5.31)
q
i
(t + 1) −q
i
(t) = β
i
(q
s
i
−q
i
(t)) +
ψ
i−1
q
i−1
(t)
v
i
−
ψ
i
q
i
(t)
v
i
+α
i
z
i
(t) −η
i
v
i
, t = 1, . . . , T and i = 1, . . . , N.
(5.32)
68 CHAPTER 5. NONLINEAR PROGRAMMING
. . . . . .
. . .
direction of ﬂow
0
z
0
q
0
1
z
1
q
1
i −1
z
i−1
q
i−1
i
z
i
q
i
i + 1
z
i+1
q
i+1
N
z
N
q
N
N + 1
given
(1 −π
1
)s
i
s
i
1 −π
i−1
s
i−a
s
i
(1 −π
i
)s
i
s
i+1
(1 −π
i+1
)s
i+1
s
N
(1 −π
N
)s
N
Figure 5.7: Schematic of stream with efﬂuent discharges.
Here, v
i
= volume of water in area i measured in liters, ψ
i
= volume of water which ﬂows from
area i to are i +1 in each period measured in liters. α
i
is the rate of decay of BOD per interval. This
decay occurs by combination of BOD and DO. β
i
is the rate of generation of DO. The increase in
DO is due to various natural oxygenproducing biochemical reactions in the stream and the increase
is proportional to (q
s
− q
i
) where q
s
is the saturation level of DO in the stream. Finally, η
i
is the
DO requirement in the bottom sludge. The v
i
, ψ
i
, α
i
, η
i
, q
s
are parameters of the stream and are
assumed known. They may vary with the time interval t. Also z
0
(t), q
0
(t) which are the concen
trations immediately upstream from area 1 are assumed known. Finally, the initial concentrations
z
i
(1), q
i
(1), i = 1, . . . , N are assumed known.
Now suppose that the waste treatment facility in area i removes in interval t a fraction π
i
(t) of
the concentration s
i
(t) of BOD. Then (5.31) is replaced by
z
i
(t + 1) −z
i
(t) = −α
i
z
i
(t) +
ψ
i
z
i−1
v
i
−
ψ
i
z
i
(t)
v
i
+
(1−π
i
(t))s
i
(t)m
i
(t)
v
i
. (5.33)
We now turn to the costs associated with waste treatment and pollution. The cost of waste treat
ment can be readily identiﬁed. In period t the ith facility treats m
i
(t) liters of efﬂuent with a BOD
concentration s
i
(t) mg/liter of which the facility removes a fraction π
i
(t). Hence, the cost in period
t will be f
i
(π
i
(t), s
i
(t), m
i
(t)) where the function must be monotonically increasing in all of its
arguments. We further assume that f is convex.
The costs associated with increased amounts of BOD and reduced amounts of DO are much
more difﬁcult to quantify since the stream is used by many institutions for a variety of purposes
(e.g., agricultural, industrial, municipal, recreational), and the disutility caused by a decrease in
the water quality varies with the user. Therefore, instead of attempting to quantify these costs let
us suppose that some minimum water quality standards are set. Let q be the minimum acceptable
DO concentration and let ¯ z be the maximum permissible BOD concentration. Then we face the
5.2. DUALITY THEORY 69
following NP:
Maximize −
N
¸
i=1
T
¸
t=1
f
i
(π
i
(t), s
i
(t), m
i
(t))
subject to (5.32), (5.33), and
−q
i
(t) ≤ −q , i = 1, . . . , N; t = 1, . . . , T,
z
i
(t) ≤ ¯ z , i = 1, . . . , N; t = 1, . . . , T,
0 ≤ π
i
(t) ≤ 1 , i = 1, . . . , N; t = 1, . . . , T.
(5.34)
Suppose that all the treatment facilities are in the control of a single public agency. Then assuming
that the agency is required to maintain the standards (q, ¯ z) and it does this at a minimum cost it will
solve the NP (5.34) and arrive at an optimal solution. Let the minimum cost be m(q, ¯ z). But if
there is no such centralized agency, then the individual polluters may not (and usually do not) have
any incentive to cooperate among themselves to achieve these standards. Furthermore, it does not
make sense to enforce legally a minimum standard q
i
(t) ≥ q, z
i
(t) ≤ ¯ z on every polluter since the
pollution levels in the ith area depend upon the pollution levels on all the other areas lying upstream.
On the other hand, it may be economically and politically acceptable to tax individual polluters in
proportion to the amount of pollutants discharged by the individual. The question we now pose
is whether there exist tax rates such that if each individual polluter minimizes its own total cost
(i.e., cost of waste treatment + tax on remaining pollutants), then the resulting water quality will be
acceptable and, furthermore, the resulting amount of waste treatment is carried out at the minimum
expenditure of resources (i.e., will be an optimal solution of (5.34)).
It should be clear from the duality theory that the answer is in the afﬁrmative. To see this let
w
i
(t) = (z
i
(t), −q
i
(t))
, let w(t) = (w
1
(t), . . . , w
N
(t)), and let w = (w(1), . . . , w(t)). Then we
can solve (5.32) and (5.33) for w and obtain
w = b +Ar , (5.35)
where the matrix A and the vector b depend upon the known parameters and initial conditions, and
r is the NTdimensional vector with components (1 − π
i
(t))s
i
(t)m
i
(t). Note that the coefﬁcients
of the matrix must be nonnegative because an increase in any component of r cannot decrease the
BOD levels and cannot increase the DO levels. Using (5.35) we can rewrite (5.34) as follows:
Maximize −
¸
i
¸
t
f
i
(π
i
(t), s
i
(t), m
i
(t))
subject to b +Ar ≤ ¯ w ,
0 ≤ π
i
(t) ≤ 1 , i = 1, . . . , N; t = 1, . . . , T,
(5.36)
where the 2NTdimensional vector ¯ w has its components equal to −q or ¯ z in the obvious manner.
By the duality theorem there exists a 2NTdimensional vector λ
∗
≥ 0, and an optimal solution
π
∗
i
(t), i = 1, . . . , N, t = 1, . . . , T, of the problem:
Maximize −
¸
i
¸
t
f
i
(π
i
(t), s
i
(t), m
i
(t)) −λ
∗
(b +Ar −w)
subject to 0 ≤ π
i
(t) ≤ 1, i = 1, . . . , N; t = 1, . . . , T ,
(5.37)
such that ¦π
∗
i
(t)¦ is also an optimal solution of (5.36) and, furthermore, the optimal values of (5.36)
and (5.37) are equal. If we let p
∗
= A
λ
∗
≥ 0, and we write the components of p
∗
as p
∗
i
(t) to match
70 CHAPTER 5. NONLINEAR PROGRAMMING
with the components (1−π
i
(t))s
i
(t)m
i
(t) of r we can see that (5.37) is equivalent to the set of NT
problems:
Maximize −f
i
(π
i
(t), s
i
(t), m
i
(t)) −p
∗
i
(t)(1 −π
i
(t))s
i
(t)m
i
(t)
0 ≤ π
i
(t) ≤ 1 ,
i = 1, . . . , N; t = 1, . . . , T .
(5.38)
Thus, p
∗
i
(t) is optimum tax per mg of BOD in area i during period t.
Before we leave this example let us note that the optimum dual variable or shadow price λ
∗
plays an important role in a larger framework. We noted earlier that the quality standard (q, ¯ z)
was somewhat arbitrary. Now suppose it is proposed to change the standard in the ith area during
period t to q +∆q
i
(t) and ¯ z +∆z
i
(t). If the corresponding components of λ
∗
are λ
q∗
i
(t) and λ
z∗
i
(t),
then the change in the minimum cost necessary to achieve the new standard will be approximately
λ
q∗
i
(t)∆q
i
(t) + λ
z∗
i
(t)∆z
i
(t). This estimate can now serve as a basis in making a beneﬁts/cost
analysis of the proposed new standard.
5.3 Quadratic Programming
An important special case of NP is the quadratic programming (QP) problem:
Maximize c
x −
1
2
x
Px
subject to Ax ≤ b, x ≥ 0 ,
(5.39)
where x ∈ R
n
is the decision variable , c ∈ R
n
, b ∈ R
m
are ﬁxed, A is a ﬁxed m n matrix and
P = P
is a ﬁxed positive semideﬁnite matrix.
Theorem 1: A vector x
∗
∈ R
n
is optimal for (5.39) iff there exist λ
∗
∈ R
m
, µ
∗
∈ R
n
, such that
Ax
∗
≤ b, x
∗
≥ 0
c −Px
∗
= A
λ
∗
−µ
∗
, λ
∗
≥ 0, µ
∗
≥ 0 ,
(λ
∗
)
(Ax
∗
−b) = 0 , (µ
∗
)
x
∗
= 0 .
(5.40)
Proof: By Lemma 3 of 1.3, CQ is satisﬁed, hence the necessity of these conditions follows from
Theorem 2 of 1.2. On the other hand, since P is positive semideﬁnite it follows from Exercise 6
of Section 1.2 that f
0
: x → c
x −1/2 x
Px is a concave function, so that the sufﬁciency of these
conditions follows from Theorem 4 of 1.2. ♦
From (5.40) we can see that x
∗
is optimal for (5.39) iff there is a solution (x
∗
, y
∗
, λ
∗
, µ
∗
) to
(5.41), (5.42), and (5.43):
Ax +I
m
Y = b
−Px −A
λ +I
n
µ = −c ,
(5.41)
x ≥ 0 y ≥ 0, λ ≥ 0, µ ≥ 0 , (5.42)
µ
x = 0 , λ
y = 0 . (5.43)
Suppose we try to solve (5.41) and (5.42) by Phase I of the Simplex algorithm (see 4.3.2). Then we
must apply Phase II to the LP:
Maximize −
m
¸
i=1
z
i
−
n
¸
j=1
ξ
j
5.4. COMPUTATIONAL METHOD 71
subject to
Ax +I
m
y +z = b
−Px −A
λ +I
n
µ +ξ = −c
x ≥ 0, y ≥ 0, λ ≥ 0, µ ≥ 0, z ≥ 0, ξ ≥ 0,
(5.44)
starting with a basic feasible solution z = b, ξ = −c. (We have assumed, without loss of generality,
that b ≥ 0 and −c ≥ 0.) If (5.41) and (5.42) have a solution then the maximum value in (5.44) is 0.
We have the following result.
Lemma 1: If (5.41), (5.42), and (5.43) have a solution, then there is an optimal basic feasible solution
of (5.44) which is also a solution f (5.41), (5.42), and (5.43).
Proof: Let ˆ x, ˆ y,
ˆ
λ, ˆ µ be a solution of (5.41), (5.42), and (5.43). Then ˆ x, ˆ y,
ˆ
λ, ˆ µ, ˆ z = 0,
ˆ
ξ = 0 is
an optimal solution of (5.44). Furthermore, from (5.42) and (5.43) we see that at most (n + m)
components of (ˆ x, ˆ y,
ˆ
λ, ˆ µ) are nonzero. But then a repetition of the proof of Lemma 1 of 4.3.1 will
also prove this lemma. ♦
This lemma suggests that we can apply the Simplex algorithm of 4.3.2 to solve (5.44), starting
with the basic feasible solution z = b, ξ = −c, in order to obtain a solution of (5.41), (5.42), and
(5.43). However, Step 2 of the Simplex algorithm must be modiﬁed as follows to satisfy (5.43):
If a variable x
j
is currently in the basis, do not consider µ
j
as a candidate for entry into the basis;
if a variable y
i
is currently in the basis, do not consider λ
i
as a candidate for entry into the basis. If
it not possible to remove the z
i
and ξ
j
from the basis, stop.
The above algorithm is due to Wolfe [1959]. The behavior of the algorithm is summarized below.
Theorem 2: Suppose P is positive deﬁnite. The algorithm will stop in a ﬁnite number of steps at an
optimal basic feasible solution (ˆ x, ˆ y,
ˆ
λ, ˆ µ, ˆ z,
ˆ
ξ) of (5.44). If ˆ z = 0 and
ˆ
ξ = 0 then (ˆ x, ˆ y,
ˆ
λ, ˆ µ) solve
(5.41), (5.42), and (5.43) and ˆ x is an optimal solution of (5.39). If ˆ z = 0 or
ˆ
ξ = 0, then there is no
solution to (5.41), (5.42), (5.43), and there is no feasible solution of (5.39).
For a proof of this result as well as for a generalization of the algorithm which permits positive
semideﬁnite P see (Cannon, Cullum, and Polak [1970], p. 159 ff).
5.4 Computational Method
We return to the general NP (5.45),
Maximize f
0
(x)
subject to f
i
(x) ≤ 0, i = 1, . . . , m ,
(5.45)
where x ∈ R
n
, f
i
: R
n
→ R, 0 ≤ i ≤ m, are differentiable. Let Ω ⊂ R
n
denote the set of
feasible solutions. For ˆ x ∈ Ω deﬁne the function ψ(ˆ x) : R
n
→ R by
ψ(ˆ x)(h) = max¦−f
0x
(ˆ x)h, f
1
(ˆ x) +f
1x
(ˆ x)h, . . . , f
m
(ˆ x) +f
mx
(ˆ x)h¦.
Consider the problem:
Minimize ψ(ˆ x)(h)
subject to −ψ(ˆ x)(h) −f
0x
(ˆ x)h ≤ 0 ,
−ψ(ˆ x)(h) +f
i
(ˆ x)f
ix
h ≤ 0 ,
1 ≤ i ≤ m , −1 ≤ h
j
≤ 1 , 1 ≤ j ≤ n .
(5.46)
72 CHAPTER 5. NONLINEAR PROGRAMMING
.
f
0
(x) = F
0
(x
∗
) > f
0
(x
k
)
f
0
(x) = f
0
(x
k
)
f
2
= 0
f
1
= 0
Ω
f
3
= 0
f
2
(x
k
)
x
k
f
3
(x
k
)
f
1
(x
k
)
f
0
(x
k
)
h(x
k
)
Figure 5.8: h(x
k
) is a feasible direction.
Call h(ˆ x) an optimum solution of (5.46) and let h
0
(ˆ x) = ψ(ˆ x)(h(ˆ x)) be the minimum value at
tained. (Note that by Exercise 1 of 4.5.1 (5.46) can be solved as an LP.)
The following algorithm is due to Topkis and Veinott [1967].
Step 1. Find x
0
∈ Ω, set k = 0, and go to Step 2.
Step 2. Solve (5.46) for ˆ x = x
k
and obtain h
0
(x
k
), h(x
k
). If h
0
(x
k
) = 0, stop, otherwise go to Step
3.
Step 3. Compute an optimum solution µ(x
k
) to the onedimensional problem,
Maximize f
0
(x
k
+µh(x
k
)) ,
subject to (x
k
+µh(x
k
)) ∈ Ω, µ ≥ 0 ,
and go to Step 4.
Step 4. Set x
k+1
= x
k
+µ(x
k
)h(x
k
), set k = k + 1 and return to Step 2.
The performance of the algorithm is summarized below.
Theorem 1: Suppose that the set
Ω(x
0
) = ¦x[x ∈ Ω, f
0
(x) ≥ f
0
(x
0
)¦
is compact, and has a nonempty interior, which is dense in Ω(x
0
). Let x
∗
be any limit point of
the sequence x
0
, x
1
, . . . , x
k
, . . . , generated by the algorithm. Then the KuhnTucker conditions are
satisﬁed at x
∗
.
For a proof of this result and for more efﬁcient algorithms the reader is referred to (Polak [1971]).
Remark: If h
0
(x
k
) < 0 in Step 2, then the direction h(x
k
) satisﬁes f
0x
(x
k
)h(x
k
) > 0, and f
i
(x
k
)+
f
ix
(x
K
)h(x
k
) < 0, 1 ≤ i ≤ m. For this reason h(x
k
) is called a (desirable) feasible direction.
(See Figure 5.8.)
5.5. APPENDIX 73
5.5 Appendix
The proofs of Lemmas 4,7 of Section 2 are based on the following extremely important theorem
(see Rockafeller [1970]).
Separation theorem for convex sets. Let F, Gbe convex subsets of R
n
such that the relative interiors
of F, G are disjoint. Then there exists λ ∈ R
n
, λ = 0, and θ ∈ R such that
λ
g ≤ θ for all g ∈ G
λ
f ≥ θ for all f ∈ F .
Proof of Lemma 4: Since M is stable at
ˆ
b there exists K such that
M(b) −M(
ˆ
b) ≤ K[b −
ˆ
b[ for all b ∈ B . (5.47)
In R
1+m
consider the sets
F = ¦(r, b)[b ∈ R
m
, r > K[b −
ˆ
b[¦ ,
G = ¦(r, b)[b ∈ B, r ≤ M(b) −M(
ˆ
b)¦ .
It is easy to check that F, G are convex, and (5.47) implies that F ∩ G = φ. Hence, there exist
(λ
0
, . . . , λ
m
) = 0, and θ such that
λ
0
r +
m
¸
i=1
λ
i
b
i
≤ θ for (r, b) ∈ G ,
λ
0
r +
m
¸
i=1
λ
i
b
i
≥ θ for (r, b) ∈ F .
(5.48)
From the deﬁnition of F, and the fact that (λ
0
, . . . , λ
m
) = 0, it can be veriﬁed that (5.49) can hold
only if λ
0
> 0. Also from (5.49) we can see that
m
¸
i=1
λ
i
ˆ
b
i
≥ θ, whereas from (5.48)
m
¸
i=1
λ
i
ˆ
b
i
≤ θ,
so that
m
¸
i=1
λ
i
ˆ
b
i
= θ. But then from (5.48) we get
M(b) −M(
ˆ
b) ≤
1
λ
0
[θ −
m
¸
i=1
λ
i
b
i
] =
m
¸
i=1
(−
λ
i
λ
0
)(b
i
−
ˆ
b). ♦
Proof of Lemma 7: Since
ˆ
b is in the interior of B, there exists ε > 0 such that
b ∈ B whenever [b −
ˆ
b[ < ε . (5.49)
In R
1+m
consider the sets
F = ¦(r,
ˆ
b)[r > M(
ˆ
b¦
G = ¦(r, b)[b ∈ B, r ≤ M(b)¦ .
Evidently, F, G are convex and F ∩ G = φ, so that there exist (λ
0
, . . . , λ
m
) = 0, and θ such that
λ
0
r +
m
¸
i=1
λ
i
ˆ
b
i
≥ θ , for r > M(
ˆ
b) , (5.50)
74 CHAPTER 5. NONLINEAR PROGRAMMING
λ
0
r +
m
¸
i=1
λ
i
ˆ
b
i
≤ θ , for (r, b) ∈ G . (5.51)
From (5.49), and the fact that (λ
0
, . . . , λ
m
) = 0 we can see that (5.50) and (5.51) imply λ
0
> 0.
From (5.50),(5.51) we get
λ
0
M(
ˆ
b) +
m
¸
i=1
λ
i
ˆ
b
i
= θ ,
so that (5.52) implies
M(b) ≤ (
ˆ
b) +
m
¸
i=1
(−
λ
i
λ
0
)(b
i
−
ˆ
b
i
) . ♦
Chapter 6
SEQUENTIAL DECISION PROBLEMS:
DISCRETETIME OPTIMAL
CONTROL
In this chapter we apply the results of the last two chapters to situations where decisions have to be
made sequentially over time. A very important class of problems where such situations arise is in
the control of dynamical systems. In the ﬁrst section we give two examples, and in Section 2 we
derive the main result.
6.1 Examples
The trajectory of a vertical sounding rocket is controlled by adjusting the rate of fuel ejection which
generates the thrust force. Speciﬁcally suppose that the equations of motion are given by (6.1).
˙ x
1
(t) = x
2
(t)
˙ x
2
(t) = −
C
D
x
3
(t)
ρ(x
1
(t))x
2
2
(t) −g +
C
T
x
3
(t)
u(t)
˙ x
3
(t) = −u(t) ,
(6.1)
where x
1
(t) is the height of the rocket from the ground at time t, x
2
(t) is the (vertical) speed at
time t, x
3
(t) is the weight of the rocket (= weight of remaining fuel) at time t. The “dot” denotes
differentiation with respect to t. These equations can be derived from the force equations under the
assumption that there are four forces acting on the rocket, namely: inertia = x
3
¨ x
1
= x
3
˙ x
2
; drag
force = C
D
ρ(x
1
)x
2
2
where C
D
is constant, ρ(x
1
) is a friction coefﬁcient depending on atmospheric
density which is a function of x
1
; gravitational force = gx
3
with g assumed constant; and thrust
force C
T
˙ x
3
, assumed proportional to rate of fuel ejection. See Figure 6.1. The decision variable at
time t is u(t), the rate of fuel ejection. At time 0 we assume that (x
1
(0), x
2
(0), x
3
(0)) = (0, 0, M);
that is, the rocket is on the ground, at rest, with initial fuel of weight M. At a prescribed ﬁnal time
t
f
, it is desired that the rocket be at a position as high above the ground as possible. Thus, the
75
76 CHAPTER 6. DISCRETETIME OPTIMAL CONTROL
decision problem can be formalized as (6.2).
Maximize x
1
(t
f
)
subject to ˙ x(t) = f(x(t), u(t)), 0 ≤ t ≤ t
f
x(0) = (0, 0, M)
u(t) ≥ 0, x
3
(t) ≥ 0, 0 ≤ t ≤ t
f
,
(6.2)
where x = (x
1
, x
2
, x
3
)
, f : R
3+1
→ R
3
is the righthand side of (6.1). The constraint inequalities
u(t) ≥ 0 and x
3
(t) ≥ 0 are obvious physical constraints.
x
3
¨ x
1
= inertia
C
D
ϕ(x
1
)x
2
2
= drag
gx
3
= gravitational force
C
R
˙ x
3
= thrust
Figure 6.1: Forces acting on the rocket.
The decision problem (6.2) differs from those considered so far in that the decision variables,
which are functions u : [0, t
f
] → R, cannot be represented as vectors in a ﬁnitedimensional
space. We shall treat such problems in great generality in the succeeding chapters. For the moment
we assume that for computational or practical reasons it is necessary to approximate or restrict
the permissible function u() to be constant over the intervals [0, t
1
), [t
1
, t
2
), . . . , [t
N−1
, t
f
), where
t
1
, t
2
, . . . , t
N−1
are ﬁxed a priori. But then if we let u(i) be the constant value of u() over [t
i
, t
i+1
),
we can reformulate (6.2) as (6.3):
Maximize x
1
(t
N
)(t
N
= t
f
)
subject to x(t
i+1
) = g(i, x(t
i
), u(i)), i = 0, 1, . . . , N −1
x(t
0
) = x(0) = (0, 0, M)
u(i) ≥ 0, x
3
(t
i
) ≥ 0, i = 0, 1, . . . , N .
(6.3)
In (6.3) g(i, x(t
1
), u(i)) is the state of the rocket at time t
i+1
when it is in state x(t
i
) at time t
i
and
u(t) ≡ u(i) for t
i
≤ t < t
i+1
.
As another example consider a simple inventory problem where time enters discretely in a natural
fashion. The Squeezme Toothpaste Company wants to plan its production and inventory schedule
for the coming month. It is assumed that the demand on the ith day, 0 ≤ i ≤ 30, is d
1
(i) for
6.2. MAIN RESULT 77
their orange brand and d
2
(i) for their green brand. To meet unexpected demand it is necessary that
the inventory stock of either brand should not fall below s > 0. If we let s(i) = (s
1
(i), s
2
(i))
denote the stock at the beginning of the ith day, and m(i) = (m
1
(i), m
2
(i))
denote the amounts
manufactured on the ith day, then clearly
s(i + 1) +s(i) +m(i) −d(i) ,
where d(i) = (d
1
(i), d
2
(i))
. Suppose that the initial stock is ˆ s, and the cost of storing inventory s
for one day is c(s) whereas the cost of manufacturing amount mis b(m). The the costminimization
decision problem can be formalized as (6.4):
Maximize
30
¸
i=0
(c(s(i)) +b(m(i)))
subject to s(i + 1) = s(i) +m(i) −d(i), 0 ≤ i ≤ 29
s(0) = ˆ s
s(i) ≥ (s, s)
, m(i) ≥ 0, 0 ≤ i ≤ 30 .
(6.4)
Before we formulate the general problem let us note that (6.3) and (6.4) are in the form of non
linear programming problems. The reason for treating these problems separately is because of their
practical importance, and because the conditions of optimality take on a special form.
6.2 Main Result
The general problem we consider is of the form (6.5).
Maximize
N−1
¸
i=0
f
0
(i, x(i), u(i))
subject to
dynamics : x(i + 1) −x(i) = f(i, x(i), u(i)), i = 0, . . . , N −1 ,
initial condition: q
0
(x(0) ≤ 0, g
0
(x(0)) = 0 ,
ﬁnal condition: q
N
(x(N)) ≤ 0, g
N
(x(N)) = 0 ,
statespace constraint: q
i
(x(i)) ≤ 0, i = 1, . . . , N −1 ,
control constraint: h
i
(u(i)) ≤ 0, i = 0, . . . , N −1 .
(6.5)
Here x(i) ∈ R
n
, u(i) ∈ R
p
, f
0
(i, , ) : R
n+p
→ R, f(i, , ) : R
n+p
→ R
n
, q
i
: R
n
→
R
m
i
, g
i
: R
n
→ R
i
, h
i
: R
p
→ R
s
i
are given differentiable functions. We follow the control
theory terminology, and refer to x(i) as the state of the system at time i, and u(i) as the control or
input at time i.
We use the formulation mentioned in the Remark following Theorem 3 of V.1.2, and construct
the Lagrangian function L by
L(x(0), . . . , x(N); u(0), . . . , u(N −1); p(1), . . . , p(N);
λ
0
, . . . , λ
N
; α
0
, α
N
; γ
0
, . . . , γ
N−1
)
78 CHAPTER 6. DISCRETETIME OPTIMAL CONTROL
=
N−1
¸
i=0
f
0
(i, x(i), u(i)) −
N−1
¸
i=0
(p(i + 1))
(x(i + 1) −x(i) −f(i, x(i), u(i)))+
N
¸
i=0
(λ
i
)
q
i
(x(i)) + (α
0
)
g
0
(x(0)) + (α
N
)
g
N
(x(N)) +
N−1
¸
i=0
(γ
i
)
h
i
(u(i))
¸
.
Suppose that CQ is satisﬁed for (6.5), and x
∗
(0), . . . , x
∗
(N); u
∗
(0), . . . , u
∗
(N −1), is an optimal
solution. Then by Theorem 2 of 5.1.2, there exist p
∗
(i) in R
n
for 1 ≤ i ≤ N, λ
i∗
≥ 0 in R
m
i
for
0 ≤ i ≤ N, α
i∗
in R
i
for i = 0, N, and γ
i∗
≥ 0 in R
s
i
for 0 ≤ i ≤ N −1, such that
(A) the derivative of L evaluated at these points vanishes,
and
(B) λ
i∗
q
i
(x
∗
(i)) = 0 for 0 ≤ i ≤ N, γ
i∗
h
i
(u
∗
(i)) = 0 for 0 ≤ i ≤ N −1 .
We explore condition (A) by taking various partial derivatives.
Differentiating L with respect to x(0) gives
f
0x
(0, x
∗
(0), u
∗
(0)) −¦−(p
∗
(1))
−(p
∗
(1))
[f
x
(0, x
∗
(0), u
∗
(0))]
+(λ
0∗
)
[q
0x
(x
∗
(0))] + (α
0∗
)
[g
0x
(x
∗
(0))]¦ = 0 ,
or
p
∗
(0) −p
∗
(1) = [f
x
(0, x
∗
(0), u
∗
(x))]
p
∗
(1)
+[f
0x
(0, x
∗
(0), u
∗
(0))]
−[q
0x
(x
∗
(0))]
λ
0∗
,
(6.6)
where we have deﬁned
p
∗
(0) = [g
0x
(x
∗
(x))]
α
0∗
. (6.7)
Differentiating L with respect to x(i), 1 ≤ i ≤ N −1, and rearranging terms gives
p
∗
(i) −p
∗
(i + 1) = [f
x
(i, x
∗
(i), u
∗
(i))]
p
∗
(i + 1)
+[f
0x
(i, x
∗
(i), u
∗
(i))]
−[q
ix
(x
∗
(i))]
λ
i∗
.
(6.8)
Differentiating L with respect to x(N) gives,
p
∗
(N) = −[g
Nx
(x
∗
(N))]
α
N∗
−[q
Nx
(x
∗
(N))]
λ
N∗
.
It is convenient to replace α
N∗
by −α
N∗
so that the equation above becomes (6.9)
p
∗
(N) = [g
Nx
(x
∗
(N))]
α
N∗
−[q
Nx
(x
∗
(N))]
λ
N∗
. (6.9)
Differentiating L with respect to u(i), 0 ≤ i ≤ N −1 gives
[f
0u
(i, x
∗
(i), u
∗
(i))]
+ [f
u
(i, x
∗
(i), u
∗
(i))]
p
∗
(i +l) −[h
iu
(u
∗
(i))]
γ
i∗
= 0 . (6.10)
We summarize our results in a convenient form in
Table 6.1
Remark 1: Considerable elegance and mnemonic simpliﬁcation is achieved if we deﬁne the
Hamiltonian function H by
6
.
2
.
M
A
I
N
R
E
S
U
L
T
7
9
Suppose x
∗
(0), . . . , x
∗
(N);
u
∗
(0), . . . , u
∗
(N −1) maximizes
N−1
¸
i=0
f
0
(i, x(i), u(i)) subject
to the constraints below
then there exist p
∗
(N); λ
0∗
, . . . , λN
∗
; α
0∗
, α
N∗;
γ
0∗
, . . . , γ
N−1
∗
, such that
dynamics: i = 0, . . . , N −1
x(i + 1) −x(i) = f(i, x(i), u(i))
initial condition:
q
0
(x
∗
(0)) ≤ 0, g
0
(x
∗
(0)) = 0
ﬁnal conditions:
q
N
(x
∗
(N)) ≤ 0, g
N
(x
∗
(N)) = 0
state space constraint:
i = 1, . . . , N −1
q
i
(x
∗
(i)) ≤ 0
control constraint:
i = 0, . . . , N −1
h
i
(u
∗
(i)) ≤ 0
adjoint equations: i = 0, . . . , N −1
p
∗
(i) −p
∗
(i + 1) = [f
x
(i, x
∗
(i), u
∗
(i)]
p
∗
(i + 1)
+[f
0x
(i, x
∗
(i), u
∗
(i)]
−[q
ix
(x
∗
(i)]
γ
i∗
transversality conditions:
p
∗
(0) = [g
0x
(x
∗
(0))]
α
0∗
p
∗
(N) = [g
Nx
(x
∗
(N))]
α
N∗
−[q
Nx
(x
∗
(N))]
λ
N∗
[f
0u
(i, x
∗
(i), u
∗
(i))]
+ [f
u
(i, x
∗
(i)u
∗
(i))]
.
p
∗
(i
1
) = [h
iu
(u
∗
(i))]
γ
i∗
λ
0∗
≥ 0,
(λ
0∗
)
q
0
(x
∗
(0)) = 0
λ
N∗
≥ 0,
(λ
N∗)
q
N
(x
∗
(N)) = 0
λ
i∗
≥ 0,
(λ
i∗
)
q
i
(x
∗
(i)) = 0
γ
i∗
≥ 0
(γ
i∗)
h
i
(u
∗
(i) = 0
T
a
b
l
e
6
.
1
:
80 CHAPTER 6. DISCRETETIME OPTIMAL CONTROL
H(i, x, u, p) = f
0
(i, x, u) +p
f(i, x, u) .
The dynamic equations then become
x
∗
(i + 1) −x
∗
(i) = [H
p
(i, x
∗
(i), u
∗
(i), p
∗
(i + 1))]
,
0 ≤ i ≤ N −1 .
(6.11)
and the adjoint equations (6.6) and (6.8) become
p
∗
(i) −p
∗
(i + 1) = [H
x
(i, x
∗
(i), u
∗
(i), u
∗
(i), p
∗
(i + 1))]
−[q
ix
(x
∗
(i))]
λ
i∗
,
0 ≤ i ≤ N −1 ,
whereas (6.10) becomes
[h
iu
(u
∗
(i))]
γ
i∗
= [H
u
(i, x
∗
(i), u
∗
(i), p
∗
(i + 1))]
, 0 ≤ i ≤ N −1 . (6.12)
Remark 2: If we linearize the dynamic equations about the optimal solution we obtain
δx(i + 1) −δx(i) = [f
x
(i, x
∗
(i), u
∗
(i))]δx(i) + [f
u
(i, x
∗
(i, x
∗
, (i), u
∗
(i))]δu(i) ,
whose homogeneous part is
z(i + 1) −z(i) = [f
x
(i, x
∗
(i), u
∗
(i))]z(i) ,
which has for it adjoint the system
r(i) −r(i + 1) = [f
x
(i, x
∗
(i), u
∗
(i))]
r(i + 1) . (6.13)
Since the homogeneous part of the linear difference equations (6.6), (6.8) is (6.13), we call (6.6),
(6.8) the adjoint equations, and the p
∗
(i) are called adjoint variables.
Remark 3: If the f
0
(i, , ) are concave and the remaining function in (6.5) are linear, then CQ is
satisﬁed, and the necessary conditions of Table 6.1 are also sufﬁcient. Furthermore, in this case we
see from (6.13) that u
∗
(i) is an optimal solution of
Maximize H(i, x
∗
(i), u, p
∗
(i + 1)),
subject to h
i
(u) ≤ 0 .
For this reason the result is sometimes called the maximum principle.
Remark 4: The conditions (6.7), (6.9) are called transversality conditions for the following reason.
Suppose q
0
≡ 0, q
N
≡ 0, so that the initial and ﬁnal conditions read g
0
(x(0)) = 0, g
N
(x(N)) = 0,
which describe surfaces in R
n
. Conditions (6.7), (6.9) become respectively p
∗
(0) = [g
0x
(x
∗
(0))]
α
0∗
, p
∗
(N) =
[g
Nx
(x(N))]
α
N∗
which means that p
∗
(0) and p
∗
(N) are respectively orthogonal or transversal to
the initial and ﬁnal surfaces. Furthermore, we note that in this case the initial and ﬁnal conditions
specify (
0
+
n
) conditions whereas the transversality conditions specify (n−
0
)+(n−
n
) condi
tions. Thus, we have a total of 2n boundary conditions for the 2ndimensional system of difference
equations (6.5), (6.12); but note that these 2n boundary conditions are mixed, i.e., some of them
refer to the initial time 0 and the rest refer to the ﬁnal time.
6.2. MAIN RESULT 81
Exercise 1: For the regulator problem,
Maximize
1
2
N−1
¸
i=0
x(i)
Qx(i) +
1
2
N−1
¸
i=0
u(i)
Pu(i)
subject to x(i + 1) −x(i) = Ax(i) +Bu(i), 0 ≤ i ≤ N −1
x(0) = ˆ x(0),
u(i) ∈ R
p
, 0 ≤ i ≤ N −1 ,
where x(i) ∈ R
n
, A and B are constant matrices, ˆ x(0) is ﬁxed, Q = Q
is positive semideﬁnite,
and P = P
is positive deﬁnite, show that the optimal solution is unique and can be obtained by
solving a 2ndimensional linear difference equation with mixed boundary conditions.
Exercise 2: Show that the minimal fuel problem,
Minimize
N−1
¸
i=0
¸
P
¸
j=1
[(u(i))
j
[
¸
,
subject to x(i + 1) −x(i) = Ax(i) +Bu(i), 0 ≤ i ≤ N −1
x(0) = ˆ x(0), x(N) = ˆ x(N) ,
u(i) ∈ R
p
, [u(i))
j
[ ≤ 1, 1 ≤ j ≤ p, 0 ≤ i ≤ N −1
can be transformed into a linear programming problem. Here ˆ x(0), ˆ x(N) are ﬁxed, A and B are as
in Exercise 1.
82 CHAPTER 6. DISCRETETIME OPTIMAL CONTROL
Chapter 7
SEQUENTIAL DECISION PROBLEMS:
CONTINUOUSTIME OPTIMAL
CONTROL OF LINEAR SYSTEMS
We will investigate decision problems similar to those studied in the last chapter with one (math
ematically) crucial difference. A choice of control has to be made at each instant of time t where
t varies continuously over a ﬁnite interval. The evolution in time of the state of the systems to be
controlled is governed by a differential equation of the form:
˙ x(t) = f(t, x(t), u(t)) ,
where x(t) ∈ R
n
and u(t) ∈ R
p
are respectively the state and control of the system at time t.
To understand the main ideas and techniques of analysis it will prove proﬁtable to study the linear
case ﬁrst. The general nonlinear case is deferred to the next chapter. In Section 1 we present the
general linear problem and study the case where the initial and ﬁnal conditions are particularly
simple. In Section 2 we study more general boundary conditions.
7.1 The Linear Optimal Control Problem
We consider a dynamical system governed by the linear differential equation (7.1):
˙ x(t) = A(t)x(t) +B(t)u(t), t ≥ t
0
. (7.1)
Here A() and B() are n n and n pmatrix valued functions of time; we assume that they are
piecewise continuous functions. The control u() is constrained to take values in a ﬁxed set Ω ⊂ R
p
,
and to be piecewise continuous.
Deﬁnition: A piecewise continuous function u : [t
0
, ∞) → Ω will be called an admissible control.
 denotes the set of all admissible controls.
Let c ∈ R
n
, x
0
∈ R
n
be ﬁxed and let t
f
≥ t
0
be a ﬁxed time. We are concerned with the
83
84 CHAPTER 7. CONTINUOUSTIME LINEAR OPTIMAL CONTROL
decision problem (7.2).
Maximize c
x(t
f
),
subject to
dynamics: ˙ x(t) = A(t)x(t) +B(t)u(t) , t
0
≤ t ≤ t
f
,
initial condition: x(t
0
) = x
0
,
ﬁnal condition: x(t
f
) ∈ R
n
,
control constraint: u() ∈  .
(7.2)
Deﬁnition: (i) For any piecewise continuous function u() : [t
0
, t
f
] → R
p
, for any z ∈ R
n
, and
any t
0
≤ t
1
≤ t
2
≤ t
f
let
φ(t
2
, t
1
, z, u)
denote the state of (7.1) at time t
2
, if a time t
1
it is in state z, and the control u() is applied.
(ii) Let
K(t
2
, t
1
, z) = ¦φ(t
2
, t
1
, z, u)[u ∈ ¦ .
Thus, K(t
2
, t
1
, z) is the set of states reachable at time t
2
starting at time t
1
in state z and using
admissible controls. We call K the reachable set.
Deﬁnition: Let Φ(t, τ), t
0
≤ τ ≤ t ≤ t
f
, be the transitionmatrix function of the homogeneous
part of (7.1), i.e., Φ satisﬁes the differential equation
∂Φ
∂t
(t, τ) = A(t)Φ(t, τ) ,
and the boundary condition
Φ(t, t) ≡ I
n
.
The next result is wellknown. (See Desoer [1970].)
Lemma 1: φ(t
2
, t
1
, z, u) = Φ(t
2
, t
1
)z +
t
2
t
1
Φ(t
2
, τ)B(τ)u(τ)dτ.
Exercise 1: (i) Assuming that Ω is convex, show that  is a convex set. (ii) Assuming that  is
convex show that K(t
2
, t
1
, z) is a convex set. (It is a deep result that K(t
2
, t
1
, z) is convex even if
Ω is not convex (see Neustadt [1963]), provided we include in  any measurable function
u : [t
0
, ∞) → Ω.)
Deﬁnition: Let K ⊂ R
n
, and let x
∗
∈ K. We say that c is the outward normal to a hyperplane
supporting K at x
∗
if c = 0, and
c
x
∗
≥ c
x for all x ∈ K .
The next result gives a geometric characterization of the optimal solutions of (2).
Lemma 2: Suppose c = 0. Let u
∗
() ∈  and let x
∗
(t) = φ(t, t
0
, x
0
, u
∗
). Then u
∗
is an optimal
solution of (2) iff
(i) x
∗
(t
f
) is on the boundary of K = K(t
f
, t
0
, x
0
), and
(ii) c is the outward normal to a hyperplane supporting K at x
∗
. (See Figure 7.1.)
Proof: Clearly (i) is implied by (ii) because if x
∗
(t
f
) is in the interior of K there is δ > 0 such
that (x
∗
(t
f
) +δc) ∈ K; but then
7.1. THE LINEAR OPTIMAL CONTROL PROBLEM 85
x
3
c
x
2
x
1
c
x
∗
(t
f
)
π
∗
= ¦x[c
x = c
x
∗
(t
f
)¦
K
Figure 7.1: c is the outward normal to π
∗
supporting K at x
∗
(t
f
)
.
c
(x
∗
(t
f
) +δc) = c
x
∗
(t
f
) +δ[c[
2
> c
x
∗
(t
f
) .
Finally, from the deﬁnition of K it follows immediately that u
∗
is optimal iff c
x
∗
(t
f
) ≥ c
x for all
x ∈ K . ♦
The result above characterizes the optimal control u
∗
in terms of the ﬁnal state x
∗
(t
f
). The beauty
and utility of the theory lies in the following result which translates this characterization directly in
terms of u
∗
.
Theorem 1: Let u
∗
() ∈  and let x
∗
(t) = φ(t, t
0
, x
0
, u
∗
), t
0
≤ t ≤ t
f
. Let p
∗
(t) be the solution
of (7.3) and (7.4):
adjoint equation: ˙ p
∗
(t) = −A
(t)p
∗
(t) , t
0
≤ t ≤ t
f
. (7.3)
ﬁnal condition: p
∗
(t
f
) = c . (7.4)
Then u
∗
() is optimal iff
(p
∗
(t))
B(t)u
∗
(t) = sup¦(p
∗
(t))
B(t)v[v ∈ Ω¦ , (7.5)
for all t ∈ [t
0
, t
f
], except possibly for a ﬁnite set.
Proof: u
∗
() is optimal iff for every u() ∈ 
(p
∗
(t
f
))
[Φ(t
f
, t
0
)x
0
+
t
f
t
0
Φ(t
f
, τ)B(τ)u
∗
(τ)dτ]
≥ (p
∗
(t
f
))
[Φ(t
f
, t
0
)x
0
+
t
f
t
0
Φ(t
f
, τ)B(τ)u(τ)dτ] ,
which is equivalent to (7.6).
t
f
t
0
(p
∗
(t
f
))
Φ(t
f
, τ)B(τ)u
∗
(τ)dτ
≥
t
f
t
0
(p
∗
(t
f
))
Φ(t
f
, τ)B(τ)u(τ)dτ
(7.6)
86 CHAPTER 7. CONTINUOUSTIME LINEAR OPTIMAL CONTROL
Now by properties of the adjoint equation we know that p
∗
(t))
= (p
∗
(t
f
))
Φ(t
f
, t) so that (7.6) is
equivalent to (7.7),
t
f
t
0
(p
∗
(τ))
B(τ)u
∗
(τ)dτ ≥
t
f
t
0
(p
∗
(τ))
B(τ)u(τ)dτ, (7.7)
and the sufﬁciency of (7.5) is immediate.
To prove the necessity let D be the ﬁnite set of points where the function B() or u
∗
() is discon
tinuous. We shall show that if u
∗
() is optimal then (7.5) is satisﬁed for t ∈ D. Indeed if this is not
the case, then there exists t
∗
∈ [t
0
, t
f
], t
∗
∈ D, and v ∈ Ω such that
(p
∗
(t
∗
))
B(t
∗
)u
∗
(t
∗
) < (p
∗
(t
∗
))
B(t
∗
)v ,
and since t
∗
is a point of continuity of B() and u
∗
(), it follows that there exists δ > 0 such that
(p
∗
(t))
B(t)u
∗
(t) < (p
∗
(t))
B(t)v, for [t −t
∗
[ < δ . (7.8)
Deﬁne ˜ u() ∈  by
˜ u(t) =
v [t −t
∗
[ < δ, t ∈ [t
0
, t
f
]
u
∗
(t) otherwise .
Then (7.8) implies that
t
f
t
0
(p
∗
(t))
B(t)˜ u(t)dt >
t
f
t
0
(p
∗
(t))
B(t)u
∗
(t)dt .
But then from (7.7) we see that u
∗
() cannot be optimal, giving a contradiction. ♦
Corollary 1: For t
0
≤ t
1
≤ t
2
≤ t
f
,
(p
∗
(t
2
))x
∗
(t
2
) ≥ (p
∗
(t
2
))
x for all x ∈ K(t
2
, t
1
, x
∗
(t
1
)). (7.9)
Exercise 2: Prove Corollary 1.
Remark 1: The geometric meaning of (7.9) is the following. Taking t
1
= t
0
in (7.9), we see that if
u
∗
() is optimal, i.e., if c = p
∗
(t
f
) is the outward normal to a hyperplane supporting K(t
f
, t
0
, x
0
)
at x
∗
(t
f
), then x
∗
(t) is on the boundary of K(t, t
0
, x
0
) and p
∗
(t) is the normal to a hyperplane
supporting K(t, t
0
, x
0
) at x
∗
(t). This normal is obtained by transporting backwards in time, via
the adjoint differential equation, the outward normal p
∗
(t
f
) at time t
f
. The situation is illustrated
in Figure 7.2.
Remark 2: If we deﬁne the Hamiltonian function H by
H(t, x, u, p) = p
(A(t)x +B(t)u) ,
and we deﬁne M by
M(t, x, p) = sup¦H(t, x, u, p)[u ∈ Ω¦,
then (7.5) can be rewritten as
H(t, x
∗
(t), u
∗
(t), p
∗
(t)) = M(t, x
∗
(t), p
∗
(t)) . (7.10)
This condition is known as the maximum principle.
7.2. MORE GENERAL BOUNDARY CONDITIONS 87
Exercise 3: (i) Show that m(t) = M(t, x
∗
(t), p
∗
(t)) is a Lipschitz function of t. (ii) If A(t), B(t)
are constant, show that m(t) is constant. (Hint: Show that (dm/dt) ≡ 0.)
The next two exercises show how we can obtain important qualitative properties of an optimal
control.
Exercise 4: Suppose that Ω is bounded and closed. Show that there exists an optimal control u
∗
()
such that u
∗
(t) belongs to the boundary of Ω for all t.
Exercise 5: Suppose Ω = [α, β], so that B(t) is an n 1 matrix. Suppose that A(t) ≡ A and
B(t) ≡ B are constant matrices and A has n real eigenvalues. Show that there is an optimal
control u
∗
() and t
0
≤ t
1
≤ t
2
≤ . . . ≤ t
n
≤ t
f
such that u
∗
(t) ≡ α or β on [t
i
, t
i+1
), 0 ≤ i ≤ n.
(Hint: ﬁrst show that (p
∗
(t))
B = γ
1
exp(δ
1
t) +. . . +γ
n
exp(δ
n
(t)) for some γ
i
, δ
i
in R.)
Exercise 6: Assume that K(t
f
, t
0
, x
0
) is convex (see remark in Exercise 1 above). Let
f
0
: R
n
→ R be a differentiable function and suppose that the objective function in (7.2) is
f
0
(x(t
f
)) instead of c
x(t
f
). Suppose u
∗
() is an optimal control. Show that u
∗
() satisﬁes the
maximum principle (7.10) where p
∗
() is the solution of the adjoint equation (7.3) with the ﬁnal
condition
p
∗
(t
f
) = f
0
(x
∗
(t
f
)) .
Also show that this condition is sufﬁcient for optimality if f
0
is concave. (Hint: Use Lemma 1 of
5.1.1 to show that if u
∗
() is optimal, then f
0x
(x
∗
(t
f
)(x
∗
(t
f
) −x) ≤ for all x ∈ K(t
f
, t
0
, x
0
).)
7.2 More General Boundary Conditions
We consider the following generalization of (7.2). The notion of the previous section is retained.
Maximize c
x(t
f
)
subject to
dynamics: ˙ x(t) = A(t)x(t) +B(t)u(t), t
0
≤ t ≤ t
f
,
initial condition: G
0
x(t
0
) = b
0
,
ﬁnal condition: G
f
x(t
f
) = b
f
,
control constraint: u() ∈ , i.e., ¯ : [.
, .
{
] → ⊗ and
u()piecewise continuous.
(7.11)
In (7.11) G
0
and G
f
are ﬁxed matrices of dimensions
0
xn and
f
n respectively, while b
0
∈
R
0
, b
f
∈ R
f
are ﬁxed vectors.
We will analyze the problem in the same way as before. That is, we ﬁrst characterize optimality
in terms of the state at the ﬁnal time, and then translate these conditions in terms of the control. For
convenience let
T
0
= ¦z ∈ R
n
[G
0
z = b
0
¦ ,
T
f
= ¦z ∈ R
n
[G
f
z = b
f
¦ .
Deﬁnition: Let p ∈ R
n
. Let z
∗
∈ T
0
. We say that p is orthogonal to T
0
at z
∗
and we write
p ⊥ T
0
(z
∗
) if
88 CHAPTER 7. CONTINUOUSTIME LINEAR OPTIMAL CONTROL
R
n
x
0
=
x
∗
(
t
0
)
=
K
(
t
0
,
t
0
,
x
0
) R
n
p
∗
(
t
1
)
x
∗
(
t
1
)
K
(
t
1
,
t
0
,
x
0
)
R
n
p
∗
(
t
2
)
x
∗
(
t
2
)
K
(
t
2
,
t
0
,
x
0
)
R
n
p
∗
(
t
f
)
=
c
x
∗
(
t
f
)
K
(
t
f
,
t
0
,
x
0
)
t
t
f
t
2
t
1
t
0
Figure 7.2: Illustration of (7.9) for t
1
= t
0
.
7.2. MORE GENERAL BOUNDARY CONDITIONS 89
p
(z −z
∗
) = 0 for all z ∈ T
0
.
Similarly if z
∗
∈ T
f
, p ⊥ T
f
(z
∗
) if
p
(z −z
∗
) = 0 for all z ∈ T
f
.
Deﬁnition: Let X(t
f
) = ¦Φ(t
f
, t
0
)z +w[z ∈ T
0
, w ∈ K(t
f
, t
0
, 0)¦.
Exercise 1: X(t
f
) = ¦Φ(t
f
, t
0
, z, u)[z ∈ T
0
, u() ∈ ¦.
Lemma 1: Let x
∗
(t
0
) ∈ T
0
and u
∗
() ∈ . Let x
∗
(t) = φ(t, t
0
, x
∗
(t
0
), u
∗
), and suppose that
x
∗
(t
f
) ∈ T
f
.
(i) Suppose the Ω is convex. If u
∗
() is optimal, there exist ˆ p
0
∈ R, ˆ p
0
≥ 0 and ˆ p ∈ R
n
, not both
zero, such that
(ˆ p
0
c + ˆ p)
x
∗
(t
f
) ≥ (ˆ p
0
c + ˆ p)
x for all x ∈ X(t
f
) , (7.12)
ˆ p ⊥ T
f
(x
∗
(t
f
)) , (7.13)
[Φ(t
f
, t
0
)]
(ˆ p
0
c + ˆ p) ⊥ T
0
(x
∗
(t
0
)) . (7.14)
(ii) Conversely if there exist ˆ p
0
> 0, and ˆ p such that (7.12) and (7.13) are satisﬁed, then u
∗
() is
optimal and (7.14) is also satisﬁed.
Proof: Clearly u
∗
() is optimal iff
c
x
∗
(t
f
) ≥ c
x for all x ∈ X(t
f
) ∩ T
f
. (7.15)
(i) Suppose that u
∗
() is optimal. In R
1+m
deﬁne sets S
1
, S
2
by
S
1
= ¦(r, x)[r > c
x
∗
(t
f
), x ∈ T
f
¦ , (7.16)
S
2
= ¦(r, x)[r = c
x , x ∈ X(t
f
)¦ . (7.17)
First of all S
1
∩S
2
= φ because otherwise there exists x ∈ X(t
f
) ∩T
f
such that c
x > c
x
∗
(t
f
)
contradicting optimality of u
∗
() by (7.15).
Secondly, S
1
is convex since T
f
is convex. Since Ω is convex by hypothesis it follows by Exercise
1 of Section 1 that S
2
is convex.
But then by the separation theorem for convex sets (see 5.5) there exists ˆ p
0
∈ R, ˆ p ∈ R
n
, not
both zero, such that
ˆ p
0
r
1
+ ˆ p
x
1
≥ ˆ p
0
r
2
+ ˆ p
x
2
for all (r
i
, x
i
) ∈ S
i
, i = 1, 2. (7.18)
In particular (7.18) implies that
ˆ p
0
r + ˆ p
x
∗
(t
f
) ≥ ˆ p
0
c
x + ˆ p
x for all x ∈ X(t
f
), r > c
x
∗
(t
f
). (7.19)
Letting r → ∞ we conclude that (7.19) can hold only if ˆ p
0
≥ 0. On the other hand letting r →
c
x
∗
(t
f
) we see that (7.19) can hold only if
ˆ p
0
c
x
∗
(t
f
) + ˆ p
x
∗
(t
f
) ≥ ˆ p
0
c
x + ˆ p
x for all x ∈ X(t
f
) , (7.20)
which is the same as (7.12). Also from (7.18) we get
90 CHAPTER 7. CONTINUOUSTIME LINEAR OPTIMAL CONTROL
ˆ p
0
r + ˆ p/x ≥ ˆ p
0
c
x
∗
(t
f
) + ˆ p
x
∗
(t
f
) for all r > c
x
∗
(t
f
), x ∈ T
f
,
which can hold only if
ˆ p
1
c
x
∗
(t
f
) + ˆ p
x ≥ ˆ p
0
c
x
∗
(t
f
) + ˆ p
x
∗
(t
f
) for all x ∈ T
f
,
or
ˆ p
(x −x
∗
(t
f
)) ≥ 0 for all x ∈ T
f
(7.21)
But ¦x −x
∗
(t
f
)[x ∈ T
f
¦ = ¦z[G
f
z = 0¦ is a subspace of R
n
, so that (7.21) can hold only if
ˆ p
(x −x
∗
(t
f
)) = 0 for all x ∈ T
f
,
which is the same as (7.13). Finally (7.12) always implies (7.14), because by the deﬁnition of X(t
f
)
and Exercise 1, ¦Φ(t
f
, t
0
)(z − x
∗
(t
0
)) + x
∗
(t
f
)¦ ∈ X(t
f
) for all z ∈ T
0
, so that from (7.12) we
get
0 ≥ (ˆ p
0
c + ˆ p)
Φ(t
f
, t
0
)(z −x
∗
(t
0
)) for all z ∈ T
0
,
which can hold only if (7.14) holds.
(ii) Now suppose that ˆ p
0
> 0 and ˆ p are such that (7.12), (7.13) are satisﬁed. Let ˜ x ∈ X(t
f
) ∩ T
f
.
Then from (7.13) we conclude that
ˆ p
x
∗
(t
f
) = ˆ p
˜ x ,
so that from (7.12) we get
ˆ p
0
c
x
∗
(t
f
) ≥ ˆ p
0
c
˜ x ;
but then by (7.15) u
∗
() is optimal. ♦
Remark 1: If it is possible to choose ˆ p
0
> 0 then ˆ p
0
= 1, ˆ p = (ˆ p/ˆ p
0
) will also satisfy (7.12),
(7.13), and (7.14). In particular, in part (ii) of the Lemma we may assume ˆ p
0
= 1.
Remark 2: it would be natural to conjecture that in part (i) ˆ p
0
may be chosen > 0. But in Figure
7.3 below, we illustrate a 2dimensional situation where T
0
= ¦x
0
¦, T
f
is the vertical line, and
T
f
∩ X(t
f
) consists of just one vector. It follows that the control u
∗
() ∈  for which
x
∗
(t
f
) = φ(t
f
, t
0
, x
0
, u
∗
) ∈ T
f
is optimal for any c. Clearly then for some c (in particular for the
c in Figure 7.3) we are forced to set ˆ p
0
= 0. In higher dimensions the reasons may be more
complicated, but basically if T
f
is “tangent” to X(t
f
) we may be forced to set ˆ p
0
= 0 (see
Exercise 2 below). Finally, we note that part (i) is not too useful if ˆ p
0
= 0, since then (7.12), (7.13),
and (7.14) hold for any vector c whatsoever. Intuitively ˆ p
0
= 0 means that it is so difﬁcult to satisfy
the initial and ﬁnal boundary conditions in (7.11) that optimization becomes a secondary matter.
Remark 3: In (i) the convexity of Ω is only used to guarantee that K(t
f
, t
0
, 0) is convex. But it is
known that K(t
f
, t
0
, 0) is convex even if Ω is not (see Neustadt [1963]).
Exercise 2: Suppose there exists z in the interior of X(t
f
) such that z ∈ T
f
. Then in part (i) we
must have ˆ p
0
> 0.
We now translate the conditions obtained in Lemma 1 in terms of the control u
∗
.
7.2. MORE GENERAL BOUNDARY CONDITIONS 91
Theorem 1: Let x
∗
(t
0
) ∈ T
0
and u
∗
() ∈ . Let x
∗
(t) = φ(t, t
0
, x
∗
(t
0
), u
∗
) and suppose that
x
∗
(t
f
) ∈ T
f
.
(i) Suppose that Ω is convex. If u
∗
() is optimal for (7.11), then there exist a number p
∗
0
≥ 0, and a
function p
∗
: [t
0
, t
f
] → R
n
, not both identically zero, satisfying
adjoint equation: ˙ p
∗
(t) = −A
(t)p
∗
(t) , t
0
≤ t ≤ t
f
(7.22)
initial condition: p
∗
(t
0
)⊥T
0
(x
∗
(t
0
)) (7.23)
ﬁnal condition: (p
∗
(t
f
) −p
∗
0
c)⊥T
f
(x
∗
(t
f
)) , (7.24)
and the maximum principle
H(t, x
∗
(t), u
∗
(t), p
∗
(t)) = M(t, x
∗
(t), p
∗
(t)) , (7.25)
holds for all t ∈ [t
0
, t
f
] except possibly for a ﬁnite set.
(ii) Conversely suppose there exist p
∗
0
> 0 and p
∗
() satisfying (7.22), (7.23), (7.24), and (7.25).
Then u
∗
() is optimal.
[Here
H(t, x, u, p) = p
(A(t)x +B(t)u), M(t, x, p) = sup¦H(t, x, v, p)[v ∈ Ω¦.]
Proof: A repetition of a part of the argument in the proof of Theorem 1 of Section 1 show that if p
∗
satisﬁes (7.22), then (7.25) is equivalent to (7.26):
(p
∗
(t
f
))
x
∗
(t
f
) ≥ (p
∗
(t
f
))
x for all x ∈ K(t
f
, t
0
, x
∗
(t
0
)) . (7.26)
(i) Suppose u
∗
() is optimal and Ω is convex. Then by Lemma 1 there exist ˆ p ≥ 0, ˆ p ∈ R
n
, not
both zero, such that (7.12), (7.13) and (7.14) are satisﬁed. Let p
∗
0
= ˆ p
0
and let p
∗
() be the solution
of (7.22) with the ﬁnal condition
p
∗
(t
f
) = p
∗
0
c + ˆ p = ˆ p
0
c + ˆ p .
Then (7.14) and (7.13) are respectively equivalent to (7.23) and (7.24), whereas since K(t
f
, t
0
, x
∗
(t
0
)) ⊂
X(t
f
), (7.26) is implied by (7.12).
(ii) Suppose p
∗
0
> 0 and (7.22), (7.23), (7.24), and (7.26) are satisﬁed. Let ˆ p
0
= p
∗
0
and ˆ p =
p
∗
(t
f
) −p
∗
0
c, so that (7.24) becomes equivalent to (7.13). Next if x ∈ X(t
f
) we have
(ˆ p
0
c + ˆ p)
x = (p
∗
(t
f
))
x
= (p
∗
(t
f
))
(Φ(t
f
, t
0
)z +w) ,
92 CHAPTER 7. CONTINUOUSTIME LINEAR OPTIMAL CONTROL
.
x
0
=
T
0
T
f
x
∗
(
t
f
)
=
X
(
t
f
)
¸
T
f
K
(
t
f
,
t
0
,
x
0
)
=
X
(
t
f
)
c
t
Figure 7.3: Situation where ˆ p
0
= 0
7.2. MORE GENERAL BOUNDARY CONDITIONS 93
for some z ∈ T
0
and some w ∈ K(t
f
, t
0
, 0). Hence
(ˆ p
0
c + ˆ p)
x = (p
∗
(
f
))
Φ(t
f
, t
0
)(z −x
∗
(t
0
))
+(p
∗
(t
f
))
(w +φ(t
f
, t
0
)x
∗
(t
0
))
= (p
∗
(t
0
))
(z −x
∗
(t
0
))
+(p
∗
(t
f
))
(w + Φ(t
f
, t
0
)x
∗
(t
0
)) .
But by (7.23) the ﬁrst term on the right vanishes, and since (w+φ(t
f
, t
0
)x
∗
(t
0
)) ∈ K(t
f
, t
0
, x
∗
(t
0
)),
it follows from (7.26) that the second term is bounded by (p
∗
(t
f
))
x
∗
(t
f
). Thus
(ˆ p
0
c + ˆ p)
x
∗
(t
f
) ≥ (ˆ p
0
c + ˆ p)
x for all x ∈ X(t
f
) ,
and so u
∗
() is optimal by Lemma 1. ♦
Exercise 3: Suppose that the control constraint set is Ω(t) which varies continuously with t, and
we require that u(t) ∈ Ω(t) for all t. Show that Theorem 1 also holds for this case where, in (7.25),
M(t, x, p) =sup¦H(t, x, v, p)[v ∈ Ω(t)¦.
Exercise 4: How would you use Exercise 3 to solve Example 3 of Chapter 1?
94 CHAPTER 7. CONTINUOUSTIME LINEAR OPTIMAL CONTROL
Chapter 8
SEQUENTIAL DECISION PROBLEMS:
CONTINUOUSTIME OPTIMAL
CONTROL OF NONLINEAR SYSTEMS
We now present a sweeping generalization of the problem studied in the last chapter. Unfortunately
we are forced to omit the proofs of the results since they require a level of mathematical sophis
tication beyond the scope of these Notes. However, it is possible to convey the main ideas of the
proofs at an intuitive level and we shall do so. (For complete proofs see (Lee and Markus [1967]
or Pontryagin, et al., [1962].) The principal result, which is a direct generalization of Theorem 1 of
7.2 is presented in Section 1. An alternative form of the objective function is discussed in Section
2. Section 3 deals with the minimumtime problem and Section 4 considers the important special
case of linear systems with quadratic cost. Finally, in Section 5 we discuss the socalled singular
case and also analyze Example 4 of Chapter 1.
8.1 Main Results
8.1.1 Preliminary results based on differential equation theory.
We are interested in the optimal control of a system whose dynamics are governed by the nonlinear
differential equation
˙ x(t) = f(t, x, (t), u(t)) , t
0
≤ t ≤ t
f
, (8.1)
where x(t) ∈ R
n
is the state and u(t) ∈ R
p
is the control. Suppose u
∗
() is an optimal control
and x
∗
() is the corresponding trajectory. In the case of linear systems we obtained the necessary
conditions for optimality by comparing x
∗
() with trajectories x() corresponding to other admis
sible controls u(). This comparison was possible because we had an explicitly characterization of
x() in terms of u(). Unfortunately when f is nonlinear such a characterization is not available.
Instead we shall settle for a comparison between the trajectory x
∗
() and trajectories x() obtained
by perturbing the control u
∗
() and the initial condition x
∗
(t
0
). We can then estimate the difference
between x() and x
∗
() by the solution to a linear differential equation as shown in Lemma 1 below.
But ﬁrst we need to impose some regularity conditions on the differential equation (8.1). We assume
throughout that the function f : [t
0
, t
f
] R
n
R
p
→ R
n
satisﬁes the following conditions:
95
96 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
1. for each ﬁxed t ∈ [t
0
, t
f
], f(t, , ) : R
n
xR
p
→ R
n
is continuously differentiable in the
remaining variables (x, u),
2. except for a ﬁnite subset D ⊂ [t
0
, t
f
], the functions f, f
x
, f
u
are continuous on [t
0
, t
f
] R
n
R
p
, and
3. for every ﬁnite α, there exist ﬁnite number β and γ such that
[f(t, x, u)[ ≤ β +γ[x[ for all t ∈ [t
0
, t
f
], x ∈ R
n
, u ∈ R
p
with [u[ ≤ α .
The following result is proved in every standard treatise on differential equations.
Theorem 1: For every z ∈ R
n
, for every t
1
∈ [t
0
, t
f
], and every piecewise continuous function
u() : [t
0
, t
f
] → R
p
, there exists a unique solution
x(t) = φ(t, t
1
, z, u()) , t
1
≤ t ≤ t
f
,
of the differential equation
˙ x(t) = f(t, x(t), u(t)) , t
1
≤ t ≤ t
f
,
satisfying the initial condition
x(t
1
) = z .
Furthermore, for ﬁxed t
1
≤ t
2
in [t
0
, t
f
] and ﬁxed u(), the function φ(t
2
, t
1
, , u()) : R
n
→ R
n
is
differentiable. Moreover, the n n matrixvalued function Φ deﬁned by
Φ(t
2
, t
1
, z, u()) =
∂φ
∂z
(t
2
, t
1
, z, u())
is the solution of the linear homogeneous differential equation
∂Φ
∂t
(t, t
1
, z, u, ()) = [
∂f
∂x
(t, x, (t), u(t))]Φ(t, t
1
, z, u()), t
1
≤ t ≤ t
f
,
and the initial condition
Φ(t
1
, t
1
, z, u()) = I
n
.
Now let Ω ⊂ R
p
be a ﬁxed set and let  be set of all piecewise continuous functions u() :
[t
0
, t
f
] → Ω. Let u
∗
() ∈  be ﬁxed and let D
∗
be the set of discontinuity points of u
∗
(). Let
x
∗
0
∈ R
n
be a ﬁxed initial condition.
Deﬁnition: π = (t
1
, . . . , t
m
;
1
, . . . ,
m
; u
1
, . . . , u
m
) is said to be a perturbation data for u
∗
() if
1. m is a nonnegative integer,
2. t
0
< t
1
< t
2
< . . . t
m
< t
f
, and t
i
∈ D
∗
¸
D, i = 1, . . . , m (recall that D is the set of
discontinuity points of f),
3.
i
≥ 0, i = 1, . . . , m, and
4. u
i
∈ Ω, i = 1, . . . , m.
8.1. MAIN RESULTS 97
Let ε(π) > 0 be such that for 0 ≤ ε ≤ ε(π) we have [t
i
− ε
i
, t
i
] ⊂ [t
0
, t
f
] for all i, and
[t
i
−ε
i
, t
i
]
¸
[t
j
−ε
j
, t
j
] = φ for i = j. Then for 0 ≤ ε ≤ ε(π),the perturbed control u
(π,ε)
() ∈ 
corresponding to π is deﬁned by
u
(π,ε)
(t) =
u
i
for all t ∈ [t
i
−ε
i
, t
i
] , i = 1, . . . , m
u
∗
(t) otherwise .
Deﬁnition: Any vector ξ ∈ R
n
is said to be a perturbation for x
∗
0
, and a function x
(ξ,ε)
deﬁned for
ε > 0 is said to be a perturbed initial condition if
lim
ε→0
x
(ξ,ε)
= x
∗
0
,
and
lim
ε→0
1
ε
(x
(ξ,ε)
−x
∗
0
) = ξ .
Now let x
∗
(t) = φ(t, t
0
, x
∗
0
, u
∗
()) and let x
ε
(t) = φ(t, t
0
, x
(ξ,ε)
, u
(π,ε)
()). Let Φ(t
2
, t
1
) =
Φ(t
2
, t
1
, x
∗
(t
1
), u
∗
()). The following lemma gives an estimate of x
∗
(t) − x
ε
(t). The proof of the
lemma is a straightforward exercise in estimating differences of solutions to differential equations,
and it is omitted (see for example (Lee and Markus [1967])).
Lemma 1: lim
ε→0
[x
ε
(t) −x
∗
(t) −εh
(π,ε)
(t)[ = 0 for t ∈ [t
0
, t
1
], where h
(π,ε)
() is given by
h
(π,ε)
(t) = Φ(t, t
0
)ξ , t ∈ [t
0
, t
1
)
= Φ(t, t
0
)ξ + Φ(t, t
1
)[f(t
1
, x
∗
(t
1
), u
1
) −f(t
1
, x
∗
(t
1
), u
∗
(t
1
))]
1
, t ∈ [t
1
, t
2
)
= Φ(t, t
0
)ξ +
i
¸
j=1
Φ(t, t
j
)[f(t
j
, x
∗
(t
j
), u
j
) −f(t
j
, x
∗
(t
j
), u
∗
(t
j
))]
j
, t ∈ [t
i
, t
i+1
)
= Φ(t, t
0
)ξ +
m
¸
j=1
Φ(t, t
m
)[f(t
j
, x
∗
(t
j
), u
j
) −f(t
j
, x
∗
(t
j
), u
∗
t
j
))]
j
, t ∈ [t
m
, t
f
] .
(See Figure 8.1.)
We call h
(π,ξ)
() the linearized (trajectory) perturbation corresponding to (π, ξ).
Deﬁnition: For z ∈ R
n
, t ∈ [t
0
, t
f
] let
K(t, t
0
, z) = ¦φ(t, t
0
, z, u())[u() ∈ ¦
be the set of states reachable at time t, starting at time t
0
in state z, and using controls u() ∈ .
Deﬁnition: For each t ∈ [t
0
, t
f
], let
Q(t) = ¦h
(π,0)
(t)[πis a perturbation data for u
∗
(), and
h
(π,0)
()is the linearized perturbation
corresponding to(π, 0)¦ .
Remark: By Lemma 1 (x
∗
(t)+εh
(π,ξ)
) belongs to the set K(t, t
0
, x
(ξ,ε)
) up to an error of order o(ε).
In particular for ξ = 0, the set x
∗
(t) + Q(t) can serve as an approximation to the set K(t, t
0
, x
∗
0
).
More precisely we have the following result which we leave as an exercise.
98 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
      


 
u
u
1
u
(πε)
()
u
2
u
∗
()
u
3
ε
3
ε
2
ε
1
t
0
t
1
t
2
t
3
t
f
x
x
(
ξ, ε)
x
ε
()
x
∗
()
εh
πξ
t
1
t
2
t
3
t
f
Figure 8.1: Illustration for Lemma 1.
Exercise 1: (Recall the deﬁnition of the tangent cone in 5.1.1.) Show that
Q(t) ⊂ C(K(t, t
0
, x
∗
0
), x
∗
(t)) . (8.2)
We can now prove a generalization of Theorem 1 of 7.1.
Theorem 2: Consider the optimal control problem (8.3):
Maximize ψ(x(t
f
))
subject to
dynamics: ˙ x(t) = f(t, x(t), u(t)) , t
0
≤ t ≤ t
f
,
initial condition: x(t
0
) = x
∗
0
,
ﬁnal condition: x(t
f
) ∈ R
n
,
control constraint: u() ∈ , i.e., u : [t
0
, t
f
] → Ω and
u() piecewise continuous ,
(8.3)
where ψ : R
n
→ R is differentiable and f satisﬁes the conditions listed earlier.
Let u
∗
() ∈  be an optimal control and let x
∗
(t) = φ(t, t
0
, x
∗
0
, u
∗
()), t
0
≤ t ≤ t
f
, be the
corresponding trajectory. Let p
∗
(t), t
0
≤ t ≤ t
f
, be the solution of (8.4) and (8.5):
adjoint equation: ˙ p
∗
(t) = −[
∂f
∂x
(t, x
∗
(t), u
∗
(t))]
p
∗
(t), t
0
≤ t ≤ t
f
, (8.4)
8.1. MAIN RESULTS 99
ﬁnal condition: p
∗
(t
f
) = ψ(x
∗
(t
f
)) . (8.5)
Then u
∗
() satisﬁes the maximum principle
H(t, x
∗
(t), u
∗
(t), p
∗
(t)) = M(t, x
∗
(t), p
∗
(t)) (8.6)
for all t ∈ [t
0
, t
f
] except possibly for a ﬁnite set. [Here H(t, x, u, p) = p
f(t, x, u, ), M(t, x, p) =
sup¦H(t, x, v, p)[v ∈ Ω¦].
Proof: Since u
∗
() is optimal we must have
ψ(x
∗
(t
f
)) ≥ ψ(z) for all z ∈ K(t
f
, t
0
, x
∗
0
) ,
and so by Lemma 1 of 5.1.1
ψ(x
∗
(t
f
))h ≤ 0 for all h ∈ C(K(t
f
, t
0
, x
∗
0
), x
∗
(t
f
)) ,
and in particular from (8.2)
ψ
x
(x
∗
(t
f
))h ≤ 0 for all h ∈ Q(t
f
) . (8.7)
Now suppose that (8.6) does not hold from some t
∗
∈ D
∗
∪ D. Then there exists v ∈ Ω such that
p
∗
(t
∗
)
[f(t
∗
, x(t
∗
), v) −f(t
∗
, x(t
∗
), u
∗
(t
∗
))] > 0 . (8.8)
If we consider the perturbation data π = (t
∗
; 1; v), then (8.8) is equivalent to
p
∗
(t
∗
)
h
(π,0)
(t
∗
) > 0 . (8.9)
Now from (8.4) we can see that p
∗
(t
∗
)
= p
∗
(t
f
)
Φ(t
f
, t
∗
). Also h
(π,0)
(t
f
) = Φ(t
f
, t
∗
)h
(π,0)
(t
∗
)
so that (8.9) is equivalent to
p
∗
(t
f
)
h
(π,0)
(t
f
) > 0
which contradicts (8.7). ♦
8.1.2 More general boundary conditions.
In Theorem 2 the initial condition is ﬁxed and the ﬁnal condition is free. The problem involving
more general boundary conditions is much more complicated and requires more reﬁned analysis.
Speciﬁcally, Lemma 1 needs to be extended to Lemma 2 below. But ﬁrst we need some simple
properties of the sets Q(t) which we leave as exercises.
Exercise 2: Show that
(i) Q(t) is a cone, i.e., if h ∈ Q(t) and λ ≥ 0, then λh ∈ Q(t),
(ii) for t
0
≤ t
1
≤ t
2
≤ t
f
, Φ(t
2
, t
1
)Q(t
1
) ⊂ Q(t
2
) .
Deﬁnition: Let C(t) denote the closure of Q(t).
Exercise 3: Show that
(i) C(t) is a convex cone,
(ii) for t
0
≤ t
1
≤ t
2
≤ t
f
, Φ(t
2
, t
1
)C(t
1
) ⊂ C(t
2
) .
Remark: From Lemma 1 we know that if h ∈ C(t) then (x
∗
(t) +εh) belongs to K(t, t
0
, x
∗
(t
0
)) up
to an error of order o(ε). Lemma 2, below, asserts further that if h is in the interior of C(t) then in
fact (x
∗
(t) +εh) ∈ K(t, t
0
, x
∗
(t
0
)) for ε > 0 sufﬁciently small. The proof of the lemma depends
upon some deep topological results and is omitted. Instead we offer a plausibility argument.
Lemma 2: Let h belong to the interior of the cone C(t). Then for all ε > 0 sufﬁciently small,
100 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
(x
∗
(t) +εh) ∈ K(t, t
0
, x
∗
0
) . (8.10)
Plausibility argument. (8.10) is equivalent to
εh ∈ K(t, t
0
, x
∗
(t
0
)) −¦x
∗
(t)¦ , (8.11)
where we have moved the origin to x
∗
(t). The situation is depicted in Figure 8.2.
0
ˆ
C(ε)
ˆ
K(ε)
o(ε)
K(t
1
, t
0
, x
∗
) −¦x
∗
(t)¦
h
C(t)
δε
εh
Figure 8.2: Illustration for Lemma 2.
Let
ˆ
C(ε) be the crosssection of C(t) by a plane orthogonal to h and passing through εh. Let
ˆ
K(ε) be the crosssection of K(t, t
0
, x
∗
0
) −¦x
∗
(t
0
)¦ by the same plane. We note the following:
(i) by Lemma 1 the distance between
ˆ
C(ε) and
ˆ
K(ε) is of the order o(ε);
(ii) since h is in the interior of C(t), the minimum distance between εh and
ˆ
C(ε) is δε where
δ > 0 is independent of ε.
Hence for ε > 0 sufﬁciently small εh must be trapped inside the set
ˆ
K(ε).
(This would constitute a proof except that for the argument to work we need to show that there
are no “holes” in
ˆ
K(ε) through which εh can “escape.” The complications in a rigorous proof arise
precisely from this drawback in our plausibility argument.) ♦
Lemmas 1 and 2 give us a characterization of K(t, t
0
, x
∗
0
) in a neighborhood of x
∗
(t) when we
perturb the control u
∗
() leaving the initial condition ﬁxed. Lemma 3 extends Lemma 2 to the case
when we also allow the initial condition to vary over a ﬁxed surface in a neighborhood of x
∗
0
.
Let g
0
: R
n
→ R
0
be a differentiable function such that the
0
n matrix g
0
x
(x) has rank
0
for all x. Let b
0
∈ R
n
be ﬁxed and let T
0
= ¦x[g
0
(x) − b
0
¦. Suppose that x
∗
0
∈ T
0
and let
T
0
(x
∗
0
) = ¦ξ[g
0
x
(x
∗
0
)ξ = 0¦. Thus, T
0
(x
∗
0
) + ¦x
∗
0
¦ is the plane through x
∗
0
tangent to the surface
T
0
. The proof of Lemma 3 is similar to that of Lemma 2 and is omitted also.
Lemma 3: Let h belong to the interior of the cone ¦C(t)+Φ(t, t
0
)T
0
(x
∗
0
)¦. For ε ≥ 0 let h(ε) ∈ R
n
be such that lim h(ε) = 0, and lim
ε→0
(
1
ε
)h(ε) = h. Then for ε > 0 sufﬁciently small there exists
x
0
(ε) ∈ T
0
such that
(x
∗
(t) +h(ε)) ∈ K(t, t
0
, x
0
(ε)) .
8.1. MAIN RESULTS 101
We can now prove the main result of this chapter. We keep all the notation introduced above.
Further, let g
f
: R
n
→ R
f
be a differentiable function such that g
f
x
(x) has rank
f
for all x.
Let b
f
∈ R
n
be ﬁxed and let T
f
= ¦x[g
f
(x) − b
f
¦. Finally, if x
∗
(t
f
) ∈ T
f
let T
f
(x
∗
(t
f
)) =
¦ξ[g
f
x
(x
∗
(t
f
))ξ = 0¦.
Theorem 3: Consider the optimal control problem (8.12):
Maximize ψ(x(t
f
))
subject to
dynamics: ˙ x(t) = f(t, x(t), u(t)) , t
0
≤ t ≤ t
f
,
initial conditions: g
0
(x(t
0
)) = b
0
,
ﬁnal conditions: g
f
(x(t
f
)) = b
f
,
control constraint: u() ∈ , i.e., u : [t
0
, t
f
] → Ω and
u() piecewise continuous .
(8.12)
Let u
∗
() ∈ , let x
∗
0
∈ T
0
and let x
∗
(t) = φ(t, t
0
, x
∗
0
, u
∗
()) be the corresponding trajectory.
Suppose that x
∗
(t
f
) ∈ T
f
, and suppose that (u
∗
(), x
∗
0
) is optimal. Then there exist a number
p
∗
0
≥ 0, and a function p
∗
: [t
0
, t
f
] → R
n
, not both identically zero, satisfying
adjoint equation: ˙ p
∗
(t) = −[
∂f
∂x
(t, x
∗
(t), u
∗
(t))]
p
∗
(t), t
0
≤ t ≤ t
f
, (8.13)
initial condition: p
∗
(t
0
)⊥T
0
(x
∗
0
) , (8.14)
ﬁnal condition: (p
∗
(t
f
) −p
∗
0
∇ψ(x
∗
(t
f
)))⊥T
f
(x
∗
(t
f
)) . (8.15)
Furthermore, the maximum principle
H(t, x
∗
(t), u
∗
(t), p
∗
(t)) = M(t, x
∗
(t), p
∗
(t)) (8.16)
holds for all t ∈ [t
0
, t
f
] except possibly for a ﬁnite set. [Here H(t, x, p, u) = p
f(t, x, u, ), M(t, x, p) =
sup¦H(t, x, v, p)[v ∈ Ω¦].
Proof: We break the proof up into a series of steps.
Step 1. By repeating the argument presented in the proof of Theorem 2 we can see that (8.15) is
equivalent to
p
∗
(t
f
)
h ≤ 0 for all h ∈ C(t
f
) . (8.17)
Step 2. Deﬁne two convex sets S
1
, S
2
in R
1+m
as follows:
S
1
= ¦(y, h)[y > 0, h ∈ T
f
(x
∗
(t
f
))¦,
S
2
= ¦(y, h)[y = ψ
x
(x
∗
(t
f
))h, h ∈ ¦C(t
f
) + Φ(t
f
, t
0
)T
0
(x
∗
0
)¦¦ .
We claim that the optimality of (u
∗
(), x
∗
0
) implies that S
1
∩ Relative Interior (S
2
) = φ. Suppose
this is not the case. Then there exists h ∈ T
f
(x
∗
(t
f
)) such that
ψ
x
(x
∗
(t
f
))h > 0 , (8.18)
102 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
h ∈ Interior¦C(t
f
) + Φ(t
f
, t
0
)T
0
(x
∗
0
)¦ . (8.19)
Now by assumption g
f
x
(x
∗
(t
f
) has maximum rank. Since g
f
x
(x
∗
(t
f
))h = 0 it follows that the
Implicit Function Theorem that for ε > 0 sufﬁciently small there exists h(ε) ∈ R
n
such that
g
f
(x
∗
(t
f
) +h(ε)) = b
f
, (8.20)
and, moreover, h(ε) → 0, (1/ε)h(ε) → h as ε → 0. From (8.18) and Lemma 3 it follows that for
ε > 0 sufﬁciently small there exists x
0
(ε) ∈ T
0
and u
ε
() ∈  such that
x
∗
(t
f
) +h(ε) = φ(t
f
, t
0
, x
0
(ε), u
ε
()) .
Hence we can conclude from (8.20) that the pair (x
0
(ε), u
ε
()) satisﬁes the initial and ﬁnal condi
tions, and the corresponding value of the objective function is
ψ(x
∗
(t
f
) +h(ε)) = ψ(x
∗
(t
f
)) +ψ
x
(x
∗
(t
f
))h(ε) +o([h(ε)[) ,
and since h(ε) = εh +o(ε) we get
ψ(x
∗
(t
f
) +h(ε)) = ψ(x
∗
(t
f
)) +ε)ψ
x
(x
∗
(t
f
))h +o(ε) ;
but then from (8.18)
ψ(x
∗
(t
f
) +h(ε)) > ψ(x
∗
(t
f
))
for ε > 0 sufﬁciently small, thereby contradicting the optimality of (u
∗
(), x
∗
0
).
Step 3. By the separation theorem for convex sets there exist ˆ p
0
∈ R, ˆ p
1
∈ R
n
, not both zero, such
that
ˆ p
0
y
1
+ ˆ p
1
h
1
≥ ˆ p
0
y
2
+ ˆ p
1
h
2
for all (y
i
, h
i
) ∈ S
1
, i = 1, 2 . (8.21)
Arguing in exactly the same fashion as in the proof of Lemma 1 of 7.2 we can conclude that (8.21)
is equivalent to the following conditions:
ˆ p
0
≥ 0 ,
ˆ p
1
⊥T
f
(x
∗
(t
f
)) ,
(8.22)
Φ(t
f
, t
0
)
(ˆ p
0
∇ψ(x
∗
(t
f
)) + ˆ p
1
)⊥T
0
(x
∗
0
) , (8.23)
and
(ˆ p
0
ψ
x
(x
∗
(t
f
)) + ˆ p
1
)h ≤ 0 for all h ∈ C(t
f
) . (8.24)
If we let ˆ p
∗
0
= ˆ p
0
and p
∗
(t
f
) = ˆ p
0
∇ψ(x
∗
(t
f
)) + ˆ p
1
then (8.22), (8.23), and (8.24) translate respec
tively into (8.15), (8.14), and (8.17). ♦
8.2. INTEGRAL OBJECTIVE FUNCTION 103
8.2 Integral Objective Function
In many control problems the objective function is not given as a function ψ(x(t
f
)) of the ﬁnal
state, but rather as an integral of the form
t
f
t
0
f
0
(t, x(t), u(t))dt . (8.25)
The dynamics of the state, the boundary conditions, and control constraints are the same as before.
We proceed to show how such objective functions can be treated as a special case of the problems
of the last section. To this end we deﬁned the augmented system with state variable ˜ x = (x
0
, x) ∈
R
1+m
as follows:
·
˜ x=
¸
˙ x
0
(t)
˙ x(t)
=
˜
f(t, ˜ x(t), u(t)) =
¸
f
0
(t, x(t), u(t))
f(t, x(t), u(t))
.
The initial and ﬁnal conditions which are of the form
g
0
(x) = b
0
, g
f
(x) = b
f
are augmented ˜ g
0
(˜ x) =
¸
x
0
g
0
(x)
=
˜
b
0
=
¸
0
b
0
and ˜ g
f
(˜ x) = g
f
(x) = b
f
. Evidently then the problem of maximizing (8.25) is equivalent to the
problem of maximizing
ψ(˜ x(t
f
)) = x
0
(t
f
) ,
subject to the augmented dynamics and constraints which is of the form treated in Theorem 3 of
Section 1, and we get the following result.
Theorem 1: Consider the optimal control problem (8.26):
Maximize
t
f
t
0
f
0
(t, x(t), u(t))dt
subject to
dynamics: ˙ x(t) = f(t, x(t), u(t)), t
0
≤ t ≤ t
f
,
initial conditions: g
0
(x(t
0
)) = b
0
,
ﬁnal conditions: g
f
(x(t
f
)) = b
f
,
control constraint: u() ∈  .
(8.26)
Let u
∗
() ∈ , let x
∗
0
∈ T
o
and let x
∗
(t) = φ(t, t
0
, x
∗
0
, u
∗
()), and suppose that x
∗
(t
f
) ∈ T
f
. If
(u
∗
(), x
∗
0
) is optimal, then there exists a function ˜ p
∗
= (p
∗
0
, p
∗
) : [t
0
, t
f
] → R
1+m
, not identically
zero, and with p
∗
0
(t) ≡ constant and p
∗
0
(t) ≥ 0, satisfying
(augmented) adjoint equation:
·
˜ p
∗
(t) = −[
∂
˜
f
∂˜ x
(t, x
∗
(t), u
∗
(t))]
˜ p
∗
(t) ,
initial condition: p
∗
(t
0
)⊥T
0
(x
∗
0
) ,
ﬁnal condition: p
∗
(t
f
)⊥T
f
(x
∗
(t
f
)) .
Futhermore, the maximum principle
˜
H(t, x
∗
(t), ˜ p
∗
(t), u
∗
(t)) =
˜
M(t, x
∗
(t), ˜ p
∗
(t))
holds for all t ∈ [t
0
, t
f
] except possibly for a ﬁnite set. [Here
˜
H(t, x, ˜ p, u) = ˜ p
˜
f(t, x, u) =
p
0
f
0
(t, x, u) +p
f(t, x, u), and
˜
M(t, x, ˜ p) = sup¦
˜
H(t, x, ˜ p, v)[v ∈ Ω¦.]
Finally, if f
0
and f do not explicitly depend on t, then
˜
M(t, x
∗
(t), ˜ p
∗
(t)) ≡ constant.
Exercise 1: Prove Theorem 1. (Hint: For the ﬁnal part show that (d/dt)
˜
M(t, x
∗
(t), ˜ p
∗
(t)) ≡ 0.)
104 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
8.3 Variable Final Time
8.3.1 Main result.
In the problem considered up to now the ﬁnal time t
f
is assumed to be ﬁxed. In many important
cases the ﬁnal time is itself a decision variable. One such case is the minimumtime problem where
we want to transfer the state of the system from a given initial state to a speciﬁed ﬁnal state in
minimum time. More generally, consider the optimal control problem (8.27).
Maximize
t
f
t
0
f
0
(t, x(t), u(t))dt
subject to
dynamics: ˙ x(t) = f(t, x, (t), u(t)), , t
0
≤ t ≤ t
f
,
initial condition: g
0
(x(t
0
)) = b
0
,
ﬁnal condition: g
f
(x(t)f)) = b
f
,
control constraint: u() ∈  ,
ﬁnaltime constraint: t
f
∈ (t
0
, ∞) .
(8.27)
We analyze (8.27) by converting the variable time interval [t
0
, t
f
] into a ﬁxedtime interval [0, 1].
This change of timescale is achieved by regarding t as a new state variable and selecting a new
time variable s which ranges over [0, 1]. The equation for t is
dt(s)
ds
= α(s) , 0 ≤ s ≤ 1 ,
with initial condition
t(0) = t
0
.
Here α(s) is a new control variable constrained by α(s) ∈ (0, ∞). Now if x() is the solution of
˙ x(t) = f(t, x(t), u(t)) , t
0
≤ t ≤ t
f
, x(t
0
) = x
0
(8.28)
and if we deﬁne
z(s) = x(t(s)), v(s) = u(t(s)) , 0 ≤ s ≤ 1 ,
then it is easy to see that z() is the solution of
dz
ds
(s) = α(s)f(s, z(s), v(s)) , 0 ≤ s ≤ 1 z(0) = x
0
. (8.29)
Conversely from the solution z() of (8.29) we can obtain the solution x() of (8.28) by
x(t) = z(s(t)) , t
0
≤ t ≤ t
f
,
where s() : [t
0
, t
f
] → [0, 1] is the functional inverse of s(t); in fact, s() is the solution of the
differential equation ˙ s(t) = 1/α(s(t)), s(t
0
) = 0.
8.3. VARIABLE FINAL TIME 105
With these ideas in mind it is natural to consider the ﬁxedﬁnaltime optimal control problem
(8.30), where the state vector (t, z) ∈ R
1+m
, and the control (α, v) ∈ R
1+p
:
Maximize
1
0
f
0
(t(s), z(s), v(s))α(s)ds
subject to
dynamics: ( ˙ z(s),
˙
t(s)) = (f(t(s), z(s), v(s))α(s), α(s)),
initial constraint: g
0
(z(0)) = b
0
, t(0) = t
0
,
ﬁnal constraint: g
f
(z(1)) = b
f
, t(1) ∈ R ,
control constraint: (v(s), α(s)) ∈ Ω (0, ∞)
for 0 ≤ s ≤ 1 and v(), α() piecewise continuous.
(8.30)
The relation between problems (8.27) and (8.30) is established in the following result.
Lemma 1: (i) Let x
∗
0
∈ T
0
, u
∗
() ∈ , t
∗
f
∈ (t
0
, ∞) and let x
∗
(t) = φ(t, t
0
, x
∗
0
, u
∗
()) be the
corresponding trajectory. Suppose that x
∗
(t
∗
f
) ∈ T
f
, and suppose that (u
∗
(), x
∗
0
, t
∗
f
) is optimal for
(8.27). Deﬁne z
∗
0
, v
∗
(), and α
∗
() by
z
∗
0
= x
∗
0
v
∗
(s) = u
∗
(t
0
+s(t
∗
f
−t
0
))
α
∗
(s) = (t
∗
f
−t
0
)
, 0 ≤ s ≤ 1 ,
, 0 ≤ s ≤ 1 .
Then ((v
∗
(), α
∗
()), z
∗
0
) is optimal for (8.30).
(ii) Let z
∗
0
∈ T
0
, and let (v
∗
(), α
∗
()) be an admissible control for (8.30) such that the correspond
ing trajectory (t
∗
(), z
∗
()) satisﬁes the ﬁnal conditions of (8.30). Suppose that ((v
∗
(), α
∗
()), z
∗
0
)
is optimal for (8.30). Deﬁne x
∗
0
, u
∗
() ∈ , and t
∗
f
by
x
∗
0
= z
∗
0
,
u
∗
(t) = v
∗
(s
∗
(t)) , t
0
≤ t ≤ t
∗
f
,
t
∗
f
= t
∗
(1) ,
where s
∗
() is functional inverse of t
∗
(). Then (u
∗
(), z
∗
0
, t
∗
f
) is optimal for (8.27).
Exercise 1: Prove Lemma 1.
Theorem 1: Let u
∗
() ∈ , let x
∗
0
∈ T
0
, let t
∗
f
∈ (0, ∞), and let
x
∗
(t) = φ(t, t
0
, x
∗
0
, u
∗
()), t
0
≤ t ≤ t
f
, and suppose that x
∗
(t
∗
f
) ∈ T
f
. If (u
∗
(), x
∗
0
, t
∗
f
) is optimal
for (8.27), then there exists a function ˜ p
∗
= (p
∗
0
, p
∗
) : [t
0
, t
∗
f
] → R
1+m
, not identically zero, and
with p
∗
0
(t) ≡ constant and p
∗
0
(t) ≥ 0, satisfying
(augmented) adjoint equation:
·
˜ p
∗
(t) = −[
∂
˜
f
∂˜ x
(t, x
∗
(t), u
∗
(t))]
˜ p
∗
(t) ,
(8.31)
initial condition: p
∗
(t
0
)⊥T
0
(x
∗
0
) , (8.32)
106 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
ﬁnal condition: p
∗
(t
∗
f
)⊥T
f
(x
∗
(t
∗
f
)) . (8.33)
Also the maximum principle
˜
H(t, x
∗
(t), ˜ p
∗
(t), u
∗
(t)) =
˜
M(t, x
∗
(t), ˜ p
∗
(t)) , (8.34)
holds for all t ∈ [t
0
, t
f
] except possibly for a ﬁnite set. Furthermore, t
∗
f
must be such that
ˆ
H(t
∗
f
, x
∗
(t
∗
f
), ˜ p
∗
(t
∗
f
), u
∗
(t
∗
f
)) = 0 . (8.35)
Finally, if f
0
and f do not explicitly depend on t, then
ˆ
M(t, x
∗
(t), ˜ p
∗
(t)) ≡ 0.
Proof: By Lemma 1, z
∗
0
= x
∗
0
, v
∗
(s) = u
∗
(t
0
+s(t
∗
f
−t
0
)) and α
∗
(s) = (t
∗
f
−t
0
) for 0 ≤ s ≤ 1
constitute an optimal solution for (8.30). The resulting trajectory is
z
∗
(s) = x
∗
(t
0
+s(t
∗
f
−t
0
)), t
∗
(s) = t
0
+s(t
∗
f
−t
0
), 0 ≤ s ≤ 1 , so that in particular
z
∗
(1) = x
∗
(t
∗
f
).
By Theorem 1 of Section 2, there exists a function
˜
λ
∗
= (λ
∗
0
, λ
∗
, λ
∗
n+1
) : [0, 1] → R
1+n+1
, not
identically zero, and with λ
∗
0
(s) ≡ constant and λ
∗
0
(s) ≥ 0, satisfying
adjoint equation:
˙
λ
∗
0
(t)
˙
λ
∗
(t)
˙
λ
∗
n+1
(t)
¸
¸
¸
¸
¸
¸
= −
0
¦[
∂f
0
∂z
(t
∗
(s), z
∗
(s), v
∗
(s))]
λ
∗
0
(s)
+[
∂f
∂z
(t
∗
(s), z
∗
(s), v
∗
(s))]
λ
∗
(s)¦α
∗
(s)
¦[
∂f
0
∂t
(t
∗
(s), z
∗
(s), v
∗
(s))]
λ
∗
0
(s)
+[
∂f
∂t
(t
∗
(s), z
∗
(s), v
∗
(s))]
λ
∗
(s)¦α
∗
(s)
¸
¸
¸
¸
¸
¸
¸
(8.36)
initial condition: λ
∗
(0)⊥T
0
(z
∗
0
) (8.37)
ﬁnal condition: λ
∗
(1)⊥T
f
(z
∗
(1)) , λ
∗
n+1
(1) = 0 . (8.38)
Furthermore, the maximum principle
λ
∗
0
(s)f
0
(t
∗
(s), z
∗
(s), v
∗
(s))α
∗
(s)
+λ
∗
(s)
f(t
∗
(s), z
∗
(s), v
∗
(s))α
∗
(s) +λ
∗
n+1
(s)α
∗
(s)
= sup¦[λ
∗
0
(s)f
0
(t
∗
(s), z
∗
(s), w)β
+λ
∗
(s)
f(t
∗
(s), z
∗
(s), w)β +λ
∗
n+1
(s)β][w ∈ Ω, β ∈ (0, ∞)¦
(8.39)
holds for all s ∈ [0, 1] except possibly for a ﬁnite set.
Let s
∗
(t) = (t −t
0
)/(t
∗
f
−t
0
), t
0
≤ t ≤ t
∗
f
, and deﬁne ˜ p
∗
= (p
∗
0
, p
∗
) : [t
0
, t
∗
f
] → R
1+n
by
p
∗
0
(t) = λ
∗
0
(s
∗
(t)), p
∗
(t) = λ
∗
(s
∗
(t)), t
0
≤ t ≤ t
∗
f
. (8.40)
First of all, ˜ p
∗
is not identically zero. Because if ˜ p
∗
≡ 0, then from (8.40) we have (λ
∗
0
, λ
∗
) ≡ 0 and
then from (8.36), λ
∗
n+1
≡ constant, but from (8.38), λ
∗
n+1
(1) = 0 so that we would have
˜
λ
∗
≡ 0
8.3. VARIABLE FINAL TIME 107
which is a contradiction. It is trivial to verify that ˜ p
∗
() satisﬁes (8.31), and, on the other hand (8.37)
and (8.38) respectively imply (8.32) and (8.33). Next, (8.39) is equivalent to
λ
∗
0
(s)f
0
(t
∗
(s), z
∗
(s), v
∗
(s))
+λ
∗
(s)
f(t
∗
(s), z
∗
(s), v
∗
(s)) +λ
∗
n+1
(s) = 0
(8.41)
and
λ
∗
0
(s)f
0
(t
∗
(s), z
∗
(s), v
∗
(s)) +λ
∗
(s)
f(t
∗
(s), z
∗
(s), v
∗
(s))
= Sup ¦[λ
∗
0
(s)f
0
(t
∗
(s), z
∗
(s), w) +λ
∗
(s)
f(t
∗
(s), z
∗
(s), w)][w ∈ Ω¦.
(8.42)
Evidently (8.42) is equivalent to (8.34) and (8.35) follows from (8.41) and the fact that λ
∗
n+1
(1) = 0.
Finally, the last assertion of the Theorem follows from (8.35) and the fact that
˜
M(t, x
∗
(t), ˜ p
∗
(t)) ≡
constant if f
0
, f are not explicitly dependent on t. ♦
8.3.2 Minimumtime problems
.
We consider the following special case of (8.27):
Maximize
t
f
t
0
(−1)dt
subject to
dynamics: ˙ x(t) = f(t, x(t), u(t)), t
0
≤ t ≤ t
f
initial condition: x(t
0
) = x
0
,
ﬁnal condition: x(t
f
) = x
f
,
control constraint: u() ∈  ,
ﬁnaltime constraint: t
f
∈ (t
0
, ∞) .
(8.43)
In (8.43), x
0
, x
f
are ﬁxed, so that the optimal control problem consists of ﬁnding a control which
transfers the system from state x
0
at time t
0
to state x
f
in minimum time. Applying Theorem 1 to
this problem gives Theorem 2.
Theorem 2: Let t
∗
f
∈ (t
0
, ∞) and let u
∗
: [t
0
, t
∗
f
] → Ω be optimal. Let x
∗
() be the corresponding
trajectory. Then there exists a function p
∗
: [t
0
, t
∗
f
] → R
n
, not identically zero, satisfying
adjoint equation: ˙ p
∗
(t) = −[
∂f
∂x
(t, x
∗
(t), u
∗
(t))]
p
∗
(t), t
0
≤ t ≤ t
∗
f
,
initial condition: p
∗
(t
0
) ∈ R
n
,
ﬁnal condition: p
∗
(t
∗
f
) ∈ R
n
.
Also the maximum principle
H(t, x
∗
(t), p
∗
(t), u
∗
(t)) = M(t, x
∗
(t), p
∗
(t)) (8.44)
holds for all t ∈ [t
0
, t
∗
f
] except possibly for a ﬁnite set.
Finally,
M(t
∗
f
, x
∗
(t
f
), p
∗
(t
f
)) ≥ 0 (8.45)
and if f does not depend explicitly on t then
M(t, x
∗
(t), p
∗
, (t)) ≡ constant . (8.46)
108 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
Exercise 2: Prove Theorem 2.
We now study a simple example illustrating Theorem 2. Example 1: The motion of a particle is
described by
m¨ x(t) +σ ˙ x(t) = u(t) ,
where m = mass, σ = coefﬁcient of friction, u = applied force, and x = position of the particle. For
simplicity we suppose that x ∈ R, u ∈ R and u(t) constrained by [u(t)[ ≤ 1. Starting with an
initial condition x(0) = x
01
, ˙ x(0) = x
02
we wish to ﬁnd an admissible control which brings the
particle to the state x = 0, ˙ x = 0 in minimum time.
Solution: Taking x
1
= x, x
2
= ˙ x we rewrite the particle dynamics as
¸
˙ x
1
(t)
˙ x
2
(t)
=
¸
0 1
0 −α
¸
x
1
(t)
x
2
(t)
+
¸
0
b
u(t) , (8.47)
where α = (σ/m) > 0 and b = (1/m) > 0. The control constraint set is Ω = [−1, 1].
Suppose that u
∗
() is optimal and x
∗
() is the corresponding trajectory. By Theorem 2 there exists
a nonzero solution p
∗
() of
¸
˙ p
∗
1
(t)
˙ p
∗
2
(t)
= −
¸
0 0
1 −α
¸
p
∗
1
(t)
p
∗
2
(t)
(8.48)
such that (8.44), (8.45), and (8.46) hold. Now the transition matrix function of the homogeneous
part of (8.47) is
Φ(t, τ) =
¸
1
1
α
(1 −e
−α(t−τ)
)
0 e
−α(t−τ)
,
so that the solution of (8.48) is
¸
p
∗
1
(t)
p
∗
2
(t)
=
¸
1 0
1
α
(1 −e
αt
) e
αt
¸
p
∗
1
(0)
p
∗
2
(0)
,
or
p
∗
1
(t) ≡ p
∗
1
(0) ,
and
p
∗
2
(t) =
1
α
p
∗
1
(0) +e
αt
(−
1
α
p
∗
1
(0) +p
∗
2
(0)) . (8.49)
The Hamiltonian H is given by
H(x
∗
(t), p
∗
(t), v) = (p
∗
1
(t) −αp
∗
2
(t))x
∗
2
(t) +bp
∗
2
(t)v
= e
αt
(p
∗
1
(0) −αp
∗
2
(0))x
∗
2
(t) +pb
∗
2
(t)v ,
8.3. VARIABLE FINAL TIME 109
so that from the maximum principle we can immediately conclude that
u
∗
(t) =
+1 if p
∗
2
(t) > 0,
−1 if p
∗
2
(t) < 0,
? if p
∗
2
(t) = 0 .
(8.50)
Furthermore, since the righthand side of (8.47) does not depend on t explicitly we must also have
e
αt
(p
∗
1
(0) −αp
∗
2
(0))x
∗
2
(t) +bp
∗
2
(t)u
∗
(t) ≡ constant. (8.51)
We now proceed to analyze the consequences of (8.49) and (8.50). First of all since p
∗
1
(t) ≡
p
∗
1
(0), p
∗
2
() can have three qualitatively different forms.
Case 1. −p
∗
1
(0) + αp
∗
2
(0) > 0: Evidently then, from (8.49) we see that p
∗
2
(t) must be a strictly
monotonically increasing function so that from (8.50) u
∗
() can behave in one of two ways:
either
u
∗
(t) =
−1 for t <
ˆ
t and p
∗
2
(t) < 0 for t <
ˆ
t,
+1 for t >
ˆ
t and p
∗
2
(t) > 0 for t >
ˆ
t,
or
u
∗
(t) ≡ +1 and p
∗
2
(t) > 0 for all t.
Case 2. −p
∗
1
(0) +αp
∗
2
(0) < 0 : Evidently u
∗
() can behave in one of two ways:
either
u
∗
(t) =
+1 for t <
ˆ
t and p
∗
2
(t) > 0 for t <
ˆ
t,
−1 for t >
ˆ
t and p
∗
2
(t) < 0 for t >
ˆ
t,
or
u
∗
(t) ≡ −1 and p
∗
(t) < 0 for all t.
Case 3. −p
∗
1
(0) + αp
∗
2
(0) = 0 : In this case p
∗
2
(t) ≡ (1/α)p
∗
1
(0). Also since p
∗
(t) ≡ 0, we must
have in this case p
∗
1
(0) = 0. Hence u
∗
() we can behave in one of two ways:
either
u
∗
(t) ≡ +1 and p
∗
2
(t) ≡
1
α
p
∗
1
(0) > 0 ,
or
u
∗
(t) ≡ −1 and p
∗
2
(t) ≡
1
α
p
∗
1
(0) < 0 ,
110 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
Thus, the optimal control u
∗
is always equal to +1 or 1 and it can switch at most once between
these two values. The optimal control is given by
u
∗
(t) = sgn p
∗
2
(t)
= sgn [
1
α
p
∗
1
(0) +e
αt
(−
1
α
p
∗
1
(0) +p
∗
2
(0))] .
Thus the search for the optimal control reduces to ﬁnding p
∗
1
(0), p
∗
2
(0) such that the solution of the
differential equation
˙ x = x
2
˙ x
2
= −αx
2
+b sgn[
1
α
p
∗
1
(0) +e
αt
(−
1
α
p
∗
1
(0) +p
∗
2
(0))] ,
(8.52)
with initial condition
x
1
(0) = x
10
, x
20
= x
20
(8.53)
also satisﬁes the ﬁnal condition
x
1
(t
∗
f
) = 0, x
2
(t
∗
f
) = 0 , (8.54)
for some t
∗
f
> 0; and then t
∗
f
is the minimum time.
There are at least two ways of solving the twopoint boundary value problem (8.52), (8.53), and
(8.54). One way is to guess at the value of p
∗
(0) and then integrate (8.52) and (8.53) forward in time
and check if (8.54) is satisﬁed. If (8.54) is not satisﬁed then modify p
∗
(0) and repeat. An alternative
is to guess at the value of p
∗
(0) and then integrate (8.52) and (8.54) backward in time and check of
(8.53) is satisﬁed. The latter approach is more advantageous because we know that any trajectory
obtained by this procedure is optimal for initial conditions which lie on the trajectory. Let us follow
this procedure.
Suppose we choose p
∗
(0) such that −p
∗
1
(0) = αp
∗
2
(0) = 0 and p
∗
2
(0) > 0. Then we must have
u
∗
(t) ≡ 1. Integrating (8.52) and (8.54) backward in time give us a trajectory ξ(t) where
˙
ξ
1
(t) = −
˙
ξ
2
(t)
˙
ξ
2
(t) = αξ
2
(t) −b ,
with
ξ
1
(0) −ξ
2
(0) = 0 .
This gives
ξ
1
(t) =
b
α
(−t +
e
αt
−1
α
) , ξ
2
(t) =
b
α
(1 −e
αt
) ,
which is the curve OA in Figure 8.3.
On the other hand, if p
∗
(0) is such that −p
∗
1
(0) + αp
∗
2
(0) = 0 and p
∗
2
(0) < 0, then u
∗
(t) ≡ −1
and we get
ξ
1
(t) = −
b
α
(−t +
e
αt
−1
α
) , ξ
2
(t) = −
b
α
(1 −e
αt
) ,
which is the curve OB.
8.3. VARIABLE FINAL TIME 111
B
u
∗
≡ −1
D
u
∗
≡ 1
C
ξ
1
O
ξ
2
u
∗
≡ 1
A
E
u
∗
≡ −1
F
Figure 8.3: Backward integration of (8.52) and (8.54).
Next suppose p
∗
(0) is such that −p
∗
1
(0) + αp
∗
2
(0) > 0, and p
∗
2
(0) < 0. Then [(1/α)p
∗
1
(0) +
e
αt
(−(1/α)p
∗
1
(0) + p
∗
2
(0))] will have a negative value for t ∈ (0,
ˆ
t) and a positive value for t ∈
(
ˆ
t, ∞). Hence, if we integrate (8.52), (8.54) backwards in time we get trajectory ξ(t) where
˙
ξ(t) = −ξ
2
(t)
˙
ξ
2
(t) = αξ
2
(t)+
−b for t <
ˆ
t
b for t >
ˆ
t ,
with ξ
1
(0) = 0, ξ
2
(0) = 0. This give us the curve OCD. Finally if p
∗
(0) is such that −p
∗
1
(0) +
αp
∗
2
(0) < 0, and p
∗
2
(0) < 0, then u
∗
(t) = 1 for t <
ˆ
t and u
∗
(t) = −1 for t >
ˆ
t, and we get the
curve OEF.
We see then that the optimal control u
∗
() has the following characterizing properties:
u
∗
(t) =
1 if x
∗
(t) is above BOA or on OA
−1 if x
∗
(t) is below BOA or on OB .
Hence we can synthesize the optimal control in feedback from: u
∗
(t) = ψ(x
∗
(t)) where the
B
u
∗
≡ −1
x
2
u
∗
≡ 1
x
1
A
u
∗
≡ 1
O
u
∗
≡ −1
Figure 8.4: Optimal trajectories of Example 1.
112 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
function ψ : R
2
→ ¦1, −1¦ is given by (see Figure 8.4)
ψ(x
1
, x
2
) =
1 if (x
1
, x
2
) is above BOA or on OA
−1 if (x
1
, x
2
) is below BOA or on OB .
8.4 Linear System, Quadratic Cost
An important class of problems which arise in practice is the case when the dynamics are linear and
the objective function is quadratic. Speciﬁcally, consider the optimal control problem (8.55):
Minimize
T
0
1
2
[x
(t)P(t)x(t) +u
(t)Q(t)u(t)]dt
subject to
dynamics: ˙ x(t) = A(t)x(t) +B(t)u(t), 0 ≤ t ≤ T ,
initial condition: x(0) = x
0
,
ﬁnal condition: G
f
x(t) = b
f
,
control constraint: u(t) ∈ R
p
, u() piecewise continuous.
(8.55)
In (8.56) we assume that P(t) is an n n symmetric, positive semideﬁnite matrix whereas Q(t) is
a p p symmetric, positive deﬁnite matrix. G
f
is a given
f
n matrix, and x
0
∈ R
n
, b
f
∈ R
f
are given vectors. T is a ﬁxed ﬁnal time.
We apply Theorem 1 of Section 2, so that we must search for a number p
∗
0
≥ 0 and a function
p
∗
: [0, T] → R
n
, not both zero, such that
˙ p
∗
(t) = −p
∗
0
(−P(t)x
∗
(t)) −A
(t)p
∗
(t) , (8.56)
and
p
∗
(t)⊥T
f
(x
∗
(t)) = ¦ξ[G
f
ξ = 0¦ . (8.57)
The Hamiltonian function is
H(t, x
∗
(t), ˜ p
∗
(t), v) = −
1
2
p
∗
0
[x
∗
(t)
P(t)x
∗
(t) +v
Q(t)v]
+p
∗
(t)
[A(t)x
∗
(t) +B(t)v]
so that the optimal control u
∗
(t) must maximize
−
1
2
p
∗
0
v
Q(t)v +p
∗
(t)
B(t)v for v ∈ R
p
. (8.58)
If p
∗
0
> 0, this will imply
u
∗
(t) =
1
p
∗
0
Q
−1
(t)B
(t)p
∗
(t) ,
(8.59)
whereas if p
∗
0
= 0, then we must have
p
∗
(t)
B(t) ≡ 0 (8.60)
because otherwise (8.58) cannot have a maximum.
8.5. THE SINGULAR CASE 113
We make the following assumption about the system dynamics.
Assumption: The control system ˙ x(t) = A(t)x(t) + B(t)u(t) is controllable over the interval
[0, T]. (See (Desoer [1970]) for a deﬁnition of controllability and for the properties we use below.)
Let Φ(t, τ) be the transition matrix function of the homogeneous linear differential equation ˙ x(t) =
A(t)x(t). Then the controllability assumption is equivalent to the statement that for any ξ ∈ R
n
ξ
Φ(t, τ)B(τ) = 0 , 0 ≤ τ ≤ T , implies ξ = 0 . (8.61)
Next we claim that if the system is controllable then p
∗
0
= 0, because if p
∗
0
= 0 then from (8.56)
we can see that
p
∗
(t) = (Φ(T, t))
p
∗
(T)
and hence from (8.60)
(p
∗
(t))
Φ(T, t)B(t) = 0 , 0 ≤ t ≤ T ,
but then from (8.61) we get p
∗
(T) = 0. Hence if p
∗
0
= 0, then we must have ˜ p
∗
(t) ≡ 0 which is a
contradiction. Thus, under the controllability assumption, p
∗
0
> 0, and hence the optimal control is
given by (8.59). Now if p
∗
0
> 0 it is trivial that ˆ p
∗
(t) = (1, (p
∗
(t)/p
∗
0
)) will satisfy all the necessary
conditions so that we can assume that p
∗
0
= 1. The optimal trajectory and the optimal control is
obtained by solving the following twopoint boundary value problem:
˙ x
∗
(t) = A(t)x
∗
(t) +B(t)Q
−1
(t)B
(t)p
∗
(t)
˙ p(t) = P(t)x
∗
(t) −A
(t)p
∗
(t)
x
∗
(0) = x
0
, G
f
x
∗
(T) = b
f
, p
∗
(T)⊥T
f
(x
∗
(T)) .
For further details regarding the solution of this boundary value problem and for related topics see
(See and Markus [1967]).
8.5 The Singular Case
In applying the necessary conditions derived in this chapter it sometimes happens that H(t, x
∗
(t), p
∗
(t), v)
is independent of v for values of t lying in a nonzero interval. In such cases the maximum principle
does not help in selecting the optimal value of the control. We are faced with the socalled singular
case (because we are in trouble–not because the situation is rare). We illustrate this by analyzing
Example 4 of Chapter 1.
The problem can be summarized as follows:
Maximize
T
0
c(t)dt =
T
0
(1 −s(t))f(k(t))dt
subject to
dynamics:
˙
k(t) = s(t)f(k(t)) −µk(t) , 0 ≤ t ≤ T
initial constraint: k(0) = k
0
,
ﬁnal constraint: k(t) ∈ R ,
control constraint: s(t) ∈ [0, 1], s() piecewise continuous.
114 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
We make the following assumptions regarding the production function f:
f
k
(k) > 0, f
kk
(K) < 0 for all k , (8.62)
lim
k→0
f
k
(k) = ∞ .
(8.63)
Assumption (8.62) says that the marginal product of capital is positive and this marginal product
decreases with increasing capital. Assumption (8.63) is mainly for technical convenience and can
be dispensed with without difﬁculty.
Now suppose that s
∗
: [0, T] → [0, 1] is an optimal savings policy and let k
∗
(t), 0 ≤ t ≤ T,
be the corresponding trajectory of the capitaltolabor ratio. Then by Theorem 1 of Section 2, there
exist a number p
∗
0
≥ 0, and a function p
∗
: [0, T] → R, not both identically zero, such that
˙ p
∗
(t) = −p
∗
0
(1 −s
∗
(t))f
k
(k
∗
(t)) −p
∗
(t)[s
∗
(t)f
k
(k
∗
(t)) −µ] (8.64)
with the ﬁnal condition
p
∗
(T) = 0 , (8.65)
and the maximum principle holds. First of all, if p
∗
0
= 0 then from (8.64) and (8.65) we must also
have p
∗
(t) ≡ 0. Hence we must have p
∗
0
> 0 and then by replacing (p
∗
0
, p
∗
) by (1/p
∗
0
)(p
∗
0
, p
∗
) we
can assume without losing generality that p
∗
0
= 1, so that (8.64) simpliﬁes to
˙ p
∗
(t) = −1(1 −s
∗
(t))f
k
(k
∗
(t)) −p
∗
(t)[s
∗
(t)f
k
(k
∗
(t)) −µ] . (8.66)
The maximum principle says that
H(t, k
∗
(t), p
∗
(t), s) = (1 −s)f(k
∗
(t)) +p
∗
(t)[sf(k
∗
(t)) −µk
∗
(t)]
is maximized over s ∈ [0, 1] at s
∗
(t), which immediately implies that
s
∗
(t) =
1 if p
∗
(t) > 1
0 if p
∗
(t) < 1
? if p
∗
(t) = 1
(8.67)
We analyze separately the three cases above.
Case 1. p
∗
(t) > 1, s
∗
(t) = 1 : Then the dynamic equations become
˙
k
∗
(t) = f(k
∗
(t)) −µk
∗
(t) ,
˙ p
∗
(t) = −p
∗
(t)[f
k
(k
∗
(t)) −µ] .
(8.68)
The behavior of the solutions of (8.68) is depicted in the (k, p)−, (k, t)− and (p, t)−planes in
Figure 8.5. Here k
G
, k
H
are the solutions of f
k
(k
G
) −µ = 0 and f(k
M
) −µk = 0. Such solutions
exist and are unique by virtue of the assumptions (8.62) and (8.63). Futhermore, we note from
(8.62) that k
G
< k
M
, and f
k
(k) − µ
<
> 0 according as k
<
> k
G
whereas f(k) − µk
>
< 0 according
as k
<
> k
M
. (See Figure 8.6.)
8.5. THE SINGULAR CASE 115
p
f
k
> µ
f
k
< µ
f < µk f > µk
k
k
M
k
G
l
k
k
M
t
p
l
t
Figure 8.5: Illustration for Case 1.
Case 2. p
∗
(t) < 1, s
∗
(t) = 0: Then the dynamic equations are
˙
k
∗
(t) = −µk
∗
(t) ,
˙ p
∗
(t) = −f
k
(k
∗
(t)) +µp
∗
(t) ,
giving rise to the behavior illustrated in Figure 8.7.
Case 3. p
∗
(t) = 1, s
∗
(t) =?: (Possibly singular case.) Evidently if p
∗
(t) = 1 only for a ﬁnite set of
times t then we do not have to worry about this case. We face the singular case only if p
∗
(t) = 1
for t ∈ I, where I is a nonzero interval. But then we have ˙ p
∗
(t) = 0 for t ∈ I so that from (8.66)
we get
−(1 −s
∗
(t))f
k
(k
∗
(t)) −[s
∗
(t)f
k
(k
∗
(t)) −µ] = 0 for t ∈ I ,
so
−f
k
(k
∗
(t)) +µ = 0 for t ∈ I ,
or
k
∗
(t) = k
G
for t ∈ I . (8.69)
In turn then we must have
˙
k
∗
(t) = 0 for t ∈ I so that
s
∗
(t)f(k
G
) −µK
G
= 0 for t ∈ I ,
and hence,
s
∗
(t) = µ
k
G
f(k
G
)
for t ∈ I . (8.70)
116 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
.
f
line of slope µ
µk
f(k)
k
k
M
k
G
Figure 8.6: Illustration for assumptions (8.62), (8.63).
Thus in the singular case the optimal solution is characterized by (8.69) and (8.70), as in Figure 8.8.
We can now assemble separate cases to obtain the optimal control. First of all, from the ﬁnal
condition (8.65) we know that for t close to T, p
∗
(t) < 1 so that we are in Case 2. We face two
possibilities: Either (A)
p
∗
(t) < 1 for all t < [0, T]
and then s
∗
(t) = 0, k
∗
(t) = k
0
e
−µt
, for 0 ≤ t ≤ T, or (B)
there exists t
2
∈ (0, T) such that p
∗
(t
2
) = 1 and p
∗
(t) < 1 for t
2
< t ≤ T .
We then have three possibilities depending on the value of k
∗
(t
2
):
(Bi) k
∗
(t
2
) < k
G
: then ˙ p
∗
(t
2
) < 0 so that p
∗
(t) > 1 for t < t
2
and we are in Case 1 so that
s
∗
(t) = 1 for t < t
2
. In particular we must have k
0
< k
G
.
(Bii) k
∗
(t
2
) > k
G
: then ˙ p
∗
(
2
) > 0 but then p
∗
(t
2
+ ε) > 1 for ε > 0 sufﬁciently small and since
p
∗
(T) = 0 there must exist t
3
∈ (t
2
, T) such that p
∗
(t
3
) = 1. This contradicts the deﬁnition of t
2
so that this possibility cannot arise.
(Biii) k
∗
(t
2
) − k
G
: then we can have a singular arc in some interval (t
1
, t
2
) so that p
∗
(t) =
1, k
∗
(t) = k
G
, and s
∗
(t) = µ(k
G
/f(k
G
)) for t ∈ (t
1
, t
2
). For t < t
1
we either have p
∗
(t) >
1, s
∗
(t) > 1 if k
0
< k
G
, or we have p
∗
(t) < 1, s
∗
(t) = 0 if k > k
G
.
The various possibilities are illustrated in Figure 8.9.
The capitaltolabor ratio k
G
is called the golden mean and the singular solution is called the
golden path. The reason for this term is contained in the following exercise.
Exercise 1: A capitaltolabor ratio
ˆ
k is said to be sustainable if there exists ˆ s ∈ [0, 1] such that
ˆ sf(
ˆ
k) −µ
ˆ
k = 0. Show that k
G
is the unique sustainable capitaltolabor ratio which maximizes
sustainable consumption (1 −s)f(k).
8.6. BIBLIOGRAPHICAL REMARKS 117
p
k
k
G
l
k
t
p
t
l
Figure 8.7: Illustration for Case 2.
8.6 Bibliographical Remarks
The results presented in this chapter appeared in English in full detail for the ﬁrst time in 1962 in the
book by Pontryagin, et al., cited earlier. That book contains many extensions and many examples
and it is still an important source. However, the derivation of the maximum principle given in the
book by Lee and Markus is more satisfactory. Several important generalizations of the maximum
principle have appeared. On the one hand these include extensions to inﬁnitedimensional state
spaces and on the other hand they allow for constraints on the state more general than merely initial
and ﬁnal constraints. For a uniﬁed, but mathematically difﬁcult, treatment see (Neustadt [1969]).
For a less rigorous treatment of statespace constraints see (Jacobson, et al, [1971]), whereas for a
discussion of the singular case consult (Kelley, et al. [1968]).
For an applicationsoriented treatment of this subject the reader is referred to (Athans and Falb
[1966]) and (Bryson and Ho [1969]). For applications of the maximum principle to optimal eco
nomic growth see (Shell [1967]). There is no single source of computational methods for optimal
control problems. Among the many useful techniques which have been proposed see (Lasdon, et
al., [1967]), (Kelley [1962]), (McReynolds [1966]), and (Balakrishnan and Neustadt [1964]); also
consult (Jacobson and Mayne [1970]), and (Polak [1971]).
118 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
.
p
k
k
G
1
k
t
k
G
p
t
1
Figure 8.8: Case 3. The singular case.
8.6. BIBLIOGRAPHICAL REMARKS 119
. .
.
.
.
.
. .
p
∗
1
t
T
s
∗
1
t
T
k
∗
t
T
p
∗
Case (A)
t
T t
2
t
1
s
∗
1
µk
G
f(k
G
)
t
k
∗
k
G
k
0
t
p
∗
1
t
T
t
2
s
∗
1
t
T
t
2
k
∗
t
T
t
2
p
∗
Case (Bi)
t
T
t
2
t
1
s
∗
t
k
∗
t
Case (Biii)
Figure 8.9: The optimal solution of example.
120 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
Chapter 9
Dynamic programing
SEQUENTIAL DECISION PROBLEMS: DYNAMIC PROGRAMMING FORMULATION
The sequential decision problems discussed in the last three Chapters were analyzed by varia
tional methods, i.e., the necessary conditions for optimality were obtained by comparing the op
timal decision with decisions in a small neighborhood of the optimum. Dynamic programming
(DP is a technique which compares the optimal decision with all the other decisions. This global
comparison, therefore, leads to optimality conditions which are sufﬁcient. The main advantage of
DP, besides the fact that it give sufﬁciency conditions, is that DP permits very general problem for
mulations which do not require differentiability or convexity conditions or even the restriction to a
ﬁnitedimensional state space. The only disadvantage (which unfortunately often rules out its use)
of DP is that it can easily give rise to enormous computational requirements.
In the ﬁrst section we develop the main recursion equation of DP for discretetime problems. The
second section deals with the continuoustime problem. Some general remarks and bibliographical
references are collected in the ﬁnal section.
9.1 Discretetime DP
We consider a problem formulation similar to that of Chapter VI. However, for notational conve
nience we neglect ﬁnal conditions and statespace constraints.
Maximize
N−1
¸
i=0
f
0
(i, x(i), u(i)) + Φ(x(N))
subject to
dynamics: x(i + 1) = f(i, x(i), u(i)) , i = 0, 1, . . . , N −1 ,
initial condition: x(0) = x
0
,
control constraint: u(i) ∈ Ω
i
, i = 0, 1, . . . , N −1 .
(9.1)
In (9.1), the state x(i) and the control u(i) belong to arbitrary sets X and U respectively. X and U
may be ﬁnite sets, or ﬁnitedimensional vector spaces (as in the previous chapters), or even inﬁnite
dimensional spaces. x
0
∈ X is ﬁxed. The Ω
i
are ﬁxed subsets of U. Finally f
0
(i, , ) : X U →
R, Φ : X → R, f(i, , ) : X U → X are ﬁxed functions.
121
122 CHAPTER 9. DYNAMIC PROGRAMING
The main idea underlying DP involves embedding the optimal control problem (9.1), in which
the system starts in state x
0
at time 0, into a family of optimal control problems with the same
dynamics, objective function, and control constraint as in (9.1) but with different initial states and
initial times. More precisely, for each x ∈ X and k between ) and N − 1, consider the following
problem:
Maximize
N−1
¸
i=k
f
0
(i, x(i), u(i)) + Φ(x(N)) ,
subject to
dynamics: x(i + 1) = f(i, x(i), u(i)), i = k, k + 1, . . . , N −1,
initial condition: x(k) = x,
control constraint: u(i) ∈ Ω
i
, i = k, k + 1, , N −1 .
(9.2)
Since the initial time k and initial state x are the only parameters in the problem above, we will
sometimes use the index (9.2)
k,x
to distinguish between different problems. We begin with an
elementary but crucial observation.
Lemma 1: Suppose u
∗
(k), . . . , u
∗
(N − 1) is an optimal control for (9.2)
k,x
, and let x
∗
(k) =
x, x
∗
(k + 1), . . . , x
∗
(N) be the corresponding optimal trajectory. Then for any , k ≤ ≤ N −
1, u
∗
(), . . . , u
∗
(N −1) is an optimal control for (9.2)
,x
∗
()
.
Proof: Suppose not. Then there exists a control ˆ u(), ˆ u( + 1), . . . , ˆ u(N − 1), with corresponding
trajectory ˆ x() = x
∗
(), ˆ x( + 1), . . . , ˆ x(N), such that
N−1
¸
i=
f
0
(i, ˆ x(i), ˆ u(i)) + Φ(ˆ x(N))
>
N−1
¸
i=
f
0
(i, x
∗
(i), u
∗
(i)) + Φ(x
∗
(N)) .
(9.3)
But then consider the control ˜ u(k), . . . , ˜ u(N −1) with
˜ u(i)
u
∗
(i) , i = k, . . . , −1
ˆ u(i) , i = , . . . , N −1 ,
and the corresponding trajectory, starting in state x at time k, is ˜ x(k), . . . , ˜ x(N) where
˜ x(i) =
x
∗
(i) , i = k, . . . ,
ˆ x(i) , i = + 1, . . . , N .
The value of the objective function corresponding to this control for the problem (9.2)
k,x
is
N−1
¸
i=k
f
0
(i, ˜ x(i), ˜ u(i)) + Φ(˜ x(n))
=
−1
¸
i=k
f
0
(i, x
∗
(i), u
∗
(i)) +
N−1
¸
i=
f
0
(i, ˆ x(i), ˆ u(i)) + Φ(ˆ x(N))
>
N−1
¸
i=k
f
0
(i, x
∗
(i), u
∗
(i)) + Φ(x
∗
(N)) ,
9.1. DISCRETETIME DP 123
by (9.3), so that u
∗
(k), . . . , u
∗
(N −1) cannot be optimal for 9.2)
k
, x, contradicting the hypothesis.
(end theorem)
From now on we assume that an optimal solution to (9.2)
k,x
exists for all 0 ≤ k ≤ N −1, and all
x ∈ X. Let V (k, x) be the maximum value of (9.2)
k,x
. We call V the (maximum) value function.
Theorem 1: Deﬁne V (N, ) by (V (N, x) = Φ(x). V (k, x) satisﬁes the backward recursion equa
tion
V (k, x) = Max¦f
0
, (k, x, u) +V (k
1
, f(k, x, u, ))[u ∈ Ω
k
¦, 0 ≤ k ≤ N −1 . (9.4)
Proof: Let x ∈ X, let u
∗
(k), . . . , u
∗
(N − 1) be an optimal control for (9.2)
k,x
, and let x
∗
(k) =
x, . . . , x
∗
(N) be the corresponding trajectory be x(k) = x, . . . , x(N). We have
N−1
¸
i=k
f
0
(i, x
∗
(i), u
∗
(i)) + Φ(x
∗
(N))
≥
N−1
¸
i=k
f
0
(i, x(i), u(i)) + Φ(x(N)) .
(9.5)
By Lemma 1 the lefthand side of (9.5) is equal to
f
0
(k, x, u
∗
(k)) +V (k + 1, f(k, x
∗
, u
∗
(k)) .
On the other hand, by the deﬁnition of V we have
N−1
¸
i=k
f
0
(i, x(i), u(i)) + Φ(x(N)) = f
0
(k, x, u(k))
+¦
N
¸
i=k+1
f
0
(i, x(i), u(i)) + Φ(x(N)) ≤ f
0
(k, x, u, (k)) +V (k + 1, f(k, x, u(k))¦ ,
with equality if and only if u(k +1), . . . , u(N −1) is optimal for (9.2)
k+1,x(k+1)
. Combining these
two facts we get
f
0
(k, xu
∗
(k)) +V (k + 1, f(k, x, u
∗
(k)))
≥ f
0
(k, x, u(k)) +V (k + 1, f(x, k, u(k))) ,
for all u(k) ∈ Ω
k
, which is equivalent to (9.4).(end theorem)
Corollary 1: Let u(k), . . . , u(N − 1) be any control for the problem (9.2)
k,x
and let x(k) =
x, . . . , x(N) be the corresponding trajectory. Then
V (, x()) ≤ f
0
(, x(), u()) +V ( + 1, f(, x(), u()), k ≤ ≤ N −1 ,
and equality holds for all k ≤ ≤ N −1 if and only if the control is optimal for (9.2)
k,x
.
Corollary 2: For k = 0, 1, . . . , N −1, let ψ(k, ) : X → Ω
k
be such that
f
0
(k, x, ψ(k, x)) +V (k + 1, f(k, x, ψ(k, x))
= Max¦f
0
(k, x, u) +V (k + 1, f(k, x, u))[u ∈ Ω
k
¦ .
Then ψ(k, ), k = 0, . . . , N − 1 is an optimal feedback control, i.e., for any k, x the control
u
∗
(k), . . . , u
∗
(N −1) deﬁned by u
∗
() = ψ(, x
∗
()), k ≤ ≤ N −1, where
124 CHAPTER 9. DYNAMIC PROGRAMING
x
∗
( + 1) = f(, x
∗
(), ψ(, x
∗
()), k ≤ ≤ N −1 , x
∗
(k) = x ,
is optimal for (α)
k,x
.
Remark: Theorem 1 and Corollary 2 are the main results of DP. The recursion equation (9.4) al
lows us to compute the value function, and in evaluating the maximum in (9.4) we also obtain the
optimum feedback control. Note that this feedback control is optimum for all initial conditions.
However, unless we can ﬁnd a “closedform” analytic solution to (9.4), the DP formulation may
necessitate a prohibitive amount of computation since we would have to compute and store the val
ues of V and ψ for all k and x. For instance, suppose n = 10 and the statespace X is a ﬁnite set
with 20 elements. Then we have to compute and store 10 20 values of V , which is a reasonable
amount. But now suppose X = R
n
and we approximate each dimension of x by 20 values. Then
for N = 10, we have to compute and store 10x(20)
n
values of V . For n = 3 this number is 80,000,
and for n = 5 it is 32,000,000, which is quite impractical for existing computers. This “curse of
dimensionality” seriously limits the applicability of DP to problems where we cannot solve (9.4)
analytically.
• Exercise 1: An instructor is preparing to lead his class for a long hike. He assumes that each
person can take up to W pounds in his knapsack. There are N possible items to choose from.
Each unit of item i weighs w
i
pounds. The instructor assigns a number U
i
> 0 for each
unit of item i. These numbers represent the relative utility of that item during the hike. How
many units of each item should be placed in each knapsack so as to maximize total utility?
Formulate this problem by DP.
9.2 Continuoustime DP
We consider a continuoustime version of (9.2):
Maximize
t
f
0
f
0
(t, x(t), u(t))dt + Φ(x(t
f
))
subject to
dynamics: ˙ x(t) = f(t, x(t), u(t)) , t
0
≤ t ≤ t
f
initial condition: x(0) = x
0
,
control constraint: u : [t
0
, t
f
] → Ω and u() piecewise continuous.
(9.6)
In (9.6), x ∈ R
n
, u ∈ R
p
, Ω ⊂ R
p
. Φ : R
n
→ R is assumed differentiable and f
0
, f are assumed
to satisfy the conditions stated in VIII.1.1.
As before, for t
0
≤ t ≤ t
f
and x ∈ R
n
, let V (t, x) be the maximum value of the objective
function over the interval [t, t
f
] starting in state x at time t. Then it is easy to see that V must satisfy
V (t, x) = Max¦
t+∆
t
f
0
(τ, x(τ), u(τ))dτ
+V (t + ∆, x(t + ∆))[u : [t, t + ∆] → Ω¦, ∆ ≥ 0 ,
(9.7)
and
V (t
f
, x) = Φ(x) . (9.8)
9.2. CONTINUOUSTIME DP 125
In (9.7), x(τ) is the solution of
˙ x(τ) = f(τ, x(τ), u(τ)) , t ≤ τ ≤ t + ∆ ,
x(t) = x .
Let us suppose that V is differentiable in t and x. Then from (9.7) we get
V (t, x) = Max¦f
0
(t, x, u)∆ +V (t, x) +
∂V
∂x
f(t, x, u)∆
+
∂V
∂t
(t, x)∆ +o(∆)[u ∈ Ω¦, ∆ > 0 .
Dividing by ∆ > 0 and letting ∆ approach zero we get the HamiltonJacobi Bellman partial
differentiable equation for the value function:
∂V
∂t
(t, x) + Max¦f
0
(t, x, u) +
∂V
∂x
(t, x)f(t, x, u)[u ∈ Ω¦ = 0. (9.9)
Theorem 1: Suppose there exists a differentiable function V : [t
0
, t
f
] R
n
→ R which satisﬁes
(9.9) and the boundary condition (9.8). Suppose there exists a function ψ : [t
0
, t
f
] R
n
→ Ω
with ψ piecewise continuous in t and Lipschitz in x, satisfying
f
0
(t, x, ψ(t, x)) +
∂V
∂x
f(t, x, ψ(t, x))
= Max¦f
0
(t, x, u) +
∂V
∂x
f(t, x, u)[u ∈ Ω¦ .
(9.10)
Then ψ is an optimal feedback control for the problem (9.6), and V is the value function.
Proof: Let t ∈ [t
0
, t
f
] and x ∈ R
n
. Let ˆ u : [t, t
f
] → Ω be any piecewise continuous control and
let ˆ x(τ) be the solution of
·
ˆ x (τ) = f(τ, ˆ x(τ), ˆ u(τ)) , t ≤ τ ≤ t
f
,
ˆ x(t) = x .
(9.11)
Let x
∗
(τ) be the solution of
˙ x
∗
(τ) = f(τ, x
∗
(τ), ψ(τ, x
∗
(τ))) , t ≤ τ ≤ t
f
,
x
∗
(τ) = x .
(9.12)
Note that the hypothesis concerning ψ guarantees a solution of (9.12). Let u
∗
(τ) = ψ(τ, x
∗
, (τ)), t ≤
τ ≤ t
f
. To show that ψ is an optimal feedback control we must show that
t
f
t
f
0
(tτ, x
∗
(τ), u
∗
(τ))dτ + Φ(x
∗
(τ))
≤
t
f
t
f
0
(τ, x
∗
(τ), ˆ u(τ))dτ + Φ(ˆ x(t
f
)) .
(9.13)
To this end we note that
V (t
f
, x
∗
(t
f
)) −V (t, x
∗
(t)) =
t
f
f
dV
dτ
(τ, x
∗
(τ))dτ
=∈
t
f
t
¦
∂V
∂τ
(τ, x
∗
(τ) +
∂V
∂x
˙ x
∗
(τ)¦dτ
= −
t
f
t
F −0(τ, x
∗
(τ), u
∗
(τ))dτ ,
(9.14)
126 CHAPTER 9. DYNAMIC PROGRAMING
using (9.9), (9.10). On the other hand,
V (t
f
, ˆ x(t
f
)) −V (t, ˆ x, (t)) =
t
f
t
¦
∂V
∂τ
(τ, ˆ x(τ)) +
∂V
∂x
·
˜ x (τ)¦dτ
≤ −
t
f
t
f
0
(τ, ˆ x(τ), ˆ u
∗
(τ))dτ ,
(9.15)
using (9.9). From (9.14), (9.15), (9.8) and the fact that x
∗
(t) = ˆ x(t) = x we conclude that
V (t, x) = Φ(x
∗
(t
f
)) +
t
f
t
f
0
(τ, x
∗
(τ), u
∗
(τ))
≥ Φ(ˆ x(t
f
)) +
t
f
t
f
0
(τ, ˆ x(τ), ˆ u(τ))dτ
so that (9.13) is proved. It also follows that V is the maximum value function. ♦
• Exercise 1: Obtain the value function and the optimal feedback control for the linear regula
tory problem:
Minimize
1
2
x
(T)P(T)x(t) +
1
2
T
0
¦x
(t)P(t)x(t)
+u
(t)Q(t)u(t)¦dt
subject to
dynamics: ˙ x(t) = A(t)x(t) +B(t)u(t) , 0 ≤ t ≤ T ,
initial condition: x(0) = x
0
,
control constraint: u(t) ∈ R
p
,
where P(t) = P
(t) is positive semideﬁnite, and Q(t) = Q
(t) is positive deﬁnite. [Hint:
Obtain the partial differential equation satisﬁed by V (t, x) and try a solution of the form
V (t, x) = x
R(t)x where R is unknown.]
9.3 Miscellaneous Remarks
There is vast literature dealing with the theory and applications of DP. The most elegant applications
of DP are to various problems in operations research where one can obtain “closedform” analytic
solutions to be recursion equation for the value function. See (Bellman and Dreyfus [1952]) and
(Wagner [1969]). In the case of sequential decisionmaking under uncertainties DP is about the
only available general method. For an excellent introduction to this area of application see (Howard
[1960]). For an important application of DP to computational considerations for optimal control
problems see (Jacobson and Mayne [1970]). Larson [1968] has developed computational tech
niques which greatly increase the range of applicability of DP where closedform solutions are not
available. Finally, the book of Bellman [1957] is still excellent reading. []
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Index
Active constraint, 50
Adjoint Equation
augmented, 98
continuoustime, 85
Adjoint equation
augmented, 105
continuoustime, 91
discretetime, 80
Adjoint network, 23
Afﬁne function, 54
Basic feasible solution, 39
basic variable, 39
Certaintyequivalence principle, 5
Complementary slackness, 34
Constraint qualiﬁcation
deﬁnition, 53
sufﬁcent conditions, 55
Continuoustime optimal control
necessary condition, 101, 103
problem formulation, 101, 103
sufﬁcient condition, 91, 125
Control of water quality, 67
Convex function
deﬁnition, 37
properties, 37, 54, 55
Convex set, 37
Derivative, 8
Design of resistive network, 15
Discretetime optimal control
necessary condition, 78
problem formulation, 77
sufﬁcient condition, 123
Discretetime optimality control
sufﬁcient condition, 80
Dual problem, 33, 58
Duality theorem, 33, 63
Dynamic programming, DP
optimality conditions, 123, 125
problem formulation, 121, 124
Epigraph, 61
Equilibrium of an economy, 45, 64
Farkas’ Lemma, 32
Feasible direction, 72
algorithm, 71
Feasible solution, 33, 49
Game theory , 5
Gradient, 8
HamiltonJacobiBellman equation, 125
Hamiltonian H,
˜
H, 78, 99
Hamiltonian H
˜
H, 101
Hypograph, 61
Knapsack problem, 124
Lagrange multipliers, 37
Lagrangian function, 35
Langrangian function, 21, 54
Langrangian multipliers, 21
Linear programming, LP
duality theorem, 33, 35
problem formulation, 31
theory of the ﬁrm, 42
Linear programming,LP
optimality condition, 34
Maximum principle
continuoustime, 86, 91, 101, 103
discretetime, 80
Minimum fuel problem, 81
Minimumtime problem, 107
131
132 INDEX
example, 108
Nondegeneracy condition, 39
Nonlinear programming, NP
duality theorem, 63
necessary condition, 50, 53
problem formulation, 49
suﬁcient condition, 54
Optimal decision, 1
Optimal economic growth, 2, 113, 117
Optimal feedback control, 123, 125
Optimization over open set
necessary condition, 11
sufﬁcient condition, 13
Optimization under uncertainty, 4
Optimization with equality constraints
necessary condition, 17
sufﬁcient condition, 21
Optimum tax, 70
Primal problem, 33
Quadratic cost, 81, 112
Quadratic programming, QP
optimality condition, 70
problem formulation, 70
Wolfe algorithm, 71
Recursion equation for dynamic programming,
124
Regulator problem, 81, 112
Resource allocation problem, 65
Separation theorem for convex sets, 73
Separation theorem for stochastic control, 5
Shadow prices, 37, 45, 70
Shadowprices, 39
Simplex algorithm, 37
Phase I, 41
Phase II, 39
Singular case for control, 113
Slack variable, 32
Statespace constraint
continuoustime problem, 117
discretetime problem, 77
Subgradient, 60
Supergradient, 60
Supporting hyperplane, 61, 84
Tangent, 50
Transversality condition
continuoustime problem, 91
discretetime problem, 80
Value function, 123
Variable ﬁnal time, 103
Vertex, 38
Weak duality theorem, 33, 58
Wolfe algorithm, 71
ii
Contents
1 INTRODUCTION 2 OPTIMIZATION OVER AN OPEN SET 3 Optimization with equality constraints 4 Linear Programming 5 Nonlinear Programming 6 Discretetime optimal control 7 Continuoustime linear optimal control 8 Coninuoustime optimal control 9 Dynamic programing 1 7 15 27 49 75 83 95 121
iii
iv CONTENTS .
The effort was successful for several years. California September. Van Nostrand Reinhold was then purchased by a conglomerate which cancelled Notes on System Sciences because it was not sufﬁciently proﬁtable.P. Varaiya v . Notes on Optimization has been out of print for 20 years. Our aim was to publish short. I would appreciate knowing if you ﬁnd any mistakes in the book. Books have since become expensive. Turin. or if you have suggestions for (small) changes that would improve it. the World Wide Web has again made it possible to publish cheaply. I thank Kate Klohe for doing just that. edited by George L. They have urged me to republish it. However.PREFACE to this edition Notes on Optimization was published in 1971 as part of the Van Nostrand Reinhold Notes on System Sciences. The idea of making it freely available over the Web was attractive because it reafﬁrmed the original aim. However. Berkeley. accessible treatments of graduatelevel material in inexpensive books (the price of a book in the series was about ﬁve dollars). 1998 P. several people have been using it as a text or as a reference in a course. The only obstacle was to retype the manuscript in LaTex.
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in a compact and uniﬁed manner.L. Turin for his encouraging and patient editorship. Jacob. Chapter V must be read before Chapter VI.PREFACE These Notes were developed for a tenweek course I have taught for the past three years to ﬁrstyear graduate students of the University of California at Berkeley. has been inﬂuenced by many of my students and colleagues. who have read and criticized earlier drafts. I would especially like to acknowledge the help of Professors M. Polak. A.P. basis. as well as their presentation. Billie Vrtiak for her marvelous typing in spite of starting from a not terribly legible handwritten manuscript. 1971 P. Cohen. Finally. The treatment of the topics presented here is deep. The examples and exercises given in the text form an integral part of the Notes and most readers will need to attend to them before continuing further. C. I want to thank Professor G. adjoint solution) is sufﬁcient for the reader to follow the Notes. an understanding of this material should enable the reader to follow much of the recent technical literature on nonlinear programming. matrix inverse). (deterministic) optimal control. linear algebra (linear independence. Varaiya vii . and Chapter VII before Chapter VIII. My objective has been to present. Berkeley. the main concepts and techniques of mathematical programming and optimal control to students having diverse technical backgrounds. E. I have incurred the cost of some repetition in order to make almost all chapters selfcontained. The selection of topics. and mathematical economics. To facilitate the use of these Notes as a textbook. JP. I also want to thank Mrs. Although the coverage is not encyclopedic. M. Ripper. California November. A reasonable knowledge of advanced calculus (up to the Implicit Function Theorem). Athans. However.A. and linear differential equations (transition matrix. and Mr. Desoer.
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1. Example 1: The Pot Company (Potco) manufacturers a smoking blend called Acapulco Gold. For legal reasons the fraction α of maryjohn in the mixture must satisfy 0 < α < 1 . The set of all decisions can be adequately represented as a subset of a vector space with each vector representing a decision. 1. and 2. and 2. whereas the cost of maryjohn is a function of the amount purchased. The cost of each decision is known. An optimal decision is then any decision which incurs the least cost among the set of permissible decisions. namely. From extensive market research Potco has determined 2 their expected volume of sales as a function of α and the selling price p.1 The Optimal Decision Problem These Notes show how to arrive at an optimal decision assuming that complete information is given. In an agreement signed with Tough’s undergraduates and graduates (TUGs). The phrase complete information is given means that the following requirements are met: 1. Some illustrations will help. how much maryjohn and tobacco should it purchase. illustrate decisionmaking situations by a few examples. Furthermore. certain further requirements must be satisﬁed. When these conditions are satisﬁed. tobacco can be purchased at a ﬁxed price.Chapter 1 INTRODUCTION In this chapter. “quality” is 1 . The cost corresponding to these decisions is given by a realvalued function. The blend is made up of tobacco and maryjohn leaves. we present our model of the optimal decisionmaking problem. the decisions can be ranked according to whether they incur greater or lesser cost. The set of all permissible decisions is known. and what price p should it set? Example 2: Tough University provides “quality” education to undergraduate and graduate students. If Potco wants to maximize its proﬁts. In order to model a decisionmaking situation in mathematical terms. and brieﬂy introduce two more general models which we cannot discuss further in these Notes.
wine. Subject to the agreements with the TUGs and WORs how many u’s and g’s should the President admit to maximize his rating? Example 3: (See Figure 1. Shell is the manager of an economy which produces one output. 1] is the fraction of output which is saved and invested. . (Obviously.1: Admissable set of example. Figure 1.1) = −δK(t) + s(t)F (K(t).) An engineer is asked to construct a road (broken line) connection point a to point b. Hence. L(t)) As Manager. W . capital and labor. C. The Regents of Touch rate Tough’s President at α points per u and β points per g “processed” by the University. Mr. whereas every senior faculty member (there are 250 of these) shall teach three lecture courses and three seminars each year. The only requirement is that the ﬁnal road should not have a slope exceeding 0. The University has a faculty of 1000. W (t) = C(t) + I(t) = (1 − s(t))W (t) where s(t) = I(t)/W (t) . If it costs $c per cubic foot to excavate or ﬁll the ground. INTRODUCTION deﬁned as follows: every year. ∈ [0. The labor force is growing at a constant birth rate of β > 0.001. how should he design the road to meet the speciﬁcations at minimum cost? Example 4: Mr. There are two factors of production.1. whereas each g (graduate) must take two seminars and ﬁve lecture courses. so that the net rate of growth of capital is given by the following equation: ˙ K(t) = d K(t) dt = −δK(t) + s(t)W (t) (1. The Weary Old Radicals (WORs) have a contract with the University which stipulates that every junior faculty member (there are 750 of these) shall be required to teach six lecture courses and two seminars each year. I. Shell allocates some of the output rate W (t) to the consumption rate C(t). The current proﬁle of the ground is given by the solid line. If K(t) and L(t) respectively are the capital stock used and the labor employed at time t. each u (undergraduate) must take eight courses. A seminar cannot have more than 20 students and a lecture course cannot have more than 40 students. and K are being measured in a common currency.2 CHAPTER 1. Suppose that the capital stock decays exponentially with time at a rate δ > 0.) Thus. one of which is a seminar and the rest of which are lecture courses. b a . then the rate of output of wine W (t) at time is given by the production function W (t) = F (K(t). L(t)). and the remainder I(t) to investment in capital goods.
The constraints themselves are presented in terms of functional inequalities or equalities. then we see that F (K. in the ﬁrst example. Shell starts with capitaltolabor T ratio ko .1.e. In the last example. these Notes are concerned with optimizing (i.1) and (1. (It is of mathematical but not conceptual interest to note that in this case a decision is represented by a vector in a function space which is inﬁnitedimensional. ˙ k(t) = s(t)f (k(t)) − µk(t) (1. F (λK. constrained by the number of faculty and the agreements with the TUGs and WORs is a permissible decision. (In connection with this example and related models see the critique by Koopmans [1967]. a permissible decision is any twodimensional vector (α. THE OPTIMAL DECISION PROBLEM 3 ˙ L(t) = βL(t). the set of permissible decisions is represented by the set of all points in some vector space which satisfy certain constraints.2) Suppose that the production function F exhibits constant returns to scale. w = W/L. whence the consumption per capita of labor becomes c(t) = (l − s(t))f (k(t)). what should Mr. any vector (u. and at time 0 Mr. Suppose there is a planning horizon time T . Using these deﬁnitions and equations (1. g) with u ≥ 0. L) for all λ > 0. If we deﬁne the relevant variable in terms of per capita of labor.2) it is easy to see that K(t) satisﬁes the differential equation (1. maximizing or minimizing) a realvalued function over a vector space subject to constraints. . g ≥ 0. λL) = λF (K.) In the examples above. Thus. In the latter case. For instance. the value of the mathematical exercise is greater the more insensitive are the optimum savings policies with respect to the simplifying assumptions of the mathematical model. We must always remember that a mathematical formulation is inevitably an abstraction and the gain in precision may have occurred at a great loss of realism. constrained by 0 ≤ s(t) ≤ 1. T ] is identiﬁed with total consumption 0 c(t)dt. (1. l).3) where µ = (δ + β). k = K/l. The ﬁrst term of the righthand side in (3) is the increase in the capitaltolabor ratio due to investment whereas the second terms is the decrease due to depreciation and increase in the labor force. L)−LF (K/L. 0 ≤ t ≤ T . In the second example. 1) = Lf (k). be so as to maximize welfare? What savings policy maximizes welfare subject to the additional restriction that the capitaltolabor ratio at time T should be at least kT ? If future consumption is discounted at rate α > 0 and if time horizon ∞ is ∞. Example 2 is caricature (see also a faintly related but more more elaborate formulation in Bruno [1970]). i. whereas Example 4 is lightyears away from reality. Shell’s savings policy s(t). 0 ≤ t ≤ T .) More concisely then. What is the optimum policy corresponding to this criterion? These examples illustrate the kinds of decisionmaking problems which can be formulated mathematically so as to be amenable to solutions by the theory presented in these Notes. c = C/L. and if we let f (k) = F (k..e. If “welfare” over the planning period [0. a permissible decision is any realvalued function s(t).3). p) satisfying the constraints 0 < α < 1 and 0 < 2 p. the welfare function becomes 0 e− αt c(t)dt.1.
1. The situation is different from our previous examples in that the outcome (future stock prices) is uncertain. the hypothesis of complete information can be relaxed by allowing that decisionmaking occurs in an uncertain environment. We can then redeﬁne the problem as minimizing the ﬁrst cost function (total time for trips) subject to the constraint that the waiting time for any trip is less than some reasonable bound (say one minute). the investor may assign probability 0. the second goal (minimum waiting time) has been modiﬁed and reintroduced as a constraint. He wants to maximize his capital gains. A similar model is made for all the other stocks that the investor is willing to consider. In this way. suppose we have to choose the durations of various trafﬁc lights in a section of a city so as to achieve optimum trafﬁc ﬂow.2 Some Other Models of Decision Problems Our model of a single decisionmaker with complete information can be generalized along two very important directions. input rates of various chemicals.5 to the event that the price of shares in Glamor company increases by $100. This interchangeability of goal and constraints also appears at a deeper level in much of the mathematical theory. and a decision problem can be formulated as follows. INTRODUCTION At this point. etc. probability 0. The two objectives are incompatible.1 Optimization under uncertainty. Let us suppose that we know the transportation needs of all the people in this section.1? As another example. consider the design of a controller for a chemical process where the decision variable are temperature.4 CHAPTER 1. so that this decision is far from optimum according to the second criterion. it is important to realize that the distinction between the function which is to be optimized and the functions which describe the constraints. which in this case are different patterns of trafﬁclight durations. We will see that in most of the results the objective function and the functions describing the constraints are treated in the same manner. It is customary to model this uncertainty stochastically.25 that it drops by $100.2. 1.” More abstractly. since the stock which is likely to have higher gains is also likely to involve greater risk. we merely point out here some situations where such models arise naturally and give some references. may be quite artiﬁcial in practice. we need a criterion by which we can compare different decisions. we can replace the single decisionmaker by a group of two or more agents whose collective decision determines the outcome. although convenient for presenting the mathematical theory. An alternative and equally plausible goal may be to minimize the maximum waiting time (that is the total time spent at stop lights) in each trip. Now it may happen that these two objective functions may be inconsistent in the sense that they may give rise to different orderings of the permissible decisions.000 be invested so as to maximize the expected value of the capital gains subject to the constraint that the probability of losing more than $100 is less than 0. In the ﬁrst place. In the second place. For instance. One way of doing this is to assign as cost to each decision the total amount of time taken to make all the trips within this section. How should $1. it may be the case that the optimum decision according to the ﬁrst criterion may be lead to very long waiting times for a few trips. Usually there are impurities in the chemicals and disturbances in the heating process which may be regarded as additional inputs of a . Since we cannot study these more general models in these Notes. and at the same time minimize the risk of losing his money. we need a criterion to determine what is meant by “optimum trafﬁc ﬂow. Before we can begin to suggest a design. and probability 0. A person wants to invest $1.25 that the price is unchanged. Indeed.000 in the stock market. Thus.
SOME OTHER MODELS OF DECISION PROBLEMS 5 random nature and modeled as stochastic processes. we need a good background in Statistics and Probability Theory besides the material presented in these Notes. The control theorist will probably be most interested in Isaacs [1965]. yet the effectiveness of his decision depends crucially upon the other’s decision. so that optimality cannot be deﬁned as we did earlier. The difﬁculty caused by the lack of knowledge of the actions of the other decisionmaking agents arises even if all the agents have the same objective. given appropriate conditions.) Unfortunately. To do justice to these decisionmaking situations. however. The place is a large circular ﬁeld. exists which describes and prescribes behavior in these situations. Each agent does not know what the other is planning to do. For instance. and Blaquiere. Kushner [1971]). whereas Beta is riding a motor scooter. See Wonham [1968].) In the author’s opinion. Situations such as these have been studied extensively and an elaborate structure. these problems represent one of the most important and challenging areas of research in decision theory. . Agent Alpha is chasing agent Beta. slow but with good maneuverability. et al. it has proved to be among the most fruitful sources of unifying analytical concepts in the social sciences. [1970] and Marschak and Radner [1971]. known as the Theory of Games.2. we can formulate a decision problem in such a way as to take into account these random disturbances.2. What should Alpha do to get as close to Beta as possible? What should Beta do to stay out of Alpha’s reach? This situation is fundamentally different from those discussed so far. Alpha is driving a fast. it is necessary to give great attention to the various ways in which the uncertainties can be modelled mathematically. (See Mesarovic. whereas the mathematical content of the theory is concisely displayed in Owen [1968].1. just as in the case of the portfolioselection problem. We need a new concept of rational (optimal) decisionmaking.. [1969]. We can only refer the reader to the extensive literature on Statistical Decision Theory (Savage [1954].. then in many cases the techniques presented in these Notes can be usefully applied to the resulting optimal decision problem. If the uncertainties are modelled stochastically as in the example above. The best single source for Game Theory is still Luce and Raiffa [1957].2 The case of more than one decisionmaker. et al. since a particular decision taken by our agent may be better or worse than another decision depending upon the (unknown) decisions taken by the other agents. notably economics and political science. Here there are two decisionmakers with opposing objectives. to be able to deal with these models. Blackwell and Girshick [1954]) and on Stochastic Optimal Control (Meditch [1969]. the number of results available is pitifully small. it is of great significance to know that. We also need to worry about ﬁnding equivalent but simpler formulations. Although the practical impact of this theory is not great. Although problems involving many decisionmakers are present in any system of large size. known as the CertaintyEquivalence principle in economics has been extended and baptized the Separation Theorem in the control literature. an optimal decision problem under uncertainty is equivalent to another optimal decision problem under complete information. 1. (This result. After this. heavy car which does not maneuver easily. It is of crucial importance to invent schemes to coordinate the actions of the individual decisionmakers in a consistent manner.
INTRODUCTION .6 CHAPTER 1.
xn ) and y = (y1 . Thus if x = (x1 . . We ﬁrst establish some notation which will be in force throughout these Notes. . matrix multiplication. 7 . Then we study our example. then Aj denotes the jth column of A. . . . . . Note that Ai is a row vector. . xn ). .1. If A is an m × n matrix. with two consistent exceptions mentioned in 2.1. .2 If x = (x1 . and x = (x1 . . Some additional properties are mentioned in the last section. If confusion is likely. yn ) √ then x y = x1 y1 + . . . but no confusion will result. we write In to denote the n × n identity matrix.1 All vectors are column vectors. and Ai denotes the ith row of A. . . In particular if x ∈ Rn . + xn yn as in ordinary n we deﬁne x = + x x. n. . . 2. and then we also write A = {aij }. i = 1. and different vectors denoted by the same symbol are distinguished by superscripts as in xj and xk . . this entry is sometimes also denoted by the lower case letter aij . . . . .Chapter 2 OPTIMIZATION OVER AN OPEN SET In this chapter we study in detail the ﬁrst example of Chapter 1. If x ∈ R 2. 0 denotes both the zero vector and the real number zero. Aj denotes the entry i of A in the ith row and jth column. Prime denotes transpose so that if x ∈ Rn then x is the row vector x = (x1 . . . .1.3 Matrices are normally denoted by capital letters. Vectors are normally denoted by lower case letters.5 below and some other minor and convenient exceptions in the text. i = 1. .3 and 2. . . xn ) and y = (y1 . . . . its size will be clear from the context. xn ) .1. 2. then x ≥ 0. . if xi ≥ 0. I denotes the identity matrix. This will generalize to a canonical problem. yn ) then x ≥ y means xi ≥ yi . the properties of whose solution are stated as a theorem. the ith component of a vector x ∈ Rn is denoted xi . . . n.1 Notation 2.1.
y) → f (x. . . . and similarly x ˆ x ˆ x ˆ x ˆ fy (ˆ. . Thus. in terms of the notation in Section 2. x ∂x1. i = 1. . OPTIMIZATION OVER AN OPEN SET 2. y )). y ). v = total amount of mixture produced. . p). . (∂f /∂xn )(ˆ)). Finally. and if the argument x x x ˆ x x is clear from the context it may be dropped.5 above. fm . . 2. y ) is the ndimensional x ˆ row vector fx (ˆ. . ˆ x x This derivative is denoted by (∂f /∂x)(ˆ) or fx (ˆ) or ∂f /∂xx=ˆ or fx x=ˆ .2 Example We consider in detail the ﬁrst example of Chapter 1. Deﬁne the following variables and functions: α = fraction of maryjohn in proposed mixture. y) is a differentiable function from ˆ Rn × Rm into R. Note that fi : Rn → R. ˆ (ˆ) = fx x = x . .1. y ) = (∂f /∂x)(ˆ. .1. . . . . . (∂f /∂xn )(ˆ. .. its ith component is written fi . y ) = ((∂f /∂x1 )(ˆ. . if f : Rn → Rm is x ˆ x ˆ x ˆ x ˆ a differentiable function with components f1 . x x and is called the gradient of f at x. . the partial derivative of f with respect to x at the point (ˆ. For example. y )). y ) = (∂f /∂y)(ˆ.1. . . we can write F : x → Ax to denote the function f : Rn → Rm whose value at a point x ∈ Rn is Ax. = . y ) = ((∂f /∂y1 )(ˆ. ∂fm (ˆ) x ∂x1 ∂f1 x ∂xn (ˆ) .8 CHAPTER 2. Sometimes we describe a function by specifying a rule to calculate f (x) for every x. ∂x fmx (ˆ) x ∂f1 (ˆ) . p = sale price per pound of mixture. then its derivative at x is the m × n matrix ˆ x f1x (ˆ) ∂f . . the derivative of f at x is the row vector ((∂f /∂x1 )(ˆ). . ∂fm x ∂xn (ˆ) 2. If f : (x. its second derivative at x is the n×n matrix (∂ 2 f /∂x∂x)(ˆ) = ˆ x fxx (ˆ) where (fxx (ˆ))j = (∂ 2 f /∂xj ∂xi )(ˆ).6 If f : Rn → R is twice differentiable. f (α. The column vector (fx (ˆ)) is also denoted x f (ˆ). In this case we write f : x → f (x).4 If f : Rn → Rm is a function. x x 2. . y ). . . . x x i x fxx (ˆ) = (∂/∂x)(fx ) (ˆ).. m. p) = expected sales volume (as determined by market research) of mixture as a function of(α.1. (∂f /∂ym )(ˆ.5 If f : Rn → R is a differentiable function. if A is an m × n matrix. .
e. Hence there exits ε > 0 such that (α. p) = R(α. p∗ ). 0 < p < ∞}. Suppose that (α∗ . p is C(α. The revenue is R(α. h2 )) ∈ Ω for 0 ≤ δ ≤ η (2. p∗ ) ≥ N (α. EXAMPLE Since it is not proﬁtable to produce more than can be sold we must have: v = f (α. p) − (α∗ . p∗) is an optimal decision. p) for all (α. 9 Evidently.2. p) = pf (α. m = amount (in pounds) of maryjohn purchased.3) .2. The set of admissible decisions is Ω.1) We are going to establish some properties of (a∗ . p) = P1 (αf (α. Let P1 (m) = purchase price of m pounds of maryjohn. and P2 = purchase price per pound of tobacco. i. so that the net proﬁt is N (α. p∗ ) < ε (2. p)) + P2 (1 − α)f (α. Formally.. p). we 2 have the the following decision problem: Maximize N (α. p). subject to (α. p) ∈ Ω whenever (α. p). where Ω = {(α. (α∗ .2) implies that for every vector h = (h1 . p). First of all we note that Ω is an open subset of R2 . h2 ) in R2 there exists η > 0 (η of course depends on h) such that ((α∗ . p). m = αv.2) In turn (2. p) − C(α. p)0 < α < 1 . p∗ ) ∈ Ω and N (α∗ . p∗ ) + δ(h1 . Then the total cost as a function of α. p) ∈ Ω. (2. and t = amount (in pounds) of tobacco purchased. and t = (l − α)v. p) ∈ Ω.
4) yields 0 ≥ δ[ ∂N (α∗ . Combining (2. (2.8). p∗ ) N (α∗ + δh1 .6) we get 0 ≥ [ ∂N (α∗ . p∗ )h1 + ∂α ∂N ∗ ∗ ∂p (α . (2. p∗ ) is optimal.8) Thus. Ω δh (a∗ .6) Substitution of (2. p∗ )  h p Figure 2. h2 ) . p∗ ) + δ(h1 . where oδ δ ∂N ∗ ∗ ∂p (α .1: Admissable set of example.5) → 0 as δ → 0. and using (2.9) Before evaluating the usefulness of property (2. p∗ ) ≥ N (α∗ + δh1 . + o(δ) δ . p∗ )h1 + ∂α +o(δ). p∗ + δh2 ) for 0 ≤ δ ≤ η Now we assume that the function N is differentiable so that by Taylor’s theorem N (α∗ .1) we obtain (2. let us prove a direct generalization. p∗ )h1 + ∂α Dividing by δ > 0 gives 0 ≥ [ ∂N (α∗ . p∗ + δh2 ) = +δ[ ∂N (δ∗ . . using the facts that N is differentiable. p∗ )h1 + ∂α ∂N ∗ ∗ ∂p (α . p ) = 0.9) holds for every vector h ∈ R2 .4) (2.5) into (2. Clearly this is possible only if ∂N ∗ ∗ ∂α (α . p )h2 ] ∂N ∗ ∗ ∂p (α . (2.7). OPTIMIZATION OVER AN OPEN SET 1 2 (α∗ . p )h2 ] (2. and δ is open. p )h2 ].3) with (2. (α∗ . p ) = 0. p )h2 ] + o(δ).7) Letting δ approach zero in (2. ∂N ∗ ∗ ∂p (α .10 α CHAPTER 2. we have concluded that the inequality (2.4): N (α∗ . (2.
3 The Main Result and its Consequences 2. we must have 0= and the theorem is proved.11) Proof: Since x∗ ∈ Ω and Ω is open.12) In turn.15) → 0 as δ → 0 (2. Let x∗ be an optimal solution of the following decisionmaking problem: Maximize f (x) subject to x ∈ Ω. (2.1 Theorem .17) and taking (2.2. we must then have f (x∗ ) ≥ f (x∗ + δh) whenever 0 ≤ δ ≤ η. ∂f ∗ ∂x (x ). ♦ .14) + o(δ).3.16) into account.10) = 0. Then ∂f ∗ ∂x (x ) (2.12) implies that for every vector h ∈ Rn there exits η > 0 (η depending on h) such that (x∗ + δh) ∈ Ω whenever 0 ≤ δ ≤ η.16) Substitution of (2. THE MAIN RESULT AND ITS CONSEQUENCES 11 2.18) Since the inequality (2. Since f is differentiable.18) must hold for every h ∈ Rn .14) yields 0 ≥ δ ∂f (x∗ )h + o(δ) ∂x and dividing by δ > 0 gives 0≥ ∂f ∗ ∂x (x )h + o(δ) δ (2. Let f : Rn → R be a differentiable function. (2.3. we see that 0≥ ∂f ∗ ∂x (x )h. Since x∗ is optimal.17) Letting δ approach zero in (2. by Taylor’s theorem we have f (x∗ + δh) = f (x∗ ) + where o(δ) δ ∂f ∗ ∂x (x )δh (2. there exists ε > 0 such that x ∈ Ω whenever x − x∗  < ε. Let Ω be an open subset of Rn . (2. (2.15) into (2. (2.13) (2.
Equation (2. However.11) and its special case (2. or. p∗ ) ∂R ∗ ∗ ∂α (α . 1). In practice this may be a very difﬁcult problem since these may be nonlinear equations and it may be necessary to use a digital computer. . marginal revenue = marginal cost.11) gives us n equations which must be satisﬁed at any optimal decision x∗ = (x∗ . OPTIMIZATION OVER AN OPEN SET Table 2. We have obtained an important economic insight. .1 illustrate these cases. ∂f ∗ ∂x2 (x ) = 0.18).1? Yes Yes No No No Further Consequences x∗ is the unique optimal 2.3. Equation (2. . and it does not give us sufﬁcient conditions either.6 below).12 CHAPTER 2. Let us evaluate the usefulness of (2.2 satisﬁed? Exactly one point. . We return to the example and recall the N = R − C. n 1 These are ∂f ∗ ∂x1 (x ) = 0. In summary. The theorem may also have conceptual signiﬁcance. say x∗ More than one point None Exactly one point More than one point Case 1 2 3 4 5 Does there exist an optimal decision for 2.2 Consequences. p ) = ∂C ∗ ∗ ∂p (α .4 Remarks and Extensions 2.2. . More generally. Suppose that R and C are differentiable. The diagrams in Figure 2. Note that in the last three ﬁgures there is no optimal decision since the limit points 1 and +1 are not in the set of permissible decisions Ω = (−1. p ).19) Thus.1 may x ˜ occur. in these Notes we shall not be overly concerned with numerical solution techniques (but see 2. 1). every optimal decision must be a solution of these n simultaneous equations of n variables. x∗ ) . p ) = ∂C ∗ ∗ ∂α (α . In each case Ω = (−1. the theorem does not give us any clues concerning the existence of an optimal decision. . any one of the ﬁve cases in Table 2.11) is only a necessary condition for x∗ to be optimal. There may exist decisions x ∈ Ω ˜ such that fx (˜) = 0 but x is not optimal.1 At how many points in Ω is 2. . so that the search for an optimal decision from Ω is reduced to searching among the solutions of (2. . ∂R ∗ ∗ ∂p (α . ∂f ∗ ∂xn (x ) =0 (2.4.4.18) implies that at every optimal decision (α∗ . in the language of economic analysis.19).1 A warning.2. 2. p ). in which case (2. .
and if f is continuous.4.e. 2. then +1 is the optimal decision but the derivative is positive at that point. Thus. if Ω = [−1.20) where o(δ2 ) → 0 as δ → 0. Indeed.4.. Suppose f is twicedifferentiable and let x∗ ∈ Ω be optimal or even locally optimal. if we have a twice differentiable objective function. We say that x∗ ∈ Ω is a locally optimal decision if there exists ε > 0 such that f (x∗ ) ≥ f (x) whenever x ∈ Ω and x∗ − x ≤ ε.4 Secondorder conditions. then it follows by the Weierstrass Theorem that there exists an optimal decision. This means that fxx (x∗ ) is a negative semideﬁnite matrix.5 Sufﬁciency for local optimal. and by Taylor’s theorem f (x∗ + δh) = f (x∗ ) + 1 δ2 h fxx (x∗ )h + o(δ2 ).1.20) we can conclude that x∗ is a local optimum. Then fx (x∗ ) = 0. . It is easy to see that the theorem holds (i. But then from the expansion (2. we get an additional necessary condition. fx (x∗ ) = 0 and fxx is strictly negative deﬁnite. If the set of permissible decisions Ω is a closed and bounded subset of Rn . Now for δ > 0 sufﬁciently small f (x∗ + δh) ≤ f (x∗ ). REMARKS AND EXTENSIONS 13 1 Case 1 1 1 Case 2 1 1 Case 3 1 1 Case 4 1 1 Case 5 1 Figure 2. 2. 1].2 Existence.2: Illustration of 4.4. 2 2 (2. But if Ω is closed we cannot assert that the derivative of f vanishes at the optimum. so that dividing δ by δ2 > 0 yields 0 ≥ 1 h fxx (x∗ )h + 2 o(δ2 ) δ2 and letting δ approach zero we conclude that h fxx (x∗ )h ≤ 0 for all h ∈ Rn .11) for local optima also.3 Local optimum.4. in the third ﬁgure above.4. Suppose at x∗ ∈ Ω. 2. 2.2. 2.
To start the process we let d−1 > 0 be arbitrary. fx (x∗ ) = 0. If x f (xi ) = 0.4. f (˜ + ε x ˜ x x f (˜)) > f (˜) for all ε > 0 sufﬁciently small. i. Go to Step 2.6 A numerical procedure. Let {di } be produced by either of these choices and let {xi } be the resulting sequence. Another choice is to let di = di−1 if f (xi + di−1 x f (xi )) > f (xi ). For other numerical procedures the reader is referred to Zangwill [1969] or Polak [1971]. For instance.e. i 2. The step size di can be selected in many ways. Set i = 0. Pick x0 ∈ Ω. Exercise: Let f be continuous differentiable. Otherwise let xi+1 = xi + di x f (xi ) and go to Step 3. .14 CHAPTER 2. OPTIMIZATION OVER AN OPEN SET 2. This observation suggests the following scheme for x x ﬁnding a point x∗ ∈ Ω which satisﬁes 2. otherwise let di = 1/k di−1 where k is the smallest positive integer such that f (xi + 1/k di−1 x f (xi )) > f (xi ). stop.. Step 3. Step 1. Step 2. if x∗ ∈ Ω is a limit point of the sequence {xi }. We can formalize the scheme as an algorithm. Set i = i + 1 and return to Step 2.11. one choice is to take di to be an optimal decision for the following problem: Max{f (xi + d x f (xi ))d > 0. Then 1. At any point x ∈ Ω the gradient x f (˜) is a direction along which f (x) increases. Calculate x f (xi ). (xi + d x f (xi )) ∈ Ω}. f (xi+1 ) > f (xi ) if xi+1 = xi . This requires a onedimensional search.
y) ∈ V iff f y = g(x).2). y) = 4xy subject to (x. y ∗ ) ≥ f0 (x. so that this assertion follows from the Implicit Function Theorem. y) = α}.1 (3. The assertion is false if y ∗ = 0. Since Note that y ∗ = 0 implies f1y (x∗ . Hence.1) The problem can be formalized as follows (see Figure 3. y ∗ ). 1 15 . y)f1 (x.2) The main difference between problem (3. y) in an open set containing (x∗ .Chapter 3 OPTIMIZATION OVER SETS DEFINED BY EQUALITY CONSTRAINTS We ﬁrst study a simple example and examine the properties of an optimal decision.2) and the decisions studied in the last chapter is that the set of permissible decisions Ω is not an open set. x∗ + ε) → V such that f1 (x. y) = x2 a2 y2 b2 + = α. and that f1 (x. This will generalize to a canonical problem. y ∗ ). (3. In the present case let 0 < ε ≤ a − x∗ and g(x) = +b[α − (x/a)2 ]1/2 . and (iii) a differentiable function g : (x∗ − ε.3) In particular this implies that y ∗ = g(x∗ ). (ii) an open set V containing (x∗ . (3. Then from ﬁgure 3. y) ∈ Ω = {(x. Y ∗ ) = 0. g(x)) = α whenever x − x∗  < ε. Clearly then either x∗ = 0 or y ∗ = 0. Returning to problem (3. y) for all (x.1 Example We want to ﬁnd the rectangle of maximum area inscribed in an ellipse deﬁned by f1 (x. if (x∗ . y ∗ ) is an optimal decision we cannot assert that f0 (x∗ . and the properties of its optimal decisions are stated in the form of a theorem.1 it is evident that there exist (i)ε > 0. y ∗ ) is an optimal decision. y) = α and (x. Additional properties are summarized in Section 3 and a numerical scheme is applied to determine the optimal design of resistive networks. Let us suppose y ∗ = 0. 3. suppose (x∗ .1): Maximize f0 (x.
1. g(x∗ )) is optimum for (3. which we can also express as ˆ so that by Theorem 2.4) is an open set (in R1 ) and the objective function f0 is differentiable. y ∗ ). OPTIMIZATION WITH EQUALITY CONSTRAINTS Tangent plane to Ω at (x∗ .4) ˆ But the constraint set in (3. y ∗ ) + f1y (x∗ . y ∗ ) = (x∗ .5) and substitute in (3. g(x)) ≡ α for x − x∗  < ε.6): −1 f0x − f0y f1y f1x = 0 at (x∗ . y ∗ )gx (x∗ ) = 0. (x∗ .4): ˆ Maximize f0 (x) = f0 (x.5) to obtain the condition (3. (3. y ∗ ) + f0y (x∗ .6) Thus an optimal decision (x∗ . y ∗ ) must satisfy the two equations f1 (x∗ . and since f1y (x∗ .1: Illustration of example. g(x)) subject to x − x∗  < ε. f0x (x f0x (x∗ . y ∗ ).2).6). − (α/2) . y ∗ ) = 0 we can evaluate gx (x∗ ). y ∗ ) (f1x . we see that f1x (x∗ .3. −1 gx (x∗ ) = −f1y f1x (x∗ . y ∗ ) = α and (3.16 CHAPTER 3. (3. f1y ) y∗ g(x) V ( x∗ x  ) Ω Figure 3. ∗ ) = 0. it follows that x∗ is an optimal solution for (3. y∗ = + 1/2 b. Solving these yields x∗ = + 1/2 a − (α/2) . (3. y ∗ )gx (x∗ ) = 0 Using the fact that f1 (x.
8) Then (3. . . . . . j ≤ m.12) Suppose that at x∗ the derivatives fix (x∗ ). . then by relabeling the coordinates of x if necessary. Finally we note that λ∗ = where m(α) = maximum area. .9) which means that at an optimal decision the gradient of the objective function f0 is normal to the plane tangent to the constraint set Ω. Let x∗ (α) be an optimal decision for (3. b). . Then there exists a vector λ∗ = (λ∗ . . y ∗ ). and (λ∗ ) = ∂m ∂α (3. αm ) . .11) 3.14) Proof. i = 0.2. y ∗ ) In terms of the gradients of f0 . . f0y ) = λ∗ (f1x . let m(α1 . . If x∗ (α) is a differentiable function of α then m(α) is a differentiable function of α.12) as a function of α = (α1 . . . are linearly independent. 1 ≤ i. f1 . + λ∗ fmx (x∗ ) m 1 (3. m.9): (f0x . . (3. . . m. y ∗ ) = m(α) = 2αab. i = 1. Deﬁne −1 λ∗ = f0y f1y (x∗ . . . y ∗ ) = [ f1 (x∗ . .6) can be interpreted differently.13) Furthermore. αm ) be the maximum value of (3. 1. . + 1/2 (a. . m (m < n). Let fi : Rn → R. we can assume that the m × m matrix [(∂fi /∂xj )(x∗ )]. Since fix (x∗ ).6) and (3. (3.3. (ii) an . be continuously differentiable functions and let x∗ be an optimal decision of problem (3. i = 1. is nonsingular. . y ∗ )]λ∗ . m. i = 1. .2 General Case 3. . f1y ) at (x∗ .10) (3.2. .1 Theorem. − (α/2) 17 and the maximum area is (3. The condition (3. λ∗ ) such that m 1 f0x (x∗ ) = λ∗ f1x (x∗ ) + . . . GENERAL CASE Evidently there are two optimal decisions. (3. (3. (x∗ .9) is equivalent to f0 (x∗ .12): Maximize f0 (x) subject to fi (x) = αi . ∂m ∂α . . .7) (3.8) can be rewritten as (3.12). are linearly independent. By the Implicit Function Theorem (see Fleming [1965]) it follows that there exist (i) ε > 0.
gu (u∗ ) = −[fw (x∗)]−1 fu (x∗ ). u∗ ). where U = [(xm+1 .19) and (3. Differentiating (3. and (iii) a differentiable function g : U → Rm . . . . this is the same as f0x (x∗ ) = (λ∗ ) fx (x∗ ) = λ∗ f1x (x∗ ) + . . . . (3. .3.21): (f0w (x∗ ). . OPTIMIZATION WITH EQUALITY CONSTRAINTS open set V in Rn containing x∗ .15) For convenience.21) . fu (x∗ )). . and (xm+1 . . which we can also express using the chain rule for derivatives as ˆ f0u (u∗ ) = f0w (x∗ )gu (u∗ ) + f0u (x∗ ) = 0. xn ). . . . . + λ∗ fmx (x∗ ). . . In particular this implies that x∗ = gj (x∗ .1 . xn ) = αi .18) (3. . . = 1.20) Then (3. . i = 1.12). . .19) Next. . .20) can be written as (3. u∗ ) = (g(u∗ ). . .18) to obtain the condition −1 −f0w fw fu + f0u = 0 at x∗ = (w∗ . xn ) ∈ V iff xj = gj (xm+1 . . and substitute in (3. . Since x = (w. x∗ ). 1 ≤ i ≤ m. . and n m+1 j fi (g(xm+1 . . .16) (3. m 1 (3. n − m]. let us deﬁne w = (x1 . deﬁne the mdimensional column vector λ∗ by −1 (λ∗ ) = f0w fw x∗ .17) ˆ But U is an open subset of Rn−m and f0 is a differentiable function on U (since f0 and g are ˆ differentiable). u). . fm ) . m. . xn ) = αi . . . f0u (u∗ ) = 0. xm+1 . .2). (3. since x∗ = (w∗ . . u) subject to u ∈ U. . . . u∗ ) is optimal for (3. xn )] xm+ − x∗  < ε. . xn ) . 1 ≤ j ≤ m. . 1 ≤ j ≤ m.16) with respect to u = (xm+1 . xn ) ∈ U (see Figure 3. . f0u (x∗ )) = (λ∗ ) (fw (x∗ ). . so that by Theorem 2. u = (xm+1 . xn ). it follows that u∗ is an optimal decision for (3.18 CHAPTER 3. xm ) . (3. . . . (3. . and (x1 . . and since the m × m matrix fw (x∗ ) is nonsingular we can evaluate gu (u∗ ). . . xn ) and f = (f1 . . . we see that fw (x∗ )gu (u∗ ) + fu (x∗ ) = 0. .17): ˆ Maximize f0 (u) = f0 (g(u). . . . such that m+ fi (x1 . . Then. .
We deﬁne w∗ (α) = (x∗ (α). say N . say α. it follows that f is x w nonsingular at x∗ (α) in a neighborhood of α. GENERAL CASE x1 . xn ) (x∗ . x∗ α)) . . . . . . . . x∗ ) n m+1 (3.24) Differentiating (3. . . . . Also. ∗ V xm+1 U xn 2 Figure 3. By hypothesis. . xn ) (x∗ . x∗ (α)) and u∗ (α) = (x∗ (α). .22) with respect to α gives ∗ fw wα + fu u∗ = I. . . m(α) = f0 (x∗ (α)). We have the equation f (w∗ (α).2.3. Since f (x) and x∗ (α) are continuously differentiable by hypothesis. −1 −f0w fw fu + f0u = 0 at (w∗ (α). α so that ∗ −1 −1 wα + fw fu u∗ = fw . (xm+1 . To prove (3. .13). u∗ (α)). we vary α in a neighborhood of a ﬁxed value. . . .x . so that ∗ mα = f0w wα + f0u u∗ α (3. x∗ ) m 1 Ω= {xf i (x) = αi } i = 1. . x m 19 g(xm+1 . fw is nonsingular at m 1 m+1 ( ∗ (α). m . . . . .2: Illustration of theorem. . . α . . . . which is equation (3. .22) (3. . u∗ (α)) = α.23) for α ∈ N .14). . . .
.12 deﬁne a n − m dimensional surface Ω = {xfi (x) = αi .20) and (3. u) in Ω which is not necessarily optimal. so that the set of (column vectors orthogonal to this tangent surface is {λ1 x (3. u) = α. . if we substitute from (3.2 Geometric interpretation. The ˆ at u is derivative of f0 ˜ ˆ u ˜ f0u (˜) = f0w gu + f0u˜ = −λ fu (˜) + f0u (˜). the direction of steepest increase of f0 at u is ˜ u u f0 (˜) ˆ = −fu (˜)λ + fOu (˜) . the m equations f (w. u can then vary ˜ arbitrarily in a neighborhood of u. u). .28) in the last section. OPTIMIZATION WITH EQUALITY CONSTRAINTS and multiplying on the left by f0w gives ∗ −1 −1 f0w wα + f0w fw fu u∗ = f0w fw . .14) and the theorem is proved. Condition (3. The equality constraints of the problem in 3. i = 1. w must change according to w = g(u) (in order to ˜ ˆ maintain f (w. .2. . . u f0 (˜) = 0 which. this equation can be rewritten as ∗ −1 f0w wα + f0u u∗ = f0w fw . Let us again deﬁne w = (x1 . + λm x fm (x∗ )λi ∈ R. . 3. m}.2. . i = 1. 3.20 CHAPTER 3.26) f1 (x∗ ) + .3 Algebraic interpretation. .13) is therefore equivalent to saying that at an optimal decision x∗ . . . Suppose that fw (˜) is nonsinx gular at some point x = (w.25) ♦ In (3.28) ˆ u and if u is optimal. the gradient of the objective function x f0 (x∗ ) is normal to the tangent surface (3. . . . .12). α Using (3.27) is equation (3.23). xm ) and u = (xm+1 . x (3. . . . We shall use (3. m}. together with (3.27) ˜ and (3.13). α (3. . . u) = α). xn ) . . and the objective function changes according to f0 (u) = f0 (g(u). The hypothesis of linear independence of {fix (x∗ )1 ≤ i ≤ m} guarantees that the tangent plane through Ω at x∗ is described by {hfix (x∗ )h = 0 . Then the Implicit Function ˜ ˜ ˜ Theorem enables us to solve. i = 1. in a neighborhood of x. .25).27) ˆ Therefore. x x x where −1 ˜ λ = f0w fw˜ . As u varies. we obtain (3. m}. x ˜ x (3.24).
1. This is possible because the function g is uniquely speciﬁed by (3. it is useful to translate these the comments of Section 2.e. and its proof is left as i=1 an exercise. (3.3 Remarks and Extensions 3.12) and (3. i . and a necessary condition for x∗ to be optimal for (3. L(x) = f0 (x) − i=1 λ∗ fi (x). Then there exists λ∗ ∈ Rm such that (x∗ . The following is a reformulation of 3. λ∗ ) = 0 and Lλ (x∗ . Keeping the notation of Theorem 3. 1 ≤ i ≤ m.2 An alternative condition.16) in a neighborhood of x∗ . the following exercise expresses if this matrix is negative deﬁnite then x ˆ f f0uu (u∗ ) in terms of derivatives of the functions fi . 0 ≤ i ≤ m.12).3. .13) and ˆ the condition that the (n − m) × (n − m) matrix f0uu (u∗ ) is negative semideﬁnite. The necessary condition (3.29) 3.3. 3.3.. I (w∗ . if f is twice differentiable. 1 ≤ i ≤ m. ˆ Since we can convert the problem (3. Furthermore. and suppose that fix (x∗ ). Exercise: Show that . are linearly independent. then so is f0 . REMARKS AND EXTENSIONS 21 3.3. However.. deﬁne the Lagrangian function L : Rn+m → R by L : (x. u∗ ) gu (u∗ ) = −[fw (x∗ )]−1 fu (x∗ ). This can be checked in the following example Minimize subject to sin(x2 + x2 ) 1 2 π 2 2 2 (x1 + x2 ) = 1.I] where m Lww Lwu Luw Luu gu . It follows that if the functions fi . ∗ is a local optimum. are twice continuously ˆ differentiable. λ∗ ) = 0.12) into a problem of maximizing f0 over an open set. i. λ∗ ) is a stationary point of L.3. Furthermore. all ˆ . so is g (see Fleming [1965]).3 Secondorder conditions. Lx (x∗ .2.. Let x∗ be optimal for (3. are not linearly independent.1 The condition of linear independence. λ) → f0 (x) − m λi fi (x).4 will apply to the function f0 remarks in terms of the original function f0 and f . ˆ f0uu (u∗ ) = [gu .12.13) need not hold if the derivatives fix (x∗ ).
no essential simpliﬁcation is achieved. . 1 ≤ i ≤ m. .4 A numerical procedure. (3. . . vsk are the source current and voltage in the kth branch. denote the vectors of branch voltages and branch currents. 2 (3. Calculate λk −1 ˆk ˆk by (λk ) = f0w fw(xk). We choose one of the nodes as datum and denote by e = (e1 . . gb ) . so that (3. . stop. . 1 ≤ k ≤ b. are linearly independent for all x. 1 ≤ i ≤ m. Otherwise go to Step 3. Then the following algorithm is a straightforward adaptation of the procedure in Section 2. and the ease with which we can ﬁnd wk so that f (wk . jb ) respectively. Step 2.22 CHAPTER 3. u)2 of the variables such that fw (xk ) is nonsingular. . p ) which are under our control.3. . Let A be the n × b reduced incidence matrix of the network graph. and f0 (uk ) = −fu (xk )λk + f0u (xk ). .3. and g = (g1 .33) This is just a notational convenience.3. Set uk = uk + dk f0 (uk ). vs ∈ Rb for the sources. vr ∈ Rb for the resistor voltages.4. uk ) = 0. In the next section we apply this algorithm to a practical ˜ ˜ ˜ problem where these two steps can be carried out without too much difﬁculty.31) where vrk is the voltage across the resistor. we can rewrite (3. p). Then the Kirchhoff current and voltage laws respectively yield the equations Aj = 0 and A e = v (3. 3. . . Step 1. . thus enabling us to calculate λk . let us suppose that there are design parameters p = (p1 . Find wk such that fi (wk . .30) Next we suppose that each branch k contains a (possibly nonlinear)resistive element with the form shown in Figure 3. . The w variable may consist of any m components of x. Find a partition x = (w. u) so that fw (xk ) is nonsingular.31): j − js = g(v − vs ) = g(vr ). and return to Step 2. the step sizes dk > 0 can be selected various ways. Furthermore.32): j − jx = g(vr . (3. p) = g(v−v s . x ˜ ˜ Remarks. uk ). en ) the vector of nodetodatum voltages. Here jsk . ˆk Step 3. so that jk − jsk = gk (vrk ) = gk (vk − vsk ). Set ˜ ˜ ˜ ˜ k+1 = (wk . vb ) and j = (j1 . 1 ≤ i ≤ m. OPTIMIZATION WITH EQUALITY CONSTRAINTS 3. Hence.32) Although (3. Find x0 arbitrary so that fi (x0 ) = αi . The practical applicability of the algorithm depends upon two crucial factors: the ease with which we can ﬁnd a partition x = (w. and gk is the characteristic of the resistor. uk ) = α. in (3. Using the obvious vector notation js ∈ Rb . . . set k = k + 1. .30) as (3.5 Design of resistive networks. .31) is replaced by (3. As before. . Orient the network graph and let v = (v1 . Consider a network N with n + 1 nodes and b branches. This allows us to include coupled resistors and voltagecontrolled current sources. If f0 (uk ) = 0. Set k = 0 and go to Step 2. We assume that the derivatives fix (x). .30) implies that the current (jk −j s k) through the kth resistor depends only on the voltage vrk = (vk −v sk ) across itself.6.31) we shall assume that gk is a function of vr .
v ˜ v ˜ .3.33).32) we obtain (3. vs .. p) driven by the current sources f0e (˜). REMARKS AND EXTENSIONS jsk jk − jsk jk o 23 + + vsk  vrk +  o vk  Figure 3. p. is ) there is a unique e = E(p. p.33) ˜ with (3.36) has the following extremely interesting physical interpretation.27)) ﬁxed point. p)A λ = f0e (˜). p). vs . p) is called the adjoint network (of N ) at (˜r . is ) = Ag(A e−v s . p) = is . p) − is = 0.3.29) and (3. λ is the solution (unique by ˜ ˜ ˜ v ˜ v ˜ assumption (b)) of the following linear equation: AG (˜r . is the transpose of the incremental branch admittance matrix (evaluated at (˜r . Also let f (x) = f (e.35) We shall apply the algorithm 3. p)) v ˜ v ˜ of the original network N . v ˜ ˜ x (3. p) − is . Therefore. its branch admittance matrix.34) where we have deﬁned is = Ajs . if we let x = (e. (3.37) (3. (b) g is differentiable and the n×n matrix A(∂g/∂v)(v. p)A . If we compare (3. Now the crucial part in the algorithm is to obtain λk at some point xk . is ). vs . In terms of the notation of 3. (3. vs . x −1 x x −1 x From the deﬁnition of f we have fe (˜) = AG(˜r .36) we see immediately that λ is the nodetodatum response voltages of a linear network N (˜r . G (˜r .36) Now (3. then assumption (b) allows us to identify w = e. To do this we make the following assumption. vs . is so as to minimize some speciﬁed function f0 (e.33) is determinate i.34): Minimize f0 (e. is ) satisfying (3. for every value of (p. is ) subject to Ag(A e − vs . p). p)A is nonsingular for all v ∈ Rb . p ∈ R . vs . is ). For this reason. Formally. is ). vs . p. vs . this network has the same graph as v ˜ x the original network (since they have the same incidence matrix). p.3. To this end let x = (˜. The network design problem can then be stated as ﬁnding p. Assumption: (a) f0 is differentiable. p).33): Ag(A e − vs . vs .3.3: The kth branch. x v ˜ ˜ where vr = A e − vs . (c) The network N described by (3. Then the corresponding λ = λ ˜ λ = f0w (˜)fw (˜) = f0e (˜)fe (˜).4. and u = (p. Furthermore.4 to this problem. If we combine (3. we have the optimization problem (3. p) = (∂g/∂vr )(˜r . moreover.e. and G(˜r . p. ˜s ) be a ˜ e ˜ ˜ i ˜ is given by (see (3. N (˜r .
j ∈ J. t ∈ T .33). pk ) driven by the current source f (xk ). This latter step may be very complex. will correspond to bias voltages for the transistors in the network. ik+1 ). Suppose that is is ﬁxed. OPTIMIZATION WITH EQUALITY CONSTRAINTS u u f0 (˜) ˆ using (3. one can use a more general cutset matrix. Calculate vr = A ek − vs . Their derivation of the adjoint network does not appear as transparent as the one given here. where as vsj = vsj − dk (∂ f0 /∂vsj )(uk ) and ˆ ik+1 = ik − dk (∂ f0 /∂ism )(uk ) with j and m ranging only over the controllable components and sm sm the rest of the components equal to their speciﬁed values. Although we have used the incidence matrix A to obtain our network equation (3. and let (3.38) 0 0 Step 1. t ∈ T . Remember we are minimizing f0 . Select u0 = (p0 . j ∈ J. Some of the components vt . ik+1 ) = uk − dk u f0 (uk ).37). i0 ). The only change this requires in the algorithm is that in Step 3 we set k+1 k ˆ ˆ pk+1 = pk − dk f0p (uk ) just as before. If this gradient is zero. Calculate the nodetodatum response λk of k . For each choice of vsj .33) model the dc behavior of this circuit. Otherwise go to Step 3. vs . with relative magnitudes reﬂecting the importance of the different transistors then we can formulate the criterion Note the minus sign in the expression uk − dk maximizing (−f0 ). vsj for j ∈ J are variable.37): ∂g ˆ u f0p (˜) x f0p (˜) v ˜ [ ∂p (˜r . Similarly. calculate f0e (xk ).33) to obtain e0 = E(p0 . and one nonlinear network analysis step (the computation of ek+1 in step 3). Remark 2. vs . Remark 3.] Let N be a transistor circuit.28). 3 u ˆ f0 (uk ). stop. the rest being ﬁxed. k+1 ˆ Step 3. Elementary calculations yield ˜ Once we have obtained λ we can obtain (3. we obtain the vector e and / hence the branch voltage vector v = A e.” Exercise: [DC biasing of transistor circuits (see Dowell and Rohrer [1971]). The interpretation of λ as the response of the adjoint network has been exploited for particular function f0 in a series of papers (director and Rohrer [1969a]. In every case the “adjoint” network arises from a network interpretation of (3. [1969c]). In practice we can control only some of the components of vs and is . Let uk+1 = (pk+1 . s s Remark 1. where dk > 0 is a predetermined s 3 Solve (3. k k Step 2. and we wish to choose vsj .33) to obtain ek+1 = (Epk+1 . x ˜ x with the transpose of the matrix giving rise to the adjective “adjoint. Calculate ˆ k the adjoint network N (vr u f0 (u ) from 0e (3. If we choose nonnegative numbers αt . [fw (˜)] λ = f0w (˜). Let k = 0 and s s go to Step 2. which is equivalent to . v k+1 . Solve (3. Each iteration from uk to uk+1 requires one linear network analysis step (the computation of λk in Step 2). p)A λ + f0v (˜) x u v ˜ u f0 (˜) = f0vs (˜) = s ˆ u f0is (˜) x −I f0is (˜) We can now state the algorithm. i0 ) arbitrary. so that vt is as d close as possible to a desired bias voltage vt .24 CHAPTER 3. and vsj for j ∈ J are ﬁxed.27). p)] A ˆ ˜ ˆ u G (˜r . (3. more general representations of the resistive elements may be employed. vs . Set k = k + 1 and return to Step 2. [1969b]. step size.
3. REMARKS AND EXTENSIONS f0 (e) = t∈T 25 αt vt −v d 2 .3. t (i) Specialize the algorithm above for this particular case. (ii) How do the formulas change if the network equations are written using an arbitrary cutset matrix instead of the incidence matrix? .
OPTIMIZATION WITH EQUALITY CONSTRAINTS .26 CHAPTER 3.
Additional miscellaneous comments are collected in the last section. the faculty can 40 offer 2(750) + 3(250) = 2250 seminars and 6(750) + 3(250) = 5250 lecture courses. On the supply side of our accounting. For a detailed and readily accessible treatment of the material presented in this chapter see the companion volume in this Series (Sakarovitch [1971]). 000 . Because of his contractual agreements. Recall Example 2 of Chapter I. In Section 3 we present the Simplex algorithm which is the main procedure used to solve linear programming problems. Let g and u respectively be the number of graduate and undergraduate students admitted.1. and the number of 20 lecture courses demanded per year is 5g+7u . In the second section we present the duality theory for linear programming and use it to obtain some sensitivity results. In section 4 we apply the results of Sections 2 and 3 to study the linear programming theory of competitive economy.Chapter 4 OPTIMIZATION OVER SETS DEFINED BY INEQUALITY CONSTRAINTS: LINEAR PROGRAMMING In the ﬁrst section we study in detail Example 2 of Chapter I. 27 . 4.1 Example.1 The Linear Programming Problem 4. the President must satisfy 2g+u 20 ≤ 2250 or 2g + u ≤ 45. and then we deﬁne the general linear programming problem. 000 and 5g+7u 40 ≤ 5250 or 5g + 7u ≤ 210. Then the number of seminars demanded per year is 2g+u .
b = (45000.3) as an exercise. is the hyperplane π(k) = {xc x = k}.2. We pause to formulate the generalization of (4.) Evidently an optimal decision is any point x∗ ∈ Ω which lies on a hyperplane π(k) which is farthest along the direction c. (4. A2 h ≤ 0 . so that K ∗ is given by K ∗ = {x∗ + hA1 h ≤ 0 . A2 x∗ = b2 .2) Let Ai . β) . u ≥ 0. 210000. 1 ≤ i ≤ 4} and is the polygon OP QR in Figure 4. (Obviously we are assuming in this discussion that c = 0.2)1 Maximize c x subject to Ax ≤ b . 0) and let A be the 4×2 matrix 2 1 5 7 . Formally then the President faces the following decision problem: Maximize αg + βu subject to 2g + u ≤ 45. Here we pursue consequences of the second conclusion. Since c x∗ ≥ c y for all y ∈ K ∗ we conclude that c h ≤ 0 for all h such that A1 h ≤ 0. 1 ≤ i ≤ 4.1) can be rewritten as (4.28 CHAPTER 4. So let x = (g. LINEAR PROGRAMMING Since negative g or u is meaningless. From this condition we can immediately draw two very important conclusions: (i) at least one of the vertices of Ω is an optimal decision. Therefore. 000 g ≥ 0. 0. and (ii) x∗ yields a higher payoff than all points in the cone K ∗ consisting of all rays starting at x∗ and passing through Ω. A= −1 0 0 −1 Then (4.1. so that x ≤ y means xi ≤ yi for all i.1.2. The ﬁrst conclusion is the foundation of the powerful Simplex algorithm which we present in Section 3. 1 (4. Furthermore. there are also the constraints g ≥ 0. and futhermore at x∗ the direction c points away from Ω. These hyperplanes for different values of k are parallel to one another since they have the same normal c. . and A3 x∗ < b3 . For each choice x. A2 h ≤ 0} . A4 x∗ < b4 . We can rephrase this by saying that x∗ ∈ Ω is an optimal decision if and only if the plane π ∗ through x∗ does not intersect the interior of Ω. the surface of constant payoff k say. u) . u ≥ 0 . since K ∗ lies “below” π ∗ . For the situation depicted in Figure 4. Then the set Ω of all vectors x which satisfy the constraints in (4. 000 5g + 7u ≤ 210. denote the rows of A. the President receives the payoff c x.2) is given by Ω = {xAi x ≤ bi .3) Recall the notation introduced in 1.1 we can see that x∗ = Q is an optimal decision and the cone K ∗ is shown in Figure 4. c = (α. (4. as k increases π(k) moves in the direction c. Now x∗ satisﬁes Ax x∗ = b1 .1) It is convenient to use a more general notation.
i ∈ I(x∗ ). .1: Ω = OP QR. i ∈ I(x).4. 1 ≤ i ≤ k.4)   {xA2 x = b2 }  x1 2 As c varies. Mathematically this means that (4. We can see from our analysis that the situation is as follows (see Figure 4. Exercise 1: Let Ai . it is clear that (4. O A4 R {xA1 x = b1 } Figure 4.3) is satisﬁed if and only if there exist λ∗ ≥ 0.1. For any x satisfying the constraints. its generalization to n dimensions is a deep theorem known as Farkas’ lemma (see Section 2).1): Although this statement is intuitively obvious. λ∗ ≥ 0 such that 1 2 c = λ∗ . Suppose x∗ satisﬁes the constraints. THE LINEAR PROGRAMMING PROBLEM x2 29  π∗  π(k) = {xc x = k} direction of increasing payoff k  P  Q = x∗  c ⊥ π∗ A2 ⊥ P Q A1 ⊥ QR A3 . be real numbers. A1 + λ∗ A2 . Ai x < bi . i ∈ I(x).3) is satisﬁed as long as c lies between A1 and A2 . and let bi . Consider the problem Maximize c x subject to Ai x ≤ bi . . . Returning to our problem. n} be such that Ai (x) = bi . 2 . let I(x) ⊂ {1. 1 ≤ i ≤ k . Let c ∈ Rn . the optimal decision will change. 1 2 (4. be ndimensional row vectors. Show that x∗ is optimal if an only if / c h ≤ 0 for all h such that Ai h ≤ 0 . . 1 ≤ i ≤ k.
i = 1.6) .2: K ∗ is the cone generated by Ω at x∗ . such that i 4 (a) c = i=1 λ∗ ai .5) accordingly We leave this as an exercise. etc. LINEAR PROGRAMMING P x∗ = Q K∗ A2 c A1 A3 O R π∗ A4 Figure 4.5) is equivalent to (4. 1.) x∗ ∈ Ω is optimal iff there exist λ∗ ≥ 0 . (b) if Ai x∗ < bi then λ∗ = 0 . 2.30 CHAPTER 4.6). (Here Ai = (ai1 . i = 1. x∗ = Q is optimal iff c lies between A1 and A2 iff c = λ∗ A1 + λ∗ A2 for some λ∗ ≥ 0. below. λ∗ ≥ 2 3 2 3 0. λ∗ ≥ 1 2 1 2 0. λ∗ ≥ 0 such that 1 2 (a) ci ≤ λ∗ a1i + λ∗ a2i . from the rest. x∗ = P is optimal iff c lies between A3 and A2 iff c = λ∗ A2 + λ∗ A3 for some λ∗ ≥ 0. 2. x∗ ∈ QP is optimal iff c lies along A2 iff c = λ∗ A2 for some λ∗ ≥ 0. 2. ai2 ). 2 2 3. j = 1. 1 ≤ i ≤ 4. 1 2 j (c) if ci < λ∗ + λ∗ a2i then x∗ = 0. 2 1i i (4. 2. i i (4. and to reformulate (4.5) For purposes of application it is useful to separate those constraints which are of the form xi ≥ 0. 1 2 (b) if aj1 x∗ + aj2 x∗ < bj then x∗ = 0. These statements can be made in a more elegant way as follows: x∗ ∈ Ω is optimal iff there exists λ∗ ≥ 0 . Exercise 2: Show that (4.
7) is of the form (4. and xj ≥ 0 . . .7) can be transformed into an equivalent LP of the form (4. Maximize c1 x1 + c2 x2 + . + ain xn ≥ bi .7) Maximize j=1 n cj xj aij xj ≤ bi . There are two important special cases: Case I: (4. .8) xj ≥ 0 Case II: (4.8) and (4. . .4. A linear programming problem (or LP in brief) is any decision problem of the form 4. Proposition: Every LP of the form (4.1. . . .7) is of the form (4. . q + 1 ≤ j ≤ n . Step 1: Replace each inequality constraint aij xj ≥ bi by (−aij )xj ≤ (−bi ). . . ail x1 + . p + 1 ≤ j ≤ q. where the cj . k + 1 ≤ i ≤ . such is not the case.7) appears to be more general than (4. 1≤j≤n (4. . xj ≥ 0 . aij . (−aij )xj ≤ (−bi ).2 Problem formulation. Step 2: Replace each equality constraint aij xj = bi by two inequality constraints: aij xj ≤ bi . . 1≤j≤n.9): n Maximize j=1 n cj xj aij xj = bi . xj arbitary . 1≤j≤p. . . ail x1 + . + 1 ≤ i ≤ m . bi are ﬁxed real numbers.7. . j=1 subject to 1≤i≤m. j=1 subject to 1≤i≤m. . Proof. (4. .9) xj ≥ 0 Although (4. . + ain xn = bi . THE LINEAR PROGRAMMING PROBLEM 31 4.8). .1. + ain xn ≤ bi . + cn xn subject to ail x1 + ai2 x2 + . .9). . Step 3: Replace each variable xj which is constrained xj ≤ 0 by a variable yj = −xj constrained yj ≥ 0 and then replace aij xj by (−aij )yj for every i and cj xj by (−cj )yj . . l ≤ i ≤ k .8): n (4.
1. b ∈n are ﬁxed vectors. The following statements are equivalent.9) and is equivalent to the original one. Farkas’ Lemma.17). Exercise 1: With the same hypothesis and notation of Exercise 1 in 4. . We begin by quoting a fundamental result. Evidently the new LP has the form (4. . . (ii) there exists λ ≥ 0. i i Exercise 2: Let x∗ satisfy the constraints for problem (4.7) can be transformed into an equivalent LP of the from (4. For a proof the reader is referred to (Mangasarian [1969]). be ndimensional row vectors.) Step 3. Ai x ≤ 0 for 1 ≤ i ≤ k implies c x ≤ 0. Step 4: Repeat these steps from the previous proposition. use the ﬁrst version of Farkas lemma to show that there exist λ∗ ≥ 0 for i ∈ I(x∗ ) such that λ∗ Ai = c .10) and (4. An algebraic version of this result is sometimes more convenient. (i) for all x ∈ Rn . zj ≥ 0 and then replace aij xj by aij yj + (−aij )zj for every i and cj xj by cj yj + (−cj )zj . Ax ≤ 0 implies c x ≤ 0. λk ≥ 0 such that c = i=1 λi Ai .2. Farkas’ Lemma (algebraic version). Consider the pair of LPs (4. Let Ai . LINEAR PROGRAMMING Step 4: Replace each variable xj which is not constrained in sign by a pair of variables yj −z j = xj constrained yj ≥ 0. Use the previous exercise to show that x∗ is optimal iff there exist λ∗ ≥ 0. . c ∈ Rn .2 Qualitative Theory of Linear Programming 4. (The new variables added in these steps are called slack variables. Let c ∈ Rn be a column vector. such that A λ = c. . ♦ Proposition: Every LP of the form (4. i j In the remaining discussion. We leave this development as two exercises and follow a more elegant but less intuitive approach. 1 ≤ i ≤ m (c) if j i λ∗ aij > cj then x∗ = 0 . λ∗ ≥ 0 such that m 1 m i∈I(x∗ ) (a) cj ≤ n i=1 λ∗ aij . 1 ≤ i ≤ k. 1 ≤ j ≤ m.9) Proof. Step 2: Replace each inequality constraint aij xj ≥ bi by the equality constraint aij xj − yi = bi where yi is an additional variable constrained by yi ≥ 0. 1 ≤ j ≤ n i m i=1 (b) if j=1 aij x∗ < bi then λ∗ = 0 . whereas x ∈ Rn and λ ∈ Rm will be variable.1 Main results.11) .32 CHAPTER 4. k (ii) there exists λ1 ≥ 0. . Step 1: Replace each inequality constraint aij xj ≤ bi by the equality constraint aij xj + yi = bi where yi is an additional variable constrained yi ≥ 0. Evidently the resulting LP has the form (4. The following statements are equivalent: (i) for all x ∈ Rn . . Let c ∈ Rn . λ ∈ Rk .1).8) and is equivalent to the original one. . ♦ 4. Using this result it is possible to derive the main results following the intuitive reasoning of (4. and A = {aij } is a ﬁxed m × n matrix. Let A be a k × n matrix.
Lemma 1: (Weak duality) Let x ∈ Ωp . c x∗ = (λ∗ ) b. .4. ♦ Corollary 1: If x∗ ∈ Ω and λ∗ ∈ Ωd such that c x∗ = (λ∗ ) b. θ≤0 implies b ξ + c w ≤ 0. such that Ax ≤ b.10) is called the primal problem and (4. this is possible only if A ξ − cθ ≤ 0 . + cn xn subject to ai1 x1 + .11). . Proof: Because of the Corollary 1 it is enough to prove the last statement. (4. 1 ≤ j ≤ n .10) and λ∗ which is optimum for (4.11) is called the dual problem. Maximize c1 x1 + . Similarly let Ωd = {λ ∈ Rm λ A ≥ c . 1 ≤ j ≤ n λi ≥ 0 . x ≥ 0} be the set of all points satisfying the constraints of the primal problem. i. Aw = bθ ≤ 0 . 1 ≤ i ≤ m xj ≥ 0 . λ ≥ 0. λ ≥ 0}. . 33 (4. + ain xn ≤ bi . By introducing slack variables y ∈ Rm .12) Proof: x ≥ 0 and λ A − c ≥ 0 implies (λ A−c )x ≥ 0 giving the ﬁrst inequality. (4. . µ ≤ 0. r ∈ R. The next result is trivial. (4.11). . A λ ≥ c and b λ−c x ≤ 0. . Then there exists x∗ which is optimum for (4. r ≤ 0 such that A −c Im A b −I n 1 x y λ µ r b = c 0 By the algebraic version of Farkas’ Lemma. we must show that there exist x ≥ 0. Furthermore. . this is equivalent to the existence of x ≥ 0.10) Maximize λ1 b1 + . λ ∈ Ωd . Theorem 1: (Strong duality) Suppose Ωp = φ and Ωd = φ.e. + λm amj ≥ cj . + λm bm subject to λ1 a1j + . λ ≥ 0. −w ≤ 0 . A point x ∈ Ωp (λ ∈ Ωd ) is said to be a feasible solution or feasible decision for the primal (dual). b−Ax ≥ 0 and λ ≥ 0 implies λ (b−Ax) ≥ 0 giving the second inequality..13) . (4. . µ ∈ Rm . Then c x ≤ λ Ax ≤ λ b. 1 ≤ i ≤ m . y ≥ 0.10) and λ∗ is optimal for (4. then x∗ is optimal for (4. ξ ≤ 0 .14) (4.2.11) Deﬁnition: Let Ωp = {x ∈ Rn Ax ≤ b. QUALITATIVE THEORY OF LINEAR PROGRAMMING below.
so that only the necessity remains. But (4.15) λ∗ aij < cj implies x∗ = 0 . By Corollary 1. Proof Because of the symmetry of the primal and dual it is enough to prove only (i). Case (ii): Suppose (w. but then for any θ > 0. By hypothesis. i j and m i=1 ((4. so that by Theorem 1 there exists λ∗ ∈ Ωd such that c x∗ = (λ∗ ) b. in contradiction. so that −A ξ ≥ 0. λ∗ ∈ Ωd .13) and θ = 0.16) holds for some x∗ ∈ Ωp . and (A λ∗ − c) x∗ = 0 .15) is known as the condition of complementary slackness. Then there exists an optimum decision for the primal LP iff Ωd = φ. Ωd = φ means there does not exist λ ≥ 0 such that A λ ≥ c. Then from Theorem 2. sup {c xx ∈ Ωp } = +∞ so that there is no optimal decision for the primal.16) is just an equivalent rearrangement of these two equalities. and c w > 0. while the second yields (A λ∗ ) x∗ = c x∗ .14) since θ < 0. Suppose. so that by Lemma 1 c w/(−θ) ≤ b ξ/θ. so there exists x ≥ 0 such that Ax ≤ b. (x + θw) ≥ 0.) Proof: First of all we note that for x∗ ∈ Ωp . By hypothesis. A(x + θw) ≤ b. so that (x + θw) ∈ Ωp . LINEAR PROGRAMMING Case (i): Suppose (w. ξ. the hypothesis that Ωp = φ is essential. Exercise 3: Exhibit a pair of primal and dual problems such that neither has a feasible solution. j i (4. (4. Theorem 2: (i) Suppose Ωp = φ. The ﬁrst equality in (4. −ξ ≥ 0. Hence.16) Necessity. θ) satisﬁes (4. Then there exists an optimum decision for the dual LP iff Ωp = φ. λ∗ ∈ Ωd .15) is equivalent to (4. Ωd = φ. ♦ Remark: In Theorem 2(i). (ii) Suppose Ωd = φ. x∗ is optimal. −b ξ = b (−ξ) ≥ (Ax) (−ξ) = x (−A ξ) ≥ 0. We will show that sup {c xx ∈ Ωp } = +∞. Theorem 3: (Optimality condition) x∗ ∈ Ωp is optimal if and only if there exists λ∗ ∈ Ωd such that m j=1 aij x∗ < bi implies λ∗ = 0 . λ ∈ Ωd . Also. and c w ≤ (A λ) w = λ (Aw) ≤ 0. ♦ The existence part of the above result can be strengthened. which is equivalent to (4. Sufﬁciency. By Lemma 1 we always have c x∗ ≤ (λ∗ ) Ax∗ ≤ (λ∗ ) b so that we must have c x∗ = (λ∗ ) Ax∗ = (λ∗ ) b. θ) satisﬁes (4. Consider the following exercise. µ ≤ 0 such that λ  A −In − − − = c  µ By Farkas’ Lemma there exists w ∈ Rn such that Aw ≤ 0. Then (ξ/θ) ∈ Ωd . Evidently then. Aw ≤ 0. ξ. So that b ξ + c w ≤ 0. (w/−θ) ∈ Ωp . c (x + θw) = c x + θc w. there exist x ∈ Ωp . Suppose (4. The sufﬁciency part of (i) follows from Theorem 1.34 CHAPTER 4. there does not exist λ ≥ 0. w ≥ 0. so that c x∗ = (λ∗ ) b. (4.16): (λ∗ ) (Ax∗ − b) = 0. Ωp = φ. ♦ . that Ωd = φ.13) and θ < 0.16) yields (λ∗ ) b = (λ∗ ) Ax∗ = (A λ∗ ) x∗ . Now. Equivalently. Suppose x∗ ∈ Ωp is optimal. −w ≤ 0.
18) (4. x∗ ∈ Ωd in Theorem 3 can be replaced by the weaker x∗ ≥ 0. It is possible to derive analogous results for LPs of the form (4. . . λ ≥ 0}. where L: Rn xRm → R is deﬁned by L(x. x ≥ 0. . λ is not restricted in sign.20) the λi are unrestricted in sign. (4.19) is called the primal and (4. λ satisfying the constraints of (4. (Note that. .9). + cn xn subject to ail x1 + . . Apply Theorems 1 and 2. (4. λ∗ ) ≤ L(x∗ . + ain xn = bi .) Exercise 8: Formulate a dual for (4. 1 ≤ j ≤ n . Again (4. i Exercise 7: x∗ ≥ 0 is optimal iff there exists λ∗ ∈ Rm such that L(x. where L is deﬁned in (4.) Exercise 6: Show that x∗ ∈ Ωp is optimal iff there exists λ∗ ∈ Ωd such that m x∗ j > 0 implies i=1 λ∗ aij = cj .20) Note that in (4. x ≥ 0} × {λλ ∈ Rm .9).17).2 Results for problem (4. (−A)x ≤ (−b).19) by the equivalent LP: maximize c x. whose proof is left as an exercise. unlike (4. We begin with a pair of LPs: Maximize c1 x1 + . 1≤j≤n .17) Exercise 4: Prove Theorem 4.20) the dual. 4. The function L is called the Lagrangian.18). . subject to Ax ≤ b. + λm amj ≥ cj (4. . We let Ωp . A pair (x∗ . and allλ ≥ 0.15) as in the following result. λ) = c x − λ (Ax − b) (4. QUALITATIVE THEORY OF LINEAR PROGRAMMING 35 The conditions x∗ ∈ Ωp .2. λ∗ ) ≤ L(x∗ . Replace (4. (Hint.17) is said to form a saddlepoint of L over the set {xx ∈ Rn . indicating how to use the results already obtained. Minimize λ1 b1 + . This is now of the form (4. 1 ≤ i ≤ m . λ∗ ) satisfying (4. λ∗ ≥ 0 provided we strengthen (4.7).20) respectively. Exercise 5: Prove Theorems 1 and 2 with Ωp and Ωd interpreted as above.2. Ωd denote the set of all x. + λm bm subject to λ1 a1j + . λ ∈ Rm . We state these results as exercises.4.19). λ∗ ) ≤ L(x∗ . λ∗ ) ≤ L(x∗ .19) . λ) for all x ≥ 0. . and obtain the result analogous to Exercise 5. Theorem 4: (Saddle point) x∗ ≥ 0 is optimal for the primal if and only if there exists λ∗ ≥ 0 such that L(x. λ) for all x ≥ 0. Remark. . xj ≥ 0 .10).
36 CHAPTER 4. Let B = {b ∈ Rm Ωp (b) = φ} and C = {c ∈ Rn Ωd (c) = φ}. then ˆ b). the partial derivatives given above exist. −ε))} . c) = lim ε→0 ε>0 1 ˆ ˆ ε {M (b. c(j. . c) = max {c xx ∈ Ωp (b)} = min {λ bλ ∈ Ωd (c)} . . . . c2 . . We investigate how the maximum value of (4. ε) = (c1 . ˆ ∂M + ˆ ˆ ∂cj (b.10) and (4. . . Furthermore. c) ∈ B × C deﬁne M (b. (4. bi−1 . ˆ ∂M − ˆ ˆ ∂cj (b. ˆ ∂M − ˆ ˆ ∂bi (b. . The matrix A will remain ﬁxed. . C denote the interiors of B.22) .19) and (4. ε)) − M (ˆ c} . Let Ωp and Ωd be the sets of feasible solutions for the pair (4. .19) changes as the vectors b and c change. bm ) . b. c) ◦ ◦ ˆ ≤ λi ≤ ∂M − ˆ ˆ ∂bi (b. cn ) . We deﬁne in the usual way the right and left hand partial derivatives of M at a point (ˆ c) ∈ B × C b. c) = lim ε→0 ε>0 1 ˆ ˆ ε {M (b. ε ∈ R. c ∈ Rn denote c(j. For 1 ≤ i ≤ m. b(i. b ∈ Rm denote b(i.10) or (4. We write Ωp (b) and Ωd (c) to denote the explicit dependence on b and c respectively. ˆ c ∂M + ˆ ˆ ∂bi (b. . .11) or for the pair (4. C respectively. and for (b.21) = lim ε→0 ε>0 1 ˆ ˆ ε {M (b(i. c) .3 Sensitivity analysis. ˆ Let B . ε ∈ R. c) = lim ε→0 ε>0 1 ˆ ˆ ε {M (b. ˆ x ∈ Ωp (ˆ λ ∈ Ωd (ˆ) are optimal. c − M (ˆ c(j. c ) − M (ˆ c)} . bi+1 . if b. . ε) = (b1 . 1≤i≤m. ˆ as follows: ∂M + ˆ ˆ ∂bi (b. b. bi + ε. b2 . . cj+1 . b. . ◦ ◦ Theorem 5: At each (ˆ c) ∈B × C .2.20). cj + ε. . c) − M (ˆ −ε). LINEAR PROGRAMMING 4. c) (4. and for 1 ≤ j ≤ n. cj−1 . ε). c)} .
Exercise 9: Let X ⊂ Rn . and the sets B ⊂ Rm . −ε))} ≤ 1 {ˆ − c(j. ˆ b(i. the left and right hand partial derivatives of f exist. Taking limits as ε → 0. c) ≥ xj ≥ ˆ ∂M − ˆ ˆ ∂cj (b.e. c ) − M (b. for ε 1ˆ ˆ ˆ −ε)} = λi . ε1 )) − f (ˆ))} ≥ x x x x (1/δ1 ){f (ˆ(i. Ωd . ·) : C → R is convex. for ε > 0.22). 1 ≤ i ≤ m xj ≥ 0 . and x.24) . M (ˆ c) = λ ˆ and by weak duality M (ˆ ε). By strong duality ˆ b. x.23) assuming that the partial derivatives exist. 9 below. C ⊂ Rn deﬁned above are convex sets. c) : B → R is concave and for ﬁxed b ∈ B. (i) f is said to be convex if X is convex. c)} b(i. ε).22). ˆ 1 ˆ ˆ ˆ ˆ ε {M (b(i. (4. and then this result b) compares with 3. Show that at each point x in the interior of ˆ X. linear plus constant) functions on B and C respectively.23) as ε → 0.) x x x x Remark 1: Clearly if (∂M/∂bi )(ˆ exists.(1/ε2 ){f (ˆ(i. y ∈ X. and f : X → R be convex. ˆ c ˆ ˆ ˆ ε ε which give (4.3. c(j. 1≤j≤n. 1 ˆ c) − M (ˆ c(j. ˆ c ˆ 1 1 ˆ ˆ ˆ ˆ c ˆ ˆ ˆ ε {M (b. Exercise 8: (a) Show that Ωp . The reason behind the last name will be clear in Section 4. c) and M (b. > 0. and M (ˆ c(j. On the other hand. so that b. M (b.24): Maximize c1 x1 + . (4. then we have equality in (4. y ∈ X and 0 ≤ θ ≤ 1 implies (θx + (1 − θ)y) ∈ X. (b) Show that for ﬁxed c ∈ C. .14). . ε > 0. Finally. (Hint: First show that for ε2 > ε1 > 0 > δ1 > δ2 . ε) − c} x = xj . + ain xn = bi . ˆ ε λ {b − b(i. (ii) f is said to be concave if −f is convex. ˆ ˆˆ b. This is useful in some computational problems. c)} ≥ ε {ˆ(j. THE SIMPLEX ALGORITHM 37 ∂M + ˆ ˆ ∂cj (b. y ∈ X. ˆ b(i. ε)) ≥ (ˆ(j. ˆ b. for ε > 0. Remark 3: The variables of the dual problem are called Lagrange variables or dual variables or shadowprices.23) Proof: We ﬁrst show (4. 0 ≤ θ ≤ 1 implies f (θx + (1 − θ)y) ≥ θf (x) + (1 − θ)f (y). 4. ˆ ε {M (b.1 Preliminaries We now present the celebrated Simplex algorithm for ﬁnding an optimum solution to any LP of the form (4.3 The Simplex Algorithm 4. ε) − b}λi . c) ≤ λ ˆ ε). . M (·. so that b. for ε > 0. . ♦ We recall some fundamental deﬁnitions from convex analysis. δ1 )) − f (ˆ))} ≥ (1/δ2 ){f (ˆ(i. Deﬁnition: Let X ⊂ Rn and f : X → R. ·) are piecewise linear (more accurately. gives (4. ε2 )) − f (ˆ)} ≥ (1/ε1 ){f (ˆ(i. c) .4. + cn xn subject to ail x1 + . (4. Remark 2: We can also show without difﬁculty that M (·. Deﬁnition: X ⊂ Rn is said to be convex if x.22). ˆ ≤ ≥ 1ˆ ˆ ˆ ˆ ε λ {b(i.3. the existence of the right and left partial derivatives follows from Exercises 8. 0 ≤ θ ≤ 1 implies f (θx + (1 − θ)y) ≤ θf (x) + (1 − θ)f (y). c)} 1 ˆ c) − M (ˆ −ε). Then the result follows immediately. M (ˆ c) = c x. i. −ε)} x = xj . ε > 0. ε)) − M (b.. {M (b. ε)) x. δ2 )) − f (ˆ)}. 1 ≤ j ≤ n .
. let I(x) = {jxj > 0}. Then. Then x is a vertex of Ωp iff {Aj j ∈ I(x)} is a linearly independent set.1 the algorithm rests upon the observations that if an optimal exists. z in Ωp and 0 < λ < 1. then at least one vertex of the feasible set Ωp is an optimal solution. the inequality above can hold on if 0. . so that z(θ) is also an optimal solution for θ ≤ θ ∗ . We begin with a precise deﬁnition of a vertex. amj ) . This is done in Lemma 1. . In the following we let Aj denote the jth column of A. Since x∗ > 0 for j ∈ I(x∗ ). m n! Corollary 1: Ωp has at most vertices. it follows that z(θ) ≥ 0 when j θ ≤ min x∗ j γj  j ∈ I(x∗ ) = θ ∗ say . with y. j ∈ I(x∗ ) j x∗ = 0 . such that γj Aj = 0 . Lemma 1: Let x ∈ Ωp . let z ∗ = x∗ and we are done. Since Ωp has only ﬁnitely many vertices (see Corollary 1 below). Aj = (a1j . i. . Hence z(θ) ∈ Ωp whenever θ ≤ θ ∗ . not all zero. Proof: If {Aj j ∈ I(x∗ )} is linearly independent. Exercise 1: Prove Lemma 1. Then there is a vertex z ∗ of Ωp which is optimal. j x∗ Aj + θ j j∈I(x∗ ) j∈I(x∗ ) Az(θ) = j∈I(x∗ ) zj (θ)Aj = γj Aj =b+θ·0=b. The practicability of this investigation depends on the ease with which we can characterize the vertices of Ωp . (n − j)! Lemma 2: Let x∗ be an optimal decision of (4. Hence suppose {Aj j ∈ I(x∗ )} is linearly dependent so that there exist γj .38 CHAPTER 4.. I(z(θ0 )) ⊂ I(x∗ ) − {j0 } . and then c x∗ = c z(θ). Since x∗ is optimal we must have c x∗ ≥ c z(θ) = c x∗ + θ j∈I(x∗ ) cj yj for −∗ θ ≤ θ ≤ θ ∗ . . Deﬁnition: For x ∈ Ωp . Deﬁnition: x ∈ Ωp is said to be a vertex of Ωp if x = λy + (1 − λ)z. LINEAR PROGRAMMING As mentioned in 4. j ∈ I(x∗ ) . we only have to investigate a ﬁnite set. But from the deﬁnition of z(θ) it is easy to see that we can pick θ0 with θ0  = θ ∗ such that zj (θ0 ) = x∗ +θ0 γj = 0 j for at least one j = j0 in I(x∗ ).e. j∈I(x∗ ) j=1 For θ ∈ R deﬁne z(θ) ∈ Rn by zj (θ) = x∗ = θγj . implies x = y = z.24). cj γj = J∈I(x∗ ) Since θ can take on positive and negative values.
2. For each j ∈ I(z k ) calculate cj − λ (z k )Aj . < jm . . .4. . Calculate [D(z k )]−1 . Then z is optimal if and only if λ (z)A ≥ cj . ♦ At this point we abandon the geometric term “vertex” and how to established LP terminology. . The set I(z) is then called the basis at z.c(z k ). Lemma 3: Let z be a nondegenerate basic feasible solution. Otherwise we repeat the procedure above with z(θ0 ). Let z 0 be a basic feasible solution obtained from Phase I or by any other means. j2 . . and the shadowprice vector λ (z k ) = c (z k )[D(z k )]−1 . Let I(z k ) consist of j1 < j2 < . .3. The algorithm is divided into two parts: In Phase I we determine if Ωp is empty or not.26) holds iff λ = λ(z) and then (4. < jm .27) is the same as (4. i.25).2 The Simplex Algorithm. in a ﬁnite number of steps.A . Notation: Let z be a nondegenerate basic feasible solution. Phase II: Step 1. . j ∈ I(z) .25) (4. . k k k Step 4. λ Aj ≥ cj . . Set k = 0 and go to Step 2. in a ﬁnite number of steps we will ﬁnd an optimal decision z ∗ which is also vertex. . if {Aj j ∈ I(z(θ0 ))} is linearly independent. . . stop. j ∈ I(z). γjm ) = [D(z k )]−1 Aj . j j Step 3. We call λ(z) the shadowprice vector at z. there is no ﬁnite optimum. . Deﬁnition: A basic feasible solution z is said to be nondegenerate if I(z) has m elements. we obtain a basic feasible solution. j ∈ I(z) . for . are called the basic variables at z. then we let z ∗ = z(θ0 ) and we are done.3. If all these numbers are ≤ 0.27) ♦ But since z is nondegenerate. j ∈ I(z) are called the nonbasic variables at z. . Iterating on this procedure. Otherwise pick any ˆ ∈ I(z k ) such that cˆ − λ (z k )Aj > 0 and go to Step 3. We make the following simplifying assumption. for all . because by Lemma 4 below. Otherwise go to Step 4. If γ k ≤ 0. cjm ) and deﬁne λ(z) by λ (z) = c (z)[D(z)]−1 . j ∈ I(z) . Step 2. (4. Phase II starts with a basic feasible solution and determines if it is optimal or not. γj > 0}. either we obtain an optimum solution or we discover that no optimum exists. . and if not. . and xj . and let j1 < j2 < . and {Aj j ∈ I(z)} is linearly independent. Let D(z) denote the m × m nonsingular matrix D(z) = [Aj1 . THE SIMPLEX ALGORITHM 39 Again.e. because z k is optimal ˆ by Lemma 3..26) (4. Every basic feasible solution is nondegenerate. sup {c xx ∈ Ωp } = +∞. Evidently 0 < θ < ∞. We shall discuss Phase II ﬁrst. stop. Deﬁnition: (i) z is said to be a basic feasible solution if z ∈ Ωp . Clearly. Assumption of nondegeneracy. . Proof: By Exercise 6 of Section 2. let c(z) denote the mdimensional column vector c(z) = (cj1 . xj . and if not obtains another basic feasible solution with a higher value. (4. jm ].A constitute I(z). Deﬁne z k+1 by . . for . z is optimal iff there exists λ such that λ Aj = cj . Compute the vector ˆ k k γ k = (γj1 . 4. We will comment on it later. . Compute θ = min {(zj γj )j ∈ i(z).
j ∈ I(z) zj (θ) = .31) we must have equality. z k+1 is a basic feasible solution with c z k+1 > c z k . zj = 0 j First of all. since γ k ≤ 0 it follows that z(θ) ≥ 0 for θ ≥ 0. we must have γ˜ j from (4. so that in (4. j=ˆ and j ∈ I(z) . giving a contradiction.29) k γj Aj + θA = Az by deﬁnition of ˆ j γk.24). LINEAR PROGRAMMING k k zj − θγj . j =ˆ θ j . j Lemma 5: z k+1 is a basic feasible solution and c z k+1 > c z k .30) that c zk+1 − c zk = θ{cˆ − γ (z k )Aj } . Lemma 4: If γ k ≤ 0. j k+1 zj (4. j which is positive from Step 2. Then γ(z ∗ ) is an optimal solution of the dual of (4. we see case. k+1 k k k Proof: Let ˜ ∈ I(z k ) be such that γ˜ > 0 and z˜ = θγ˜ . z(θ) ∈ Ωp for θ ≥ 0. k = 0. j} (4. k k c z(θ) = c z − θc (z )γ + θcˆ j ˆ = c z + θ{cˆ − c (z k )[D(z k )]−1 Aj } j (4. sup {c xx ∈ Ωp } = ∞. ♦ ˆ But from step 2 {cˆ − λ (z k )Aj } > 0. j = ˜ But if this is not the j}.31) ˜ so that it is enough to prove that Aj is independent of {Aj j ∈ I(z). I(z k+1 ) has m elements. Remark 1: By the nondegeneracy assumption. Corollary 3: Suppose Phase II terminates at an optimal basic feasible solution z ∗ . Finally if we compare (4. Next.30) = c z + θ{cˆ − λ j ˆ (z k )Aj }i . Then from (4. Hence. so that c z(θ) → ∞ as θ → ∞. Az(θ) = Az − θ j∈I(z) (4.28) and (4. Proof: Deﬁne z(θ) by k zj − θγj .40 CHAPTER 4.29).28) By Lemma 5 below. j ∈ I(z) and j = ˆ . Finally. j j j j j hence I(z k+1 ) ⊂ (I(z) − {˜ j}) {ˆ . j=ˆ j = k zj = 0 . Set k = k + 1 and return to Step 2. We see then that D(z k+1 ) is obtained from D(z k ) by replacing the column Aj by .28) we see that z˜ = 0. ♦ ˆ Corollary 2: In a ﬁnite number of steps Phase II will obtain an optimal solution or will determine that sup{c xx ∈ Ωp } = ∞. j ∈ I(z) θ . Exercise 2: Prove Corollaries 2 and 3.
.A .A . ˆ the column Aj . ji+1 . . .A . Let E be the . j . ji−1 .24) we can guarantee that the matrix A ¯ has rank n.24) by the LP (4. ji+1 .24) by −1 if necessary. . More precisely if D(z k ) = [Aj1 . . For each j ∈ I(z k ) we can interpret the number cj − λ (z k )Aj to be the net increase in the objective value per unit increase in the jth component of z k . 1 ≤ i ≤ m . . . . Remark 2: The similarity between Step 2 of Phase II and Step 2 of the algorithm in 3.A ]. .3. Remark 3: By eliminating any dependent equations in (4. ji−1 . . . ji+1 . We now describe how to obtain an initial basic feasible solution.A . .A j .32) involving the variables x and y: m Maximize − i=1 yi (4. . . .3. . Next.4. so that we have to try various ¯ z ¯ k ) until we ﬁnd one for which θ > 0. THE SIMPLEX ALGORITHM 41 . Hence at any degenerate basic feasible solution z k we can always ﬁnd I(z k ) ⊃ I(z k ) ¯ k ) has m elements and {Aj j ∈ I(z k )} is a linearly independent set. . j . . .4 is (∂f0 /∂uj )(xk ) − (λk ) (∂f /∂uj )(xk ). . + ain xn + yi = bi . jm . . . .A .A .. it is easy to check that E −1 = M [D(z k )]−1 where 1 1 . . Then [D(z k+1 )]−1 = P E −1 where the matrix P permutes the columns of D(z k+1 ) such that E = D(z k+1 )P . . . . so that these inverses can be easily computed. jk . y i ≥ 0 . . matrix E = [Aj1 . 1 ≤ j ≤ n .A .A . . . et al. . We can apply ¯ such that I(z ¯ Phase II using I(z k ) instead of I(z k ). . The basic variables at z k correspond to the variables wk and nonbasic variables correspond to uk . 1 ≤ i ≤ m . . . . jm ] and if . . The analogous quantity in 3. . we can assume that b ≥ 0. . j. . . .32) subject to ail x1 + . . . The reason for this is that I(z k ) is not unique. Replace the LP (4. jk < ˆ < jk+1 then D(z k+1 ) = [Aj1 . . ˆ. . [1970]). .. . . if ˆ Aj m = =1 γj Aj . . .A . . . .A . In this way the nondegeneracy alternatives for I(z assumption can be eliminated.A . . jm ]. ji−1 . ˜. jk+1 . xj ≥ 0 . 1 M = −γ j1 γ˜ j 1 γ˜ j −γ jm γ˜ j 1 . Phase I: Step I. by multiplying some of the equality constraints in (4.A . ˆ. But then in Step 4 it may turn out that θ = 0 so that k+1 = z k . .4 is striking. This net increase is due to the direct increase cj minus the indirect decrease λ (z k )Aj due to the compensating changes in the basic variables necessary to maintain feasibility. 1 ↑ ith column Then [D(z k+1 )]−1 = P M [D(z k )]−1 . . For details see (Canon.3.
a2j . .A . Inputs are usually classiﬁed into raw materials such as iron ore. . If = 0.) Within the ﬁrm.4 LP Theory of a Firm in a Competitive Economy 4. . different combinations of inputs can be used to produce the same combination of outputs. (i) The transformation of inputs into outputs is organized into a ﬁnite number. (ii) Each activity combines the k inputs in ﬁxed proportions into the m outputs in ﬁxed proportions. Go to Step 3. . (See the von Neumann model in (Nikaido [1968]).42 Go to step 2. . Furthermore. .4. Precisely. ofﬁce equipment. Note that (x0 . n ]. The ﬁrm’s outputs themselves may be raw materials (if it is a mining company) or intermediate products (if it is a steel mill) or capital goods (if it manufactures lathes) or ﬁnished goods (if it makes shirts or bakes cookies) which go directly to the consumer. amj ) and B j = (bij . . . . . (4. since human labor can do the same job as some machines and machines can replace other kinds of machines. say n. this transformation can be conducted in different ways. the jth activity is characterized completely by two vectors Aj = (a1j . We formalize it by specifying which transformation possibilities are available to the ﬁrm.24) has a feasible solution iff y ∗ = 0.24) has no feasible solution. Apply phase II to (4. . . . . and by an output vector we mean any kdimensional vector y = (y1 . By an input vector we mean any mdimensional vector r = (r1 . This substitutability among inputs is a fundamental concept in economics. by Exercise 3 below. or computers. A be the m × n matrix [A1 . . . .32). . LINEAR PROGRAMMING Step 2. n ] and B be the k × n matrix B = [B 1 . . y∗ x∗ y∗ 4. p. bkj xj ) = xj B j . . . however. .32) starting with this solution. . . . We think of a ﬁrm as a system which transforms input into outputs. Step 3. .32) lies between − i=1 bi and 0.” dynamic Malthusian framework where the increase in labor is a function of the output. Labor is not usually considered an output since slavery is not practiced. Phase II must terminate in an optimum based feasible solution (x∗ . or textiles.e. or raw cotton. y 0 ) = (0. If = 0.1 Activity analysis of the ﬁrm. There are m kinds of inputs and k kinds of outputs. capital goods 3 such as machines of various kinds. it may be considered an output in a “closed.24). amj xj ) = xj Aj into the output vector (b1j xj . CHAPTER 4. etc. is a basic feasible solution for (4. Let . . each activity can be conducted at any nonnegative intensity or level. 3 . bkj ) so that if it is conducted at a level xj ≥ 0. chemicals. . . . ﬁnally various kinds of labor services. . . i. 141. . yk ) with y ≥ 0. then it combines (transforms) the input vector (a1j xj . . of processes or activities.B It is more accurate to think of the services of capital goods rather than these goods themselves as inputs. . or factory buildings. .. . crude oil. We now make three basic assumptions about the ﬁrm. It is these services which are consumed in the transformation into outputs. intermediate products such as steel. y ∗ ) m since the value of the objective function in (4. b) is a basic feasible solution of (4. . Exercise 3: Show that (4. rm ) with r ≥ 0.
+ xn B n . . M (∆) ≤ M (0) where M (∆) is the maximum value of the LP (4. . .33) subject to y = Bx. which the ﬁrm ac∗ cepts as given. We say that the prices (p∗ .4. + 1 ≤ i ≤ m . . xj ≥ 0. the ﬁrm cannot change the amount available to it of some of the inputs such as capital equipment. . ri ≥ 0 . q ∗ . r ∗ by buying or selling these inputs at the market price q1 . . if he is maximizing the ﬁrm’s proﬁts. With these assumptions we know all the transformations technically possible as soon as we specify the matrices A and B. whereas the supply of the remaining inputs can be varied. . . qj are prices determined by the whole economy. x≥0. ∗ The coefﬁcients of B and A are the ﬁxed technical coefﬁcients of the ﬁrm. . n 1 4. and they are available in the amounts r1 . . x∗ . . q ∗ . . . (4. p∗ . . . rm . faces the following decision problem: m Maximize p y − j= +1 q j rj (4. certain kinds of labor. . + 1 ≤ i ≤ m . then it transforms the input vector x1 A1 + .35) . and in turn this depends upon the prices p. . 4.4. r ∗ . Theorem 1: p∗ . .3 Longterm equilibrium behavior. LP THEORY OF A FIRM IN A COMPETITIVE ECONOMY 43 (iii) If the ﬁrm conducts all the activities simultaneously with the jth activity at level xj ≥ 0. . pk ) of the outputs. We study this next.2 Shortterm behavior. We assume that the ﬁrm is operating in a competitive economy which means that the unit prices p = (p1 . In the long run the supplies of the ﬁrst inputs are also variable and the ﬁrm can change these ∗ supplies from r1 . 1 ≤ j ≤ n. . . . + ain xn ≤ ri . + ain xn ≤ ri . q . . rm . whereas the pi . . ai1 x1 + .4. . . . . By deﬁnition. xn .35): Maximize c x − (q ∗ ) ∆ subject to Ax ≤ r ∗ + ∆ . The decision variables are the activity levels x1 . say. 1 ≤ i ≤ . In the shortterm. (4. r ∗ are in equilibrium if and only if q ∗ is an optimal solution of (4.33) has an optimal solution. . Then the manager of the ﬁrm. . . the ri are the ﬁxed shortterm supplies. and the shortterm input supplies r +1 . . . . . . Whether the ﬁrm will actually change these inputs will depend upon whether it is proﬁtable to do so. r ∗ are in equilibrium iff for all ﬁxed ∆ ∈ Rm . . q ∗ ) and a set of input supplies ∗ ∗ r ∗ = (r1 . .34) Proof: Let c = B p∗ . . . .34): Minimize (r ∗ ) q subject to A q ≥ B p∗ q≥0. . q ∗ ). and perhaps some raw materials. Under realistic conditions (4. . qm ) of the inputs is ﬁxed.4. . 2. + xn An into the output vector x1 B 1 + . . . . 1 ≤ j ≤ n. Let us suppose that these ∗ inputs are 1. . q. . . x∗ . . . rm ) are in (longterm) equilibrium if the ﬁrm has no proﬁt incentive to change r ∗ under the prices (p∗ . r ∗+1 . and q = (q1 . Which of these possible transformations will actually take place depends upon their relative proﬁtability and availability of inputs. ∗ ai1 x1 + .
If the ith input is valued at m a∗ . Hence. .15).e. (4.16). q ∗ . cj = p∗ b1j + p∗ b2j + . . if x∗ is the optimum activity levels for (4.. is i i=1 qi aij .15) we see that if x= astj > 0 then m cj = i=1 ∗ qi aij . On the other hand if the jth activity is operated at level xj = 1.39) i. c x − (q ∗ ) ∆ ≤ (q ∗ ) (r ∗ + ∆) − (q ∗ ) ∆ = (q ∗ ) r ∗ ♦ (4. + p∗ bkj . for q = q ∗ .38) This relation between p∗ . Now bij is the amount of the ith output produced by operating the 1 2 k jth activity at a unit level xj = 1. (4. r ∗ are in equilibrium iff c x − (q ∗ ) ∆ ≤ M (0) = (r ∗ ) q ∗ . it uses an amount aij of the ith input. (4. at the optimum. r ∗ are in longterm equilibrium iff q ∗ is an optimum solution to the dual (namely (4. i. we can say even more. in particular. if an equilibrium the optimum ith input supply ri is greater than the optimum demand for the ith input. But from (4. r ∗ has a very nice economic interpretation.34) becomes the dual of (4. then at the optimum it is ∗ operated at zero level. i. if the revenue of an activity is less than its input cost.36) whenever x is feasible for (4. Also if m cj < i=1 ∗ qi aij .35). Hence p∗ . From (4. M (0) = (r ∗ ) q ∗ .e.34)) of (4.37) Remark 1: We have shown that (p∗ . so that the input cost of operating the n activities at levels x is (A q ∗ ) = (q ∗ ) Ax. LINEAR PROGRAMMING For ∆ = 0.... q ∗ .38) then the output revenue is c x∗ and the input cost is (q ∗ ) Ax∗ . at the optimum activity levels.35) and q is feasible for (4. (4. c x − (q ∗ ) ∆ ≤ q (r ∗ = ∆) − (q ∗ ) ∆ . x∗ j . By weak duality if x is feasible for (4. again from (4. total revenues = total cost of input supplies. (q ∗ ) (Ax∗ − r ∗ ) = 0 so that c x∗ = (q ∗ ) r ∗ . in equilibrium. then the input cost of operating at xj = 1.e.e. q ∗ . Finally. Recall that c = B p∗ . the revenue of an activity operated at a positive level = input cost of that activity. In fact. and. Thus.44 CHAPTER 4.35) so that by the strong duality theorem.38): Maximize c x subject to Ax ≤ r ∗ x≥0. i. then = 0. cj is the revenue per unit level operation of the jth activity so that c x is the revenue when the n activities are operated at levels x.34).
then we see (assuming i differentiability) that it is worth increasing b∗ if the unit cost of increasing this parameter is less i than λ∗ . in other words it must be a free good.e. . ω is that portion of the outputs produced prior to T which have not been consumed up to T . Now suppose that at time T the prevailing prices of the h commodities are λ = (λ1 . . where some of the coefﬁcients bi are design parameters. Then if (∂M/∂∆i )∆=0 exists. . are q1 . . . We observe the economy starting at time T . B) characterizing a ﬁrm we can suppose that all the h commodities are possible inputs and all the h commodities are possible outputs. suppose that the managers of the various ﬁrms assume that the prices λ are not going to change for a long period of time. . The proﬁtmaximizing behavior of the ﬁrm presented above is one of the two fundamental building blocks in the equilibrium theory of a competitive. i. .4. Remark 2: Returning to the shortterm decision problem (4. LP THEORY OF A FIRM IN A COMPETITIVE ECONOMY n ∗ ri > j=1 45 aij x∗ . More precisely. This interpretation has wide applicability. . λ∗+1 . . and j=1 ω(j) = ω. capitalist economy. . for an individual ﬁrm most of the inputs and most of the outputs will be zero. r(i) ∈ Rh . labor. . .33) when the amounts of the inputs in ﬁxed supply are r1 + ∆1 . . . suppose that (λ∗ . and conversely it is proﬁtable to sell some i of the ith input at price qi if λ∗ < qi . . . . . . . . which means that the ownership of ω is divided among the various consumers j = 1. Thus λ∗ can be interpreted as the ﬁrm’s internal valuation of i i the ith input or the ﬁrm’s imputed or shadow price of the ith input. which we mention brieﬂy. . λ∗ ) is an optimum solution of the dual of (4. . Unfortunately we cannot present the details here. Then.33). i 4. the sole purpose for making this change is that we no longer need to distinguish between prices of inputs and prices of outputs. . . λ∗ . ωh ) ≥ 0. .19).4.4 Longterm equilibrium of a competitive. q . we can see from (4. J. the jth consumer owns the vector of commodiJ ties ω(j) ≥ 0. . ∆ ) the optimum value of ∗ (4. λh ) ≥ 0. The design procedure is to ﬁx these parameters at some nominal value b∗ . We shall limit ourselves to a rough sketch.22) that it is always proﬁtable to increase the ith input by buying some additional amount at price qi if λ∗ > qi . Often engineering design problems can be formulated as LPs of the form (4.4. Suppose the resulting optimal dual variables are λ∗ . capitalist economy.10) or (4. and ﬁnished products. At this time there exists within the economy an inventory of the various commodities which we can represent by a vector ω = (ω1 . . Let us denote by M (∆1 . . r ∗ + ∆ . Let us suppose that there are a total of h commodities in the economy including raw materials. By adding zero rows to the matrices (A. . and carry out the i optimization problem.33). . We think of the economy as a feedback process involving ﬁrms and consumers. We are including in ω(j) the amount of his labor services which consumer j is willing to sell. . intermediate and capital goods. such . j ∗ then qi = 0. the equilibrium price of an input which is in excess supply must be zero. and it is worth decreasing this parameter if the reduction in total cost per unit decrease is i greater than λ∗ . . Of course. from our previous analysis we know that the manager of the ith ﬁrm will plan to buy input supplies r(i) ≥ 0.. . Suppose that the market m 1 prices of inputs 1. Next. . . We are assuming that this is a capitalist economy.
dh (j)) ≥ 0 so as to maximize his satisfaction subject to the constraint λ d(j) = λ ω(j). λ). . If we add up the buying plans of all the consumers we obtain the total demand J D(λ) = j=1 d(j.42) that is the value of the supply offered to consumers is equal to the value of the commodities (and labor) which they own. and he will plan to produce an optimum amount. λ). . . Chapter V). For a simple treatment the reader is referred to (Dorfman. Here also d(j) will depend on λ. (4. the ith manager can sell his planned output y(i) either as input supplies to other ﬁrms or to the consumers. Similarly. because if such an equilibrium price λE exists. Samuelson.44) The most basic question of equilibrium theory is to determine conditions under which there exists a price vector λE such that the economy is in equilibrium. then at that price the production plans of all the ﬁrms and the buying plan of all the consumers can be realized. We also recall that (see (4. The theory assumes that he will plan to buy a set of commodities d(j) = (d1 (j). λ) . 4. (4. λ) − i=1 r(i. . so that we explicitly write r(i. the net supply offered for sale to consumers is S(λ)..43) which also satisﬁes J λ D(λ) = j=1 λ ω(j) . r(i)) is in long term equilibrium. say y(i). Here i = 1. . Chapter 13). We know that r(i) and y(i) depend on λ.5 Miscellaneous Comments . 1 ≤ i ≤ I . The value of the jth consumer’s possessions is λ ω(j). Thus.41) We note two important facts. λ) = λ y(i. Now we come to the second building block of equilibrium theory.41) we immediately conclude that J λ S(λ) = j=1 λ ω(j) . . S(λE ) = D(λE ). λ) ≥ 0 . so we write d(j. . (4. i.e. from (4. λ). Unfortunately we must stop at this point since we cannot proceed further without introducing some more convex analysis and the ﬁxed point theorem. (4. LINEAR PROGRAMMING that (λ. The second point is that there is no reason to expect that S(λ) ≥ 0. where I is the total number of ﬁrms. For a much more general mathematical treatment see (Nikaido [1968]. 2. y(i. I. and the consumers who collectively own ω. and Solow [1958].40) Now the ith manager can buy r(i) from only two sources: outputs from other ﬁrms. λ) .38)) λ r(i. .40). (4. (4. where J I i S(λ) = j=1 ω(j) + i=1 y(i.46 CHAPTER 4. First of all.
Maximize f0 (x) subject to Ax ≤ b. where the ci are piecewise linear (but not concave).47): n (4. (c2 ) x. Maximize y subject to Ax ≤ b. (ck ) x}. . In our LP framework this situation can be formulated as follows.4. It is reasonable then to deﬁne a single objective function f0 (x) by f0 (x) = minimum {(c1 ) x. There may be a number of plausible objective functions. The constraints are given as usual by Ax ≤ b.45) is equivalent to (4.46) Maximize j=1 ci (xi ) (4. The abovegiven assumption of the concavity of the ci is crucial. . . . . that even if the ci are not concave.47) subject to Ax ≤ b. (ck ) x. (4.5. See (Miller [1963]). y ∗ ) = (x∗ . the Simplex method (together with its variants) is an extremely powerful technique for solving LPs involving thousands of variables. the interpretation of “equivalent” is purposely left ambiguous. LP is today the single most important optimization technique.45) This is not a LP since f0 is not linear. given the capabilities of modern computers. It turns out however. x ≤ 0 .45) into an equivalent LP.46) below. It is often the case in practical decision problems that the objective is not welldeﬁned. x ≥ 0 . so that we have the decision problem. However. x ≥ 0. In the next exercise. . and such that there is no equivalent LP. This is because many decision problems can be adequately formulated as LPs. where ci : R → R are concave. the following exercise shows how to transform (4.46). 4. 1 ≤ i ≤ k . f0 (x∗ )) is optimal for (4. However. there are. an elementary modiﬁcation of the Simplex algorithm can be given to obtain a “local” optimal decision.3.5. and. Exercise 1: Show that (4. piecewiselinear functions of the kind shown in Figure 4.2 Scope of linear programming.47).45) iff (x∗ . k objective functions (c1 ) x.1 Some mathematical tricks. MISCELLANEOUS COMMENTS 47 4. x ≤ 0 y ≤ (ci ) x . . say. Exercise 2: Obtain an equivalent LP for (4. Exercise 1 will also indicate how to do Exercise 2. . To obtain a feeling for the scope of LP we refer the reader to the book by one of the originators of LP (Dantzig [1963]). Exercise 3: Construct an example of the kind (4. . in the sense that x∗ is optimal for (4.5.
LINEAR PROGRAMMING ci (xi ) . .48 CHAPTER 4.3: A function of the form used in Exercise 2. . xi Figure 4. .
The next exercise shows that we could restrict ourselves to objective functions which are linear. In Section 1 we present the general nonlinear programming problem (NP) and prove the KuhnTucker theorem. 1.1. m. are differentiable functions. with variables y ∈ R. (5. .2 it is clear that equality constraints and sign constraints on some of the components of x can all be transformed into the form (5. Section 2 deals with Duality theory for the case where appropriate convexity conditions are satisﬁed. .2). The linearity of the objective function is not restrictive as shown in the ﬁrst exercise below. From the discussion in 4. Section 3 is devoted to the important special case of quadratic programming.1 The problem and elementary results. . i = 1. however. The general NP is a decision problem of the form: Maximize f0 (x) subject to (x) ≤ 0 . 5.Chapter 5 OPTIMIZATION OVER SETS DEFINED BY INEQUALITY CONSTRAINTS: NONLINEAR PROGRAMMING In many decisionmaking situations the assumption of linearity of the constraint inequalities in LP is quite restrictive. As in Chapter 4. i = 0. fi : Rn → R. we will not do this. . x ∈ Rn is said to be a feasible solution if it satisﬁes the constraints of (5.1). . Exercise 1: Show that (5.1.1): 49 . and Ω ⊂ Rn is the subset of all feasible solutions. is equivalent to (5. x ∈ Rn . Two applications are given. x∗ ∈ Ω is said to be an optimal decision or optimal solution if f0 (x∗ ) ≥ f0 (x) for x ∈ Ω.1) where x ∈ Rn . .1).1 Qualitative Theory of Nonlinear Programming 5. . m. The last section is devoted to computational considerations. .
and y − f0 (x) ≤ 0 . (The set I(x) is called the set of active constraints at x.18) in Chapter 2 and Exercise 1 of 4. . 2.. Exercise 2: (i) Show that C(Ω. x) = {x + hh ∈ C(Ω. . εk > 0. Then f0x (x∗ )h ≤ 0 for all h ∈ C(Ω. x) so that the tangent cone is always nonempty. . with εk > 0 for all k such that k lim x = x . . εmk > 0}∞ be such that xmk → x and (1/εmk )(xmk − x) → hm as k → ∞. Suppose k=1 that hm → h as m → ∞. . .1 and 4. . . if h ∈ C(Ω. k = 1. we are interested in obtaining conditions which any optimal decision must satisfy. The following elementary result is more interesting in this light and should be compared with (2. . x) = {hh is an admissible direction for Ω at x}. .1 and 5. x) is a cone. then θh ∈ C(Ω. x)}. .e. Lemma 1: Suppose x∗ ∈ Ω is an optimum decision for (5. 3. k→∞ k→∞ lim 1 (xk εk − x) = h . . x) is called the tangent cone of Ω at x. 2.) If we take xk = x and εk = 1 for all k. (ii) Let C(Ω.1).2) Returning to problem (5. x) we made no use of the particular functional description of Ω.1. . let hm and {xmk . The basic idea is to linearize the functions fi in a neighborhood of an optimal decision x∗ . x∗ ) . . fi (x) < 0 for i ∈ I(x).) In the deﬁnition of C(Ω.1). C(Ω. 1 ≤ i ≤ m.3) .50 CHAPTER 5. . .2. Two more properties are stated below.2 and compare them with Figures 4. x) is a closed subset of Rn . in Ω and a sequence of numbers εk . (5. i. k = 1. . m} be such that fi (x) = 0 for ı ∈ I(x). 2. (ii) Show that C(Ω. we see that 0 ∈ C(Ω. . (Hint for (ii): For m = 1. Show that there exist subsequences {xmkm .) Deﬁnition: (i) Let x ∈ Ω. The argument parallels very closely that developed in Exercise 1 of 4. Let K(Ω. . (See Figures 5. x) and θ ≥ 0. . x). εmkm }∞ such that m=1 xmkm → x and (1/εmkm )(xmkm − x) → h as m → ∞. k = 1.2. Proof: Let xk ∈ Ω. and let I(x) ⊂ {1.1 and Exercise 1 of 4. Deﬁnition: Let x be a feasible solution. A vector h ∈ Rn is said to be an admissible direction for Ω at x if there exists a sequence xk . be such that (5. NONLINEAR PROGRAMMING Maximize y subject to fi (x) ≤ 0.
using (5. we have f0 (xk ) ≤ f0 (x∗ ).4) implies lim 1 εk xk − x∗  = h . (5. we can see that 0≥ = k→∞ lim f0x (x∗ ) (xk −x∗ ) εk + f0x (x∗ )h. by Taylor’s theorem we have f0 (xk ) = f0 (x∗ + (xk − x∗ )) = f0 (x∗ ) + f0x (x∗ )(xk − x∗ ) + o(xk − x∗ ) . {xf1 (x) = 0} Figure 5.5).1: Ω = P QR k ∗ lim x = x .6) εk + o(xk −x∗ ) εk . ♦ k→∞ lim o(xk −x∗ ) xk −x∗  k→∞ lim xk −x∗  εk .4) Note that in particular (5.5) k→∞ Since f0 is differentiable. so that 0 ≥ f0x (x∗ ) (x k −x∗ ) (5. QUALITATIVE THEORY OF NONLINEAR PROGRAMMING direction of increasing payoff π(k) = {xf0 (x) = k} Q x∗ 51 {xf3 (x) = 0} P {xf2 (x) = 0} Ω R . Taking limits as k → ∞. (5. and x∗ is optimal.4) and (5.5. 1 (xk εk k→∞ k→∞ lim − x∗ ) = h . Since xk ∈ Ω.1.
Since fi is differentiable. NONLINEAR PROGRAMMING x∗ K(Ω. The main reason for this is that the set {fix (x∗ )i ∈ I(x∗ )} is not in general linearly independent. x∗ ) ⊂ {hfix (x∗ )h ≤ 0 for all i ∈ I(x∗ )} . Let (x∗ . x∗ ) Figure 5. fi (xk ) ≤ 0. fi (x∗ ) = 0. 2}. .7) cannot be reversed. (5. Unfortunately. 2. Lemma 2: Let x∗ ∈ Ω. in general the inclusion sign in (5. x∗ ) is the tangent cone of Ω at x∗ . by Taylor’s theorem we have fi (xk ) = fi (x∗ ) + fix (x∗ )(xk − x∗ ) + o(xk − x∗ ) .52 CHAPTER 5. Then we can apply Farkas’ Lemma just as in Exercise 1 of 4. f1 (x1 . The basic problem that remains is to characterize the set C(Ω. Exercise 3: Let x ∈ R2 . x∗ ) = (1. Then I(x∗ ) = {1. . Since xk ∈ Ω.2. Then C(Ω. . x∗ )     0  C(Ω. k = 1. x∗ ) in terms of the derivatives of the functions fi .2: C(Ω.7) Proof: Let h ∈ Rn and xk ∈ Ω. εk > 0. x∗ ). so that fi (xk ) ≤ fi (x∗ ). Following the proof of Lemma 1 we can conclude that 0 ≥ fix (x∗ )h.4). and f2 (x1 . x2 ) = (x1 − 1)3 + x2 . satisfy (5. and if i ∈ I(x∗ ). ♦ Lemma 2 gives us a partial characterization of C(Ω. x2 ) = −x2 . . Show that 1 2    . 0).
5.1. QUALITATIVE THEORY OF NONLINEAR PROGRAMMING
C(Ω, x∗ ) = {hfix (x∗ )h ≤ 0 , i = 1, 2, }. (Note that {f1x (x∗ ), f2x (x∗ )} is not a linearly independent set; see Lemma 4 below.)
53
5.1.2 KuhnTucker Theorem.
Deﬁnition: Let x∗ ∈ Ω. We say that the constraint qualiﬁcation (CQ) is satisﬁed at x∗ if C(Ω, x) = {hfix (x∗ )h ≤ 0 for all i ∈ I(x∗ )}, and we say that CQ is satisﬁed if CQ is satisﬁed at all x ∈ Ω. (Note that by Lemma 2 C(Ω, x) is always a subset of the righthand side.) Compare the next result with Exercise 2 of 4.2. Theorem 1: (Kuhn and Tucker [1951]) Let x∗ be an optimum solution of (5.1), and suppose that CQ is satisﬁed at x∗ . Then there exist λ∗ ≥ 0, for i ∈ I(x∗ ), such that i f0x (x∗ ) =
i∈I(x∗ )
λ∗ fix (x∗ ) i
(5.8)
Proof: By Lemma 1 and the deﬁnition of CQ it follows that f0x (x∗ )h ≤ 0 whenever fix (x∗ )h ≤ 0 for all i ∈ I(x∗ ). By the Farkas’ Lemma of 4.2.1 it follows that there exist λ∗ ≥ 0 for i ∈ I(x∗ ) i such that (5.8) holds. ♦ In the original formulation of the decision problem we often have equality constraints of the form rj (x) = 0, which get replaced by rj (x) ≤ 0, −rj (x) ≤ 0 to give the form (5.1). It is convenient in application to separate the equality constraints from the rest. Theorem 1 can then be expressed as Theorem 2.
Theorem 2: Consider the problem (5.9). Maximize f0 (x) subject to fi (x) ≤ 0 , i = 1, . . . , m, rj (x) = 0 , j = 1, . . . , k .
(5.9)
Let x∗ be an optimum decision and suppose that CQ is satisﬁed at x∗ . Then there exist λ∗ ≥ 0, i = i 1, . . . , m, and µ∗ , j = 1, . . . , k such that j
m
f0x (x∗ ) =
i=1
λ∗ fix (x∗ ) + i
k j=1
µ∗ rjx (x∗ ) , j
(5.10)
and λ∗ = 0 whenever fi (x∗ ) < 0 . i Exercise 4: Prove Theorem 2. (5.11)
54
CHAPTER 5. NONLINEAR PROGRAMMING
An alternative form of Theorem 1 will prove useful for computational purposes (see Section 4). Theorem 3: Consider (5.9), and suppose that CQ is satisﬁed at an optimal solution x∗ . Deﬁne ψ : Rn → R by ψ(h) = max {−f0x (x∗ )h, f1 (x∗ ) + f1x (x∗ )h, . . . , fm (x∗ ) + fmx (x∗ )h} , and consider the decision problem Minimize ψ(h) subject to −ψ(h) − f0x (x∗ )h ≤ 0, −ψ(h) + fi (x∗ ) + fix (x∗ )h ≤ 0 , 1 ≤ i ≤ m −1 ≤ hi ≤ 1 , i = 1, . . . , n . Then h = 0 is an optimal solution of (5.12). Exercise 5: Prove Theorem 3. (Note that by Exercise 1 of 4.5, (5.12) can be transformed into a LP.) Remark: For problem (5.9) deﬁne the Lagrangian function L:
m k
(5.12)
(x1 , . . . , xn ; λ1 , . . . , λm ; µ1 , . . . , µk ) → f0 (x) −
i=1
λi fi (x) −
j=1
µj rj (x).
Then Theorem 2 is equivalent to the following statement: if CQ is satisﬁed and x∗ is optimal, then there exist λ∗ ≥ 0 and µ∗ such that Lx (x∗ , λ∗ , µ∗ ) = 0 and L(x∗ , λ∗ , µ∗ ) ≤ L(x∗ , λ, µ) for all λ ≥ 0, µ. There is a very important special case when the necessary conditions of Theorem 1 are also sufﬁcient. But ﬁrst we need some elementary properties of convex functions which are stated as an exercise. Some additional properties which we will use later are also collected here. Recall the deﬁnition of convex and concave functions in 4.2.3. Exercise 6: Let X ⊂ Rn be convex. Let h : X → R be a differentiable function. Then (i) h is convex iff h(y) ≥ h(x) + hx (x)(y − x) for all x, y, in X, (ii) h is concave iff h(y) ≤ h(x) + hx (x)(y − x) for all x, y in X, (iii) h is concave and convex iff h is afﬁne, i.e. h(x) ≡ α + b x for some ﬁxed α ∈ R, b ∈ Rn . Suppose that h is twice differentiable. Then (iv) h is convex iff hxx (x) is positive semideﬁnite for all x in X, (v) h is concave iff hxx (x) is negative semideﬁnite for all x in X, (vi) h is convex and concave iff hxx (x) ≡ 0. Theorem 4: (Sufﬁcient condition) In (5.1) suppose that f0 is concave and fi is convex for i = 1, . . . , m. Then (i) Ω is a convex subset of Rn , and (ii) if there exist x∗ ∈ Ω, λ∗ ≥ 0, i ∈ I(x∗ ), satisfying (5.8), then x∗ is an optimal solution of i (5.1). Proof: (i) Let y, z be in Ω so that fi (y) ≤ 0, fi (z) ≤ 0 for i = 1, . . . , m. Let 0 ≤ θ ≤ 1. Since fi is convex we have
5.1. QUALITATIVE THEORY OF NONLINEAR PROGRAMMING
fi (θy + (1 − θ)z) ≤ θfi (y) + (1 − θ)fi (z) ≤ 0 , 1 ≤ i ≤ m, so that (θy + (1 − θ)z) ∈ Ω, hence Ω is convex. (ii) Let x ∈ Ω be arbitrary. Since f0 is concave, by Exercise 6 we have f0 (x) ≤ f0 (x∗ ) + f0x (x∗ )(x − x∗ ) , so that by (5.8) f0 (x) ≤ f0 (x∗ ) +
i∈I(x∗ )
55
λ∗ fix (x∗ )(x − x∗ ) . i
(5.13)
Next, fi is convex so that again by Exercise 6, fi (x) ≥ fi (x∗ ) + fix (x∗ )(x − x∗ ) ; but fi (x) ≤ 0, and fi (x∗ ) = 0 for i ∈ I(x∗ ), so that fix (x∗ )(x − x∗ ) ≤ 0 for i ∈ I(x∗ ) . (5.14) Combining (5.14) with the fact that λ∗ ≥ 0, we conclude from (5.13) that f0 (x) ≤ f0 (x∗ ), so that i x∗ is optimal. ♦ Exercise 7: Under the hypothesis of Theorem 4, show that the subset Ω∗ of Ω, consisting of all the optimal solutions of (5.1), is a convex set. Exercise 8: A function h : X → R deﬁned on a convex set X ⊂ Rn is said to be strictly convex if h(θy + (1 − θ)z) < θh(y) + (1 − θ)h(z) whenever 0 < θ < 1 and y, z are in X with y = z. h is said to be strictly concave if −h is strictly convex. Under the hypothesis of Theorem 4, show that an optimal solution to (5.1) is unique (if it exists) if either f0 is strictly concave or if the fi , 1 ≤ i ≤ m, are strictly convex. (Hint: Show that in (5.13) we have strict inequality if x = x∗ .)
5.1.3 Sufﬁcient conditions for CQ.
As stated, it is usually impractical to verify if CQ is satisﬁed for a particular problem. In this subsection we give two conditions which guarantee CQ. These conditions can often be veriﬁed in practice. Recall that a function g : Rn → R is said to be afﬁne if g(x) ≡ α + b x for some ﬁxed α ∈ R and b ∈ Rn . We adopt the formulation (5.1) so that Ω = {x ∈ Rn fi (x) ≤ 0 , 1 ≤ i ≤ m} . Lemma 3: Suppose x∗ ∈ Ω and suppose there exists h∗ ∈ Rn such that for each i ∈ I(x∗ ), either fix (x∗ )h∗ < 0, or fix (x∗ )h∗ = 0 and fi is afﬁne. Then CQ is satisﬁed at x∗ . Proof: Let h ∈ Rn be such that fix (x∗ )h ≤ 0 for i ∈ I(x∗ ). Let δ > 0. We will ﬁrst show that (h + δh∗ ) ∈ C(Ω, x∗ ). To this end let εk > 0, k = 1, 2, . . . , be a sequence converging to 0 and set xk = x∗ + εk (h + δh∗ ). Clearly xk converges to x∗ , and (1/εk )(xk − x∗ ) converges to (h + δh∗ ). Also for i ∈ I(x∗ ), if fix (x∗ )h < 0, then fi (xk ) = fi (x∗ ) + εk fix (x∗ )(h + δh∗ ) + o(εk h + δh∗ ) ≤ δεk fix (x∗ )h∗ + o(εk h + δh∗ ) < 0 for sufﬁciently large k , whereas for i ∈ I(x∗ ), if fi is afﬁne, then
16) and recall that {fiw (x∗ )i ∈ Jδ } is a basis in Rp we can conclude that (ξ + δξ ∗ ) = gu (u∗ )(η + δη ∗ ) so that (1/εk )(xk − x∗ ) converges to (h + hδh∗ ). i ∈ Jδ . h∗ = (ξ ∗ . u∗ ). x∗ ). (5. Let δ > 0. uk − u∗ ) = (1/εk )(g(uk ) − g(u∗ ). Let εk > 0. x∗ ) is a closed set by Exercise 2. Thus we have also shown that xk ∈ Ω for sufﬁciently large k. uk ) = 0. fix (x∗ )(h + δh∗ ) = 0}. such that fi (w. Then CQ is satisﬁed at x∗ .15) and (5. Now (1/εk )(xk − x∗ ) = (1/εk )(wk − w∗ . i ∈ I(x∗ ). and since C(Ω. Proof: Let h ∈ Rn be such that fix (x∗ )h ≤ 0 for all i ∈ I(x∗ ). for i ∈ I(x∗ ) we have fi (x∗ ) < 0. Since δ > 0 can be arbitrarily small. fi (xk ) = fi (g(uk ). and hence 0 = fiw (x∗ )gu (u∗ )(η + δη ∗ ) + fiu (x∗ )(η + δη ∗ ) . Next we partition h. η). for i ∈ Jδ . and so by deﬁnition (h + δh∗ ) ∈ C(Ω. We note that uk converges to u∗ . Finally. . η ∗ ) corresponding to the partition of x = (w. so wk = g(uk ) converges to w∗ = g(u∗ ). u) = 0. fi (xk ) = fi (x∗ ) + fix (x∗ )(xk − x∗ ) + o(xk − x∗ ) fi (x∗ ) + εk fix (x∗ )(h + δh∗ ) + o(εk ) + o(xk − x∗ ). .15) Also. whereas for i ∈ Jδ . wk = g(uk ). 2 . and ﬁnally xk = (sk . consist of p elements. be any sequence converging to 0. xk converges to x∗ . so that {fix (x∗ . and (w. u∗ )i ∈ Jδ } is linearly independent. Then CQ is satisﬁed at x∗ . Let Jδ = {ii ∈ I(x∗ ). k = 1. . and set uk = u∗ + εk (η + δη ∗ ). (5. Since g is differentiable. 0 = fi (g(u). there exist ρ > 0. u). it follows that h ∈ C(Ω. x∗ ). But for i ∈ Jδ we have 0 = fix (x∗ )(h + δh∗ ) = fiw (x∗ )(ξ + δξ ∗ ) + fiu (x∗ )(η + δη ∗ ) . h∗ as h = (ξ.16) If we compare (5. . (Hint: Show fi (x i i x i that h∗ = x − x∗ satisﬁes the hypothesis of Lemma 3. First of all. η + δη ∗ ). ♦ Exercise 9: Suppose x∗ ∈ Ω and suppose there exists x ∈ Rn such that for each i ∈ I(x∗ ). εk (η + δη ∗ )). It remains to show that xk ∈ Ω for sufﬁciently large k. NONLINEAR PROGRAMMING fi (xk ) = fi (x∗ ) + εk fix (x∗ )(h + δh∗ ) ≤ 0 for all k . fix (x∗ )h∗ = 0} is a linearly independent set. Clearly Jδ ⊂ J = {ii ∈ I(x∗ ). so that fi (xk ) < 0 for sufﬁciently large k. an open set V ⊂ Rn containing x∗ = (w∗ . and {fix (x∗ )i ∈ I(x∗ ). x∗ ). By the Implicit Function Theorem. and a differentiable function g : U → Rp . u) ∈ V iff u ∈ U.) ˆ Lemma 4: Suppose x∗ ∈ Ω and suppose there exists h∗ ∈ Rn such that fix (x∗ )h∗ ≤ 0 for i ∈ I(x∗ ). for i ∈ Jδ . where U = {u ∈ Rn−p u − u∗  < ρ}. it follows that (1/εk )(xk − x∗ ) converges to (gu (u∗ )(η + δη ∗ ). Thus. We will show that (h + δh∗ ) ∈ C(Ω. and w = g(u) .56 CHAPTER 5. u) for u ∈ U so that 0 = fiw (x∗ )gu (u∗ ) + fiu (x∗ ). either ˆ ∗ ) < 0 and f is convex. or f (ˆ) ≤ 0 and f is afﬁne. fi x(x∗ )h∗ = 0}. uk ).
fm ) : Rn → Rm . . 5.5. and it has provided many unifying conceptual insights into economics and management science. However. To ﬁnish the proof we note that δ > 0 can be made arbitrarily small.3 we give some application of duality theory and in 2. b b b For convenience.1 should be compared with Theorems 1 and 4 of 4. Consider problem (5. 1 ≤ i ≤ m b x∈X . Its proof is left as an exercise since it is very similar to the proof of Lemma 4. We wish to examine the behavior of the maximum value of (5.18) . B = {bΩ(b) = φ}. x∗ ) is closed by Exercise 2.2. (5. ˆm ) is a given vector. fix (x∗ )h∗ = 0} {rjx (x∗ )j = 1.2. and fix (x∗ )h∗ ≤ 0 for i ∈ I(x∗ ). Then CQ is satisﬁed at x∗ . . .2 Duality Theory Duality theory is perhaps the most beautiful part of nonlinear programming. f0 : Rn → R is a given concave function. Maximize f0 (x) − λ (f (x) − ˆ b) subject to x ∈ X . f (x) ≤ b} = sup{f0 (x)x ∈ Ω(b)} .17) which we call the primal problem: Maximize f0 (x) subject to fi (x) ≤ ˆi . .2. x∗ ). xk ∈ Ω for sufﬁciently large k. x∗ ). Lemma 5: Suppose x∗ is feasible for (5. . rjx (x∗ )h∗ = 0 for 1 ≤ j ≤ k. λ ≥ 0. are given convex functions. (5. .2 we refer to some of the important generalizations. . It may be useful to note in the following discussion that most of the results do not require differentiability of the various functions. It has resulted in many applications within nonlinear programming. . .9) and suppose there exists h∗ ∈ Rn such that the set {fix (x∗ )i ∈ I(x∗ ). Hence. be ﬁxed. let f = (f1 . . and C(Ω. so that h ∈ C(Ω. k} is linearly independent. So we deﬁne b Ω(b) = {xx ∈ X. We need to consider b) x the following problem also. . and even so some of the proofs are relegated to the Appendix at the end of this Chapter since they depend on advanced material.17) where x ∈ Rn . fi : Rn → R. We can only present some of the basic results here. . DUALITY THEORY 57 and since fi (x∗ ) = 0 whereas fix (x∗ )(h + δh∗ ) < 0. The results in 2.17) as ˆ varies. Thus. and M : B→R {+∞} by M (b) = sup{f0 (x)x ∈ X. 1 ≤ i ≤ m. we can conclude that fi (xk ) < 0 for sufﬁciently large k.2. in terms of suggesting important computational algorithms.1 Basic results. so that in particular if x∗ is an optimal solution of (5.9). Let λ ∈ Rm . In 2.17) then M (ˆ = f0 (ˆ). X is a given convex subset of Rn and ˆ = (ˆ1 . Exercise 10: Prove Lemma 5 5. we will give some geometric insight. (h + δh∗ ) ∈ C(Ω.1 and the results in 4. f (x) ≤ b}.3. ♦ The next lemma applies to the formulation (5.
♦ ˆ = m∗ in The basic problem of Duality Theory is to determine conditions under which M (b) (5.20).2 below. For example see the problems discussed in Sections 2. f.1 and 2.) Exercise 1: Prove Lemma 1.17) is usually equal to Rn and then. and λ ≥ 0.. Lemma 2 shows that the optimum value of the dual problem is always an upper bound for the optimum value of the primal.e. (Here R+ = {λ ∈ Rn λ ≥ 0}. b) b). of course. b)x Problem (5. Hence f0 (x) ≤ sup {f0 (x)x ∈ Ω(ˆ = M (ˆ b)} b) ˆ ∈ Ω(ˆ and since Ω(ˆ ⊂ X. n n Lemma 1: m : R+ → R {+∞} is a convex function. and since M (ˆ is independent of λ. However. ˆ Deﬁnition: A pair (ˆ.19) is called the dual problem: Minimize m(λ) subject to λ ≥ 0 . there is no reason to separate it out. it is sometimes possible to include some of the constraints in X in such a way that the calculation of m(λ) by (5.58 and deﬁne CHAPTER 5.20). Remark 1: The set X in (5. X. we have f0 (x) ≤ M (ˆ ≤ m(λ) for x ∈ Ω(ˆ λ ≥ 0 . So. b) Proof: Since f (x) − ˆ ≤ 0. we have λ (f (x) − ˆ ≤ 0. b). Lemma 2: (Weak duality) If x is feasible for (5.17). then b). NONLINEAR PROGRAMMING m(λ) = sub{f0 (x) − λ (f (x) − ˆ ∈ X} .18) and the solution of the dual problem (5.19) Let m∗ = inf {m(λ)λ ≥ 0}. We ﬁrst give a simple sufﬁciency condition. Remark 2: It is sometimes useful to know that Lemmas 1 and 2 below hold without any convexity conditions on f0 .20) . b)x Thus.19) become simple. f0 (x) ≤ M (ˆ ≤ m∗ ≤ m(λ) . Lemma 1 shows that the cost function of the dual problem is convex which is useful information since there are computation techniques which apply to convex cost functions but not to arbitrary nonlinear cost functions.3. ≤ sup {f0 (x) − λ (f (x) − b)x b)} b) ≤ sup {f0 (x) − λ (f (x) − ˆ ∈ X} = m(λ) . b b) f0 (x) ≤ f0 (x) − λ (f (x) − ˆ for x ∈ Ω(ˆ λ ≥ 0 . i. λ) with x ∈ X. b). if we take the inﬁmum with respect to λ ≥ 0 in the righthand b) inequality we get (5.3. (5. x ∈ Ω(ˆ and if λ ≥ 0. and λ ≤ 0 is said to satisfy the optimality conditions if x ˆ ˆ (5.
λ (f (ˆ) − ˆ = 0. . Then b).22) ˆ ˆ λi = 0 when fi (ˆ) < ˆi .21) x is feasible for (5. and hence by deﬁnition f0 (ˆ) = M (ˆ Also ˆ x b). Also.18) with λ = λ. DUALITY THEORY ˆ x is optimal solution of (5. and M : B → R {+∞} is a concave function. let x ∈ Ω(b). Lemma 3: B is a convex subset of Rm . x since X is convex.17). B is convex. Theorem 1: (Sufﬁciency) If (ˆ.21) x x b) = f0 (ˆ) by (5.24) .5. Proof: Let b. then x is an optimal solution to x ˆ ˆ ˆ the primal. equivalently. ˜ belong to B. fi (ˆ) ≤ ˆi for i = 1. . f0 (ˆ) = M (b) x ˆ so that from Weak Duality λ is optimal for the dual. b) ˆ Proof: Let x ∈ Ω(ˆ so that λ (f (x) − ˆ ≤ 0. m . ♦ We now proceed to a much more detailed investigation. Note that in this case x ∈ Ω(b) ˆ The next result is equivalent to Theorem 4(ii) of Section 1 if X = Rn .23) ˆ λ ≥ 0 is said to be an optimal price vector if there is x ∈ X such that (ˆ. .23) x so that x is optimal for the primal. and M (ˆ = m∗ . since f0 is concave.2. f0 (θx + (1 − θ)˜) ≥ θf0 (x) + (1 − θ)f0 (˜) .e. x x (5. . b) ˆ f0 (x) ≤ f0 (x) − λ (f (x) − ˆ b) ˆ (f (x) − ˆ ∈ X} ≤ sup{f0 (x) − λ b)x ˆ = f0 (ˆ) − λ (f (ˆ) − ˆ by (5. ˆ x b (5. and fi . λ) satisfy the optimality conditions. i. x b x b) (5. are differentiable. λ is an optimal solution to the dual. and fi (θx + (1 − θ)˜) ≤ θfi (x) + (1 − θ)fi (˜) x x since fi is convex. x ∈ Ω(˜ let 0 ≤ θ ≤ 1.. x hence (θx + (1 − θ)˜) ∈ Ω(θb + (1 − θ)˜ x b) and therefore.22). 0 ≤ i ≤ m. λ) satisfy the optimality ˆ x ˆ ˆ by virtue of (5. ˆ ˆ m(λ) = f0 (ˆ) − λ (f (ˆ) − ˆ x x b) ˆ . condition. so that b fi (θx + (1 − θ)˜) ≤ θb + (1 − θ)˜ . Then (θx + (1 − θ)˜) ∈ X b ˜ b). ˆ 59 (5.
Deﬁnition: The function M : B → R number K such that {∞} is said to be stable at ˆ ∈ B if there exists a real b M (b) ≤ M (ˆ + Kb − ˆ for b ∈ B .) M (b) M (b) M (ˆ b) b) . b ˆ b M is not stable at ˆ b .3.60 CHAPTER 5. b M (b)  ˆ b M is stable at ˆ b M (ˆ + λ (b − ˆ b) b)  . x ˆ (g(x) ≥ g(ˆ) + λ (x − x) for x ∈ X.) x ˆ (See Figure 53. b) b (In words. x ∈ Ω(˜ b) x ˜ b)} ≥ sup{f0 (x)x ∈ Ω(b)} + (1 − θ) sup {f0 (˜)˜ ∈ Ω(˜ x x b)} ˜ = θM (b) + (1 − θ)M (b). Figure 5. M is stable at ˆ if M does not increase inﬁnitely steeply in a neighborhood of ˆ See b b. λ is a supergradient at ˆ b Figure 5.  ˆ b   b . NONLINEAR PROGRAMMING Since (5. −∞}.∈M (ˆ b B .) A more geometric way of thinking about subgradients is the following. Deﬁne the subset A ⊂ R1+m by .24) holds for all x ∈ Ω(b) and x ∈ Ω(˜ it follows that ˜ b) M (θb + (1 − θ)ˆ ≥ sup {f0 (θx + (1 − θ)˜)x ∈ Ω(b).3: Illustration of supergradient of stability. A vector λ ∈ Rn is said to be a supergradient (subgradient) of g at x ∈ X if ˆ g(x) ≤ g(ˆ) + λ (x − x) for x ∈ X. ♦ Deﬁnition: Let X ⊂ Rn and let g : X → R {∞.
−λm ) deﬁnes a hyperplane supporting A at b). x M (ˆ − λ ˆ ≥ M (ˆ − λ f (ˆ) . b)b ∈ B. . giving (5. . optimal price vector. See Figure 5. ˆ if r b) m m λ0 r + ˆ i=1 b λiˆi ≥ λ0 r + λi bi for all (r. or see the Appendix at the end of this Chapter. −λm ) deﬁnes a nonvertical hyperplane b supporting A at (M (ˆ ˆ (ii) if (λ0 . and then (ˆ. We will prove only one part of the next crucial result. and r ≤ M (b)} . r b) ˆ ∈ B. λ ≥ 0 and ˆ By Exercise 2. . . futhermore. 1 . b) ˆ b b) ˆ x ˆ ˆ b so that λ (f (ˆ) − ˆ ≥ 0. b) b ♦ The next two results give important alternative interpretations of supergradients. b b). we can rewrite the inequality above as x b). (M (b). (λm /λ0 )) is a supergradient of M at ˆ b. −λ1 . M (b) ≤ M (ˆ + λ (b − ˆ b) b) ≤ M (ˆ + λb − ˆ . f (ˆ) = M (ˆ x ∈ X. . if the hyperplane is nonvertical then b). We call A the hypograph1 of M . −λ1 . i=1 (5. . . b) ˆ b ˆ Since f0 (ˆ) = M (ˆ and λ (f (ˆ) − ˆ = 0. . Next let x ∈ X. ˆ then Let λ be a supergradient at b.4. x b) From the Greek “hypo” meaning below or under.2.5. and (1. This neologism contrasts with the epigraph of a function which is the set lying above the graph of the function.17).23). But then λ (ˆ − f (ˆ)) = 0.25) λi bi }.) The supporting (In words. ˜ ≥ ˆ and r ≤ M (ˆ then ˜ ∈ B. ˜ b). b) ((λ1 /λ0 . λ1 . . ˆ f (ˆ)) ∈ A and by Exercise 3. . . b b b. The reader who is familiar with the Separation Theorem of convex sets should be able to construct a proof for the second part based on Figure 5. 61 Thus A is the set lying ”below” the graph of M . λi ≥ 0 for 1 ≤ i ≤ m. DUALITY THEORY A = {(r. Then λ is a supergradient of M at ˆ iff λ is an ˆ b ˆ satisfy the optimality conditions. b). . . . hence again by Exercise 3 ˆ M (ˆ − λ ˆ ≥ f0 (x) − λ f (x) . b. Deﬁnition: A vector (λ0 . b)λ0 r+ λi bi = λ0 r + ˆ ˆ hyperplane is said to be nonvertical if λ0 = 0. Lemma 4: (Gale [1967]) M is stable at ˆ iff M has a supergradient at ˆ Proof: (Sufﬁciency only) b b. Since M is concave it follows immediately that A is convex (in fact these are equivalent statements). ˆ x b.4. Then x b) x (f0 (x). . . A lies below the hyperplane π = {(r. ˜ ∈ A. ˆ ˆ Lemma 5: Suppose that x is optimal for (5. . f (x)) ∈ A. (M (ˆ ˆ then λ0 ≥ 0. . . Show that (i) if λ = (λ1 . . Exercise 2: Show that if ˆ ∈ B. λm ) is said to be the normal to a hyperplane supporting A at a point(ˆ. b) ∈ A . λ) x ˆ Proof: By hypothesis. λm ) is a Exercise 3: Assume that b b) supergradient of M at ˆ then λ ≥ 0. and f (ˆ) ≤ ˆ Let λ be a supergradient of M at ˆ x b). and M (ˆ < ∞. M (˜ and (˜.
62 M (b) CHAPTER 5. b) ˆ b) ˆ so that λ is a supergradient of M at ˆ b. b) Figure 5. ♦ ˆ ˆ Lemma 6: Suppose that ˆ ∈ B.23). x ˆ ˆ Conversely.4: Hypograph and supporting hyperplane.19) and m(λ) = M (ˆ b). A ˆ b b π is a nonvertical hyperplane supporting A at (M (ˆ ˆ ˆ b). λ) satisfy the optimality conditions. b) M (b) π ˆ M (ˆ b) (λ0 .23) . . A b ˆ b No nonvertical hyperplane supporting A at (M (ˆ ˆ b). by (5. Let x ∈ Ω(b). ˆ be a supergradient of M at ˆ Let x ∈ X. Then λ ˆ f0 (x) ≤ f0 (x) λ (f (x) − b) ˆ = f0 (x) − λ (f (x) − ˆ + λ (b − ˆ b) ˆ b) ˆ (f (ˆ) − ˆ + λ (b − ˆ ˆ ≤ f0 (ˆ) − λ x x b) b) ˆ (b − ˆ = f0 (ˆ) + λ x b) = M (ˆ + λ (b − ˆ . x x b) b) so that (5.22). By Exercises 2 and 3 Proof: Let λ b. It follows that (ˆ.21) holds. . i. (5.e. . and M (ˆ < ∞. ˆ ˆ f0 (ˆ) + λ (f (ˆ) − ˆ ≥ f0 (x) − λ (f (x) − ˆ .. b) ˆ b) Hence M (b) = sup{f0 (x)x ∈ Ω(b)} ≤ M (ˆ + λ (b − ˆ . NONLINEAR PROGRAMMING M (ˆ b) . f (x) ≤ b. ˆ ˆ (f (x) − b) ≤ 0 so that x ∈ X.21) by (5. Then λ is a supergradient of M at ˆ iff λ is an b b) b ˆ optimal solution of the dual (5. λ ≥ 0 satisfy (5. λm ) . and (5. .21). suppose x ∈ X.
Thus the condition of stability of M at ˆ plays a similar role to the constraint qualiﬁcation. DUALITY THEORY ˆ M (ˆ − λ ˆ ≥ f0 (x) − λ f (x) b) ˆ b or ˆ M (ˆ ≥ f0 (x) − λ (f (x) − ˆ .2 Interpretation and extensions. whereas the “only if” part of (iii) follows from Lemma 5.6. ˆ b. In other words if CQ holds at x then M is stable at ˆ In particular. b) ˆ b) 63 ˆ so that λ is a supergradient. n and the f are differentiable. and (5.23).) 5.22). b) b) so that ˆ ˆ M (ˆ ≥ sup{f0 (x) − λ (f (x) − ˆ ∈ X} = m(λ) .21).3.2. 0 ≤ i ≤ m. by Lemmas 4. and m(λ) = M (ˆ b). b) b)x ˆ ˆ By weak duality (Lemma 2) it follows that M (ˆ = m(λ) and λ is optimal for (5.8). ˆ M (ˆ ≥ f0 (x) − λ (f (x) − ˆ . (Hint: See Theorem 5 of 4. It is easy to see using convexity properties that. ˆ ˆ (ii) λ is optimal for the dual iff λ is a supergradient of M at ˆ b. b) b) ˆ and if moreover f (x) ≤ b. M (ˆ < ∞. if X = Rn and fi . (5. the various conditions of Section 1. and m(λ) = M (ˆ Then for any x ∈ X ˆ Conversely suppose λ b). then M is stable at ˆ b. and M is stable at ˆ Then b b) b. and (5. then x is optimal for the primal iff (ˆ.19). in particular if there exists x ∈ X such that fi (x) < ˆi for b b 1 ≤ i ≤ m. Theorem 2: (Duality) Suppose ˆ ∈ B. b However. 6 stability is equivalent to the existence of optimal dual variables. if λ is an optimal solution to the dual then (∂M + /∂bi )(ˆ ≤ λi ≤ (∂M − /∂bi )(ˆ b) ˆ b). then λ (f (x) − b) ≤ 0. then the optimality conditions (5. Exercise 4: Prove Corollary 1. ˆ ˆ (i) there exists an optimal solution λ for the dual. are differentiable. whereas CQ is only a sufﬁcient condition. λ) satisfy the (iii) if λ ˆ x ˆ optimality conditions of (5.23) are equivalent to the KuhnTucker condition (5.5. Hence. ˆ is any optimal solution for the dual. b) ˆ ≥ 0.3 imply stability. ♦ ˆ Corollary 1: Under the hypothesis of Theorem 2. (5. . so that ˆ M (ˆ ≥ f0 (x) − λ (f (x) − ˆ + λ (f (x) − b) b) b) ˆ ˆ ˆb = f0 (x) − λ b + λ ˆ for x ∈ Ω(b) . M (b) = sup{f0 (x)x ∈ Ω(b)} ≤ M (ˆ + λ (b − ˆ .21).2. Lemma 7: If ˆ is in the interior of B. (ii) is implied by Lemma 6. The “if” part of (iii) follows from Theorem 1. ♦ We can now summarize our results as follows. Proof: (i) follows from Lemmas 4.22). Here if X = R i we give one sufﬁcient condition which implies stability for the general case.2.
Much of duality theory can be given an economic interpretation similar to that in Section 4. . These ideas are developed in (Gale [1967]). λm ) . and comparing with Figure 5. . esis on X and fi . M (ˆ < ∞ without loss of generality. Instead of (5.26) . and ﬁnally f (x) the amount of these resources used up at activity levels x.17) is the shortterm decision problem faced by the ﬁrm. the ﬁrm faces the decision problem ˆ an optimal solution of (5. NONLINEAR PROGRAMMING The proof rests on the Separation Theorem for convex sets. A ˆ b b Figure 5. and only depends on the fact that M is concave.2. (5. (5.64 CHAPTER 5. we can say that equilibrium prices exist iff marginal productivities of every (variable) resource is ﬁnite. . f0 (x) the corresponding revenue.4.17) also is an optimal solution for (5.5: If M is not concave there may be no supporting hyperplane at (M (ˆ ˆ b). The primal problem (5. It is possible to obtain the duality theorem under conditions slightly weaker than convexity but since these conditions are not easily veriﬁable we do not pursue this direction any further (see Luenberger [1968]). Referring to Figure 5. b) ˆ eral than hyperplanes. If for a price system λ. b as the vector of current resource supplies. The various convexity conditions are generalizations of the economic hypothesis of nonincreasing returnstoscale. . if the current ˆ resources can be bought or sold at prices λ = (λ1 . and ˆ is the interior of B.18). M (ˆ < ∞ we can see from Theorem 2 and its Corollary 1 that there exists b b) an equilibrium price system iff (∂M + /∂bi )(ˆ < ∞. Next. b).18) we would then have more general problem of the form (5. M (b) M (ˆ b) . we can think of x as the vector of n activity levels. there may be no hyperplane supporting A at (M (ˆ ˆ This is the reason why duality theory requires the often restrictive convexity hypothb). Thus. b). A much more promising development has recently taken place. if we interpret (∂M + /∂bi )(ˆ b) b) as the marginal revenue of the ith resource. For details see the b) b Appendix. Assuming the realistic condition ˆ ∈ B. see Figure 5.18). equivalently.4. ˆ then we can interpret λ as a system of equilibrium prices just as in 4.6.3 or Figure 5. The basic idea involved is to consider supporting A at (M (ˆ ˆ by (nonvertical) surfaces π more genb). X as constraints due to physical or longterm limitations. 1 ≤ i ≤ m.26): Maximize f0 (x) − F (f (x) − ˆ b) subject to x ∈ X . if its hypograph A is not convex.5 it is evident that if M is not concave or.
18) for λ = λ . The following references are pertinent: (Gould [1969]).2. b). For more details concerning the topics of 2. Decentralized resource allocation. f (x) − ˆ ∈ X} . . b) ≥ 0 for b ≥ 0. Then for each ﬁxed µ ≥ 0 we have (5.26): Maximize f0 (x) − φ(µ. (Banerjee [1971]). such an interpretation to make sense we should have φ(µ.27) instead of (5. DUALITY THEORY 65 where F : Rm → R is chosen so that π (in Figure 5. .6) is the graph of the function b → M (ˆ − ˆ b) F (b − ˆ Usually F is chosen from a class of functions φ parameterized by µ = (µ1 . In particular ˆ from Theorem 2 (iii).2. (Greenberg and Pierskalla [1970]).27) M (ˆ b) .27) would be that if the prevailing (nonuniform) price system is φ(µ. b) ≥ φ(µ. ·) then the resources f (x) − ˆ can be bought (or sold) for the amount φ(µ. The economic interpretation of (5. presented in (Frank [1969]). of course. and φ(µ. 5. b). For noneconomic applications.1 see (Geoffrion [1970a]) and for a mathematically more elegant treatment see (Rockafellar [1970]).22) and those optimal solutions of (5.3 Applications. . If we let ψ(µ) =sup{f0 (x) − φ(µ. .5. µk ) ≥ 0. ˜ b) whenever b ≥ ˜ A relatively unnoticed. Also see (Arrow and Hurwicz [1960]).19). but quite interesting development along these lines is b.6: The surface π supports A at (M (ˆ ˆ ˆ b). M (b) π ˆ (5. f (x) − ˆ For b b). no such limitation on φ is necessary. Parts (i) and (iii) of Theorem 2 make duality theory attractive for computation purposes. f (x) − ˆ b) subject to x ∈ X . if we have an optimal dual solution λ then the optimal primal solutions are ˆ which also satisfy the feasibility condition (5. b)x then the dual problem is Minimize ψ(µ) subject to µ ≥ 0 . in analogy with (5. A ˆ b b Figure 5.
subject to x i k i If we let mi (λ) = sup{f0 (xi ) − λ f i (xi )xi ∈ X i }. 1 ≤ i ≤ k . 1 ≤ i ≤ k. Consider a decision problem in a large system (e.23). 1 ≤ i ≤ k. say xi (λ).. it is the form f0 (x1 ) + .29) may be much easier to solve than (5. i. for each λ ≥ 0 there is a unique optimal solution of (5. Then by Exercise 8 of Section 1. . 1 ≤ i ≤ k.29) b. λ ≥ 0.28) whereas (5.g. Suppose that the objective function of the large system 1 k i is additive. Consider the following algorithm.28): k Maximize i=1 k i=1 i f0 (xi ) subject to xi ∈ X i .28) because.29). the problem corresponding to (5.29) has an optimal solution for every λ ≥ 0. . if k is very large it may be practically impossible to solve (5.18) is easier to solve than (5. .30) Note that (5. + f k (xk ) ≤ ˆ where f i : Rni → Rm are convex functions and ˆ ∈ Rm b b is the vector of available common resources. For simplicity suppose that the i f0 . in fact. and m(λ) = i=1 (5. which decomposes into k separate problems: i Maximize f0 (xi ) − λ f i (xi ) i ∈X .19) is k i Maximize f0 (xi ) − λ f i (xi ) − λ ( i=1 f i (xi ) − ˆ b) subject to xi ∈ X i . .29) may be trivial if the dimensions of xi are small. f i (xi ) ≤ ˆ . 1≤i≤k . b (5. . mi (λ) + λ ˆ then the dual problem is Minimize m(λ) . are strictly concave.28) has an optimal solution and the stability condition is satisﬁed. Thus we have the decision problem (5. ﬁrst of all.28) For λ ∈ Rm . (5. This is useful because generally speaking (5. NONLINEAR PROGRAMMING the “complementary slackness” condition (5.17) since (5. Assuming that (5. (5. and the decision variable of the ith subsystem is a vector xi ∈ Rni .29) are decentralized whereas in (5. The subsystem has individual constraints of the form xi ∈ X i where xi is a convex set.28) all the decision variables x1 . . but perhaps more importantly the decision problems in (5. . and also suppose that (5. .e. Furthermore. xk are coupled together.18) has fewer constraints. a multidivisional ﬁrm). + f0 (xk ) where f0 : Rni → R are concave functions.66 CHAPTER 5. we need to ﬁnd an optimal dual solution so that we can use Theorem 2(iii). the subsystems share some resources in common and this limitation is expressed as f 1 (x1 ) + . The system is made up of k subsystems (divisions). .29) involves fewer constraints. subject to λ ≥ 0 .
si (t) = concentration of BOD of efﬂuent discharge in mg/liter. optimal. . xp is feasible for (5. and go to Step 2. .28) and can easily be seen to be b. . T . . (5. .31) s qi (t + 1) − qi (t) = βi (qi − qi (t)) + ψi−1 qi−1 (t) − ψi qi (t) vi vi +αi zi (t) − ηi vi . et al. xp will converge to the optimum solution of (5. k Compute ep = i=1 f i (xi (λp )) − ˆ If ep ≥ 0. and for other decentralization schemes for solving (5. . The principle of conservation of mass gives us equations (5. . Step 3. DUALITY THEORY 67 Step 1. .28). (5. it is important to treat the efﬂuents before they enter the stream in order to reduce the BOD to concentration levels which can be safely absorbed by the DO in the stream. t = 1.32) . The discussion in this section is mainly based on (Kendrick. During interval t and in area i let zi (t) = concentration of BOD measured in mg/liter. We ﬁrst derive the equations which govern the evolution in time of BOD and DO in the n areas of the streams. but for simplicity of exposition we assume that their impact on the quality of the stream is measured in terms of a single quantity. indeed. It is a welladvertized fact that if the DO drops below a certain concentration. xk (λp )).” Therefore.5. then life in the stream is seriously threatened. . Since the DO in the stream is used to breakdown chemically the pollutants into harmless substances. . Select λ0 ≥ 0 arbitrary. N. . Control of water quality in a stream. . t = 1. . Set λp=1 according to λp+1 = i if ep ≥ 0 λp i i p p ep if ep < 0 λi − d i i where dp > 0 is chosen a priori. it is enough to study the problem over a 24hour period.7 is a schematic diagram of a part of a stream into which n sources (industries and municipalities) discharge polluting efﬂuents. The ﬂuctuations of BOD and DO will be cyclical with a period of 24 hours.29) for λ = λp and obtain the optimal solution xp = (x1 (λp ). Set p = p + 1 and return to Step 3. We divide this period into T intervals. the quality of the stream improves with the amount of DO and decreases with increasing BOD. . Solve (5. For more detail see (Arrow and Hurwicz [1960]). [1971]). the stream can “die.2. For an informal discussion of schemes of pollution control which derive their effectiveness from duality theory see (Solow [1971]). qi (t) = concentration of DO measured in mg/liter. . namely the biochemical oxygen demand (BOD) which they place on the dissolved oxygen (DO) in the stream. . The pollutants consist of various materials.. Set p = 0.31) and (5.) Figure 5. Step 2. See (Dorfman and Jacoby [1970]. T and i = 1. It can be shown that if the step sizes dp are chosen properly. Hence. In this example we are concerned with ﬁnding the optimal balance between costs of waste treatment and costs of high BOD in the stream.28) see (Geoffrion [1970b]).32): zi (t + 1) − zi (t) = −αi zi (t) + ψi−1 zi−1 (t) vi − ψi zi (t) vi + si (t)mi (t) vi . and mi (t) = amount of efﬂuent discharge in liters.
ψi . ηi .. (5. agricultural. ηi is the DO requirement in the bottom sludge. N are assumed known. Finally. αi .. Also z0 (t). Finally. This decay occurs by combination of BOD and DO. recreational). The increase in DO is due to various natural oxygenproducing biochemical reactions in the stream and the increase is proportional to (q s − qi ) where q s is the saturation level of DO in the stream. .31) is replaced by zi (t + 1) − zi (t) = −αi zi (t) + ψi zi−1 vi − ψi zi (t) vi + (1−πi (t))si (t)mi (t) vi . They may vary with the time interval t. .7: Schematic of stream with efﬂuent discharges. Therefore. Then we face the ¯ . The costs associated with increased amounts of BOD and reduced amounts of DO are much more difﬁcult to quantify since the stream is used by many institutions for a variety of purposes (e.. industrial. Now suppose that the waste treatment facility in area i removes in interval t a fraction πi (t) of the concentration si (t) of BOD.g. Let q be the minimum acceptable DO concentration and let z be the maximum permissible BOD concentration. . . the cost in period t will be fi (πi (t). q0 (t) which are the concentrations immediately upstream from area 1 are assumed known. qi (1). βi is the rate of generation of DO. In period t the ith facility treats mi (t) liters of efﬂuent with a BOD concentration si (t) mg/liter of which the facility removes a fraction πi (t). Here. αi is the rate of decay of BOD per interval. instead of attempting to quantify these costs let us suppose that some minimum water quality standards are set. Then (5. q s are parameters of the stream and are assumed known. vi = volume of water in area i measured in liters. .33) We now turn to the costs associated with waste treatment and pollution. NONLINEAR PROGRAMMING direction of ﬂow 0 z0 q0 (1 − π1 )si given 1 z1 q1 1 − πi−1 i−1 i zi qi i+1 zi+1 qi+1 N N +1 . We further assume that f is convex. i = 1. the initial concentrations zi (1).68 CHAPTER 5. ψi = volume of water which ﬂows from area i to are i + 1 in each period measured in liters. The vi . and the disutility caused by a decrease in the water quality varies with the user.. zi−1 qi−1 . The cost of waste treatment can be readily identiﬁed. Hence. zN qN (1 (1 − πi )si − πi+1 )si+1 (1 − πN )sN si si−a si si+1 sN Figure 5. si (t).. mi (t)) where the function must be monotonically increasing in all of its arguments.. municipal. .
i = 1. mi (t)) (5. the resulting amount of waste treatment is carried out at the minimum expenditure of resources (i. ¯ 0 ≤ πi (t) ≤ 1 . si (t). .. Furthermore. N . It should be clear from the duality theory that the answer is in the afﬁrmative.37) ∗ such that {πi (t)} is also an optimal solution of (5. . .32) and (5. . The question we now pose is whether there exist tax rates such that if each individual polluter minimizes its own total cost (i. . T . it does not make sense to enforce legally a minimum standard qi (t) ≥ q. . . But if ¯ there is no such centralized agency. T . To see this let wi (t) = (zi (t).37) are equal. −qi (t)) . wN (t)). . . . let w(t) = (w1 (t). w(t)). i = 1. and let w = (w(1). .5. . . . mi (t)) (5. t = 1. T. . . .34) subject to (5.33) for w and obtain w = b + Ar . . Note that the coefﬁcients of the matrix must be nonnegative because an increase in any component of r cannot decrease the BOD levels and cannot increase the DO levels. . .32). . . will be an optimal solution of (5. . . i = 1.34) and arrive at an optimal solution. then the resulting water quality will be acceptable and.36) subject to b + Ar ≤ w . .34)). zi (t) ≤ z on every polluter since the ¯ pollution levels in the ith area depend upon the pollution levels on all the other areas lying upstream. . T. .. On the other hand. T. and −qi (t) ≤ −q . . . . Then we can solve (5. N . .2. . . and we write the components of p∗ as p∗ (t) to match i . i = 1. t = 1. N . . . . If we let p∗ = A λ∗ ≥ 0. i = 1. the optimal values of (5. . (5. (5. . cost of waste treatment + tax on remaining pollutants). . .36) and (5. and an optimal solution By the duality theorem there exists a 2N T dimensional vector λ ∗ πi (t). Suppose that all the treatment facilities are in the control of a single public agency. . .36) and. Using (5. z ). . . .34) as follows: Maximize − i t fi (πi (t). of the problem: Maximize − i t fi (πi (t). si (t).35) where the matrix A and the vector b depend upon the known parameters and initial conditions. (5.35) we can rewrite (5.e. . . z ) and it does this at a minimum cost it will ¯ solve the NP (5. Then assuming that the agency is required to maintain the standards (q. zi (t) ≤ z . . . . . i = 1.33). Let the minimum cost be m(q. furthermore. furthermore. T. then the individual polluters may not (and usually do not) have any incentive to cooperate among themselves to achieve these standards. where the 2N T dimensional vector w has its components equal to −q or z in the obvious manner. . ¯ ¯ ∗ ≥ 0.e. and r is the NTdimensional vector with components (1 − πi (t))si (t)mi (t). N . . si (t). t = 1. t = 1. it may be economically and politically acceptable to tax individual polluters in proportion to the amount of pollutants discharged by the individual. t = 1. . . DUALITY THEORY following NP: N T 69 Maximize − i=1 t=1 fi (πi (t). . N. t = 1. N . mi (t)) − λ∗ (b + Ar − w) subject to 0 ≤ πi (t) ≤ 1. ¯ 0 ≤ πi (t) ≤ 1 .
mi (t)) − p∗ (t)(1 − πi (t))si (t)mi (t) i 0 ≤ πi (t) ≤ 1 . If the corresponding components of λ∗ are λq∗ (t) and λz∗ (t). Theorem 1: A vector x∗ ∈ Rn is optimal for (5. This estimate can now serve as a basis in making a beneﬁts/cost i i analysis of the proposed new standard. A is a ﬁxed m × n matrix and P = P is a ﬁxed positive semideﬁnite matrix.41) and (5.3 Quadratic Programming An important special case of NP is the quadratic programming (QP) problem: Maximize c x − 1 x P x 2 subject to Ax ≤ b. c ∈ Rn .39) iff there is a solution (x∗ .43) Suppose we try to solve (5.42) by Phase I of the Simplex algorithm (see 4. T . . p∗ (t) is optimum tax per mg of BOD in area i during period t. and (5. si (t).39) iff there exist λ∗ ∈ Rm . Now suppose it is proposed to change the standard in the ith area during period t to q + ∆qi (t) and z + ∆zi (t). b ∈ Rm are ﬁxed. 5.43): Ax + Im Y = b −P x − A λ + In µ = −c . We noted earlier that the quality standard (q. CQ is satisﬁed.42) (5. (λ∗ ) (Ax∗ − b) = 0 . (5. y ∗ . . ¯ i i then the change in the minimum cost necessary to achieve the new standard will be approximately λq∗ (t)∆qi (t) + λz∗ (t)∆zi (t). i = 1.70 CHAPTER 5. (5. . x ≥ 0 . NONLINEAR PROGRAMMING with the components (1 − πi (t))si (t)mi (t) of r we can see that (5. .40) we can see that x∗ is optimal for (5. (5. i Before we leave this example let us note that the optimum dual variable or shadow price λ∗ plays an important role in a larger framework.37) is equivalent to the set of N T problems: Maximize − fi (πi (t).2.λ y = 0 .2 that f0 : x → c x − 1/2 x P x is a concave function. such that Ax∗ ≤ b. .39) where x ∈ Rn is the decision variable . µ ≥ 0 . x∗ ≥ 0 c − P x∗ = A λ∗ − µ∗ .2). µ x = 0 . z ) ¯ was somewhat arbitrary. x ≥ 0 y ≥ 0.41). ♦ From (5.42). µ∗ ∈ Rn . µ∗ ) to (5. On the other hand. λ∗ ≥ 0. hence the necessity of these conditions follows from Theorem 2 of 1. since P is positive semideﬁnite it follows from Exercise 6 of Section 1.2.40) Proof: By Lemma 3 of 1. λ∗ .3. (µ∗ ) x∗ = 0 . (5. .38) Thus.41) (5. Then we must apply Phase II to the LP: m n Maximize − i=1 zi − j=1 ξj . λ ≥ 0. so that the sufﬁciency of these conditions follows from Theorem 4 of 1. µ∗ ≥ 0 . t = 1. . N . (5.3. .
But then a repetition of the proof of Lemma 1 of 4. (5. and there is no feasible solution of (5. λ ≥ 0. fi : Rn → R. y .42).41). and (5. starting with the basic feasible solution z = b.41). 159 ff).3. are differentiable. We have the following result. Then x.43). x x x x x x Consider the problem: Minimize ψ(ˆ)(h) x subject to − ψ(ˆ)(h) − f0x (ˆ)h ≤ 0 .42).41).41). . Cullum. do not consider µj as a candidate for entry into the basis. (5.4. stop.4 Computational Method We return to the general NP (5.42).3.39). x x 1 ≤ i ≤ m . z . and Polak [1970]. and (5.45) where x ∈ Rn .43) we see that at most (n + m) components of (ˆ. ♦ This lemma suggests that we can apply the Simplex algorithm of 4. y . λ. ξ = 0 is ˆ ˆ ˆ ˆ ˆ ˆ ˆ ˆ ˆ an optimal solution of (5.43).42). i = 1. . in order to obtain a solution of (5. µ be a solution of (5. y .45). Lemma 1: If (5.46) .42). m . 71 (5. fm (ˆ) + fmx (ˆ)h}. . .41).) If (5. µ. µ) solve x ˆ ˆ ˆ ˆ ˆ ˆ x ˆ ˆ ˆ ˆ = 0. ξ = −c. (5. x x −ψ(ˆ)(h) + fi (ˆ)fix h ≤ 0 .44) starting with a basic feasible solution z = b. The above algorithm is due to Wolfe [1959]. f1 (ˆ) + f1x (ˆ)h. Let Ω ⊂ Rn denote the set of feasible solutions. do not consider λi as a candidate for entry into the basis. . If z = 0 and ξ = 0 then (ˆ. 1 ≤ j ≤ n . y . −1 ≤ hj ≤ 1 . ξ) of (5. ξ ≥ 0. then there is no (5. λ.44). y ≥ 0. For a proof of this result as well as for a generalization of the algorithm which permits positive semideﬁnite P see (Cannon. and (5. ξ = −c. COMPUTATIONAL METHOD subject to Ax + Im y +z =b −P x − A λ + In µ + ξ = −c x ≥ 0. (5. z = 0. that b ≥ 0 and −c ≥ 0. and (5.44). µ ≥ 0. λ.43): If a variable xj is currently in the basis. The behavior of the algorithm is summarized below. p. However.44). from (5. (5.44) which is also a solution f (5. Step 2 of the Simplex algorithm must be modiﬁed as follows to satisfy (5.43). (5. (We have assumed. .41).42) and (5.44) is 0. if a variable yi is currently in the basis. The algorithm will stop in a ﬁnite number of steps at an ˆ optimal basic feasible solution (ˆ. .2 to solve (5. ˆ Proof: Let x. µ) are nonzero.43). If it not possible to remove the zi and ξj from the basis. (5. λ. Maximize f0 (x) subject to fi (x) ≤ 0.42) have a solution then the maximum value in (5.5.43) have a solution. and (5. µ. y . Theorem 2: Suppose P is positive deﬁnite. z ≥ 0. If z = 0 or ξ ˆ ˆ solution to (5.43) and x is an optimal solution of (5. . (5. 5. λ. For x ∈ Ω deﬁne the function ψ(ˆ) : Rn → R by ˆ x ψ(ˆ)(h) = max{−f0x (ˆ)h. Furthermore. (5. 0 ≤ i ≤ m.42).39). then there is an optimal basic feasible solution of (5. without loss of generality.1 will x ˆ ˆ ˆ also prove this lemma.41) and (5.
. . For a proof of this result and for more efﬁcient algorithms the reader is referred to (Polak [1971]). NONLINEAR PROGRAMMING f0 (xk )f0 (x) = F0 (x∗ ) > f0 (xk ) f1 (xk ) f0 (x) = f0 (xk ) f2 = 0 . generated by the algorithm. Step 4. and fi (xk )+ fix (xK )h(xk ) < 0. Step 1.46) and let h0 (ˆ) = ψ(ˆ)(h(ˆ)) be the minimum value atx x x x tained.8: h(xk ) is a feasible direction. set k = 0.1 (5. Step 3. µ ≥ 0 . then the direction h(xk ) satisﬁes f0x (xk )h(xk ) > 0. For this reason h(xk ) is called a (desirable) feasible direction. Then the KuhnTucker conditions are satisﬁed at x∗ . Remark: If h0 (xk ) < 0 in Step 2. .5. f0 (x) ≥ f0 (x0 )} is compact. which is dense in Ω(x0 ).) The following algorithm is due to Topkis and Veinott [1967]. Let x∗ be any limit point of the sequence x0 . . Maximize f0 (xk + µh(xk )) . 1 ≤ i ≤ m. otherwise go to Step ˆ 3.8. (See Figure 5. subject to (xk + µh(xk )) ∈ Ω. xk . set k = k + 1 and return to Step 2. Set xk+1 = xk + µ(xk )h(xk ). and go to Step 4. (Note that by Exercise 1 of 4. Call h(ˆ) an optimum solution of (5. f3 (xk ) xk h(xk ) f2 (xk ) f1 = 0 Ω f3 = 0 Figure 5. h(xk ). Find x0 ∈ Ω. Theorem 1: Suppose that the set Ω(x0 ) = {xx ∈ Ω. . . stop. x1 . Compute an optimum solution µ(xk ) to the onedimensional problem.46) can be solved as an LP.46) for x = xk and obtain h0 (xk ). Step 2.72 CHAPTER 5. Solve (5. and go to Step 2. and has a nonempty interior.) . . . The performance of the algorithm is summarized below. If h0 (xk ) = 0.
. . G are convex. i=1 λ0 r + From the deﬁnition of F . b)} It is easy to check that F. there exists ε > 0 such that b b ∈ B whenever b − ˆ < ε . b In R1+m consider the sets F = {(r. λm ) = 0. r ≤ M (b) − M (ˆ . and θ ∈ R such that λ g ≤ θ for all g ∈ G λ f ≥ θ for all f ∈ F .48) we get m 1 λ0 [θ m M (b) − M (ˆ ≤ b) − i=1 λ i bi ] = i=1 (− λi )(bi − ˆ b). Proof of Lemma 4: Since M is stable at ˆ there exists K such that b M (b) − M (ˆ ≤ Kb − ˆ for all b ∈ B . λm ) = 0. Let F. . and the fact that (λ0 . b) b In R1+m consider the sets F = {(r. APPENDIX 73 5.47) implies that F ∩ G = φ.49) can hold m only if λ0 > 0.5. . Then there exists λ ∈ Rn . for r > M (ˆ .48) λi bi ≥ θ for (r. b)b ∈ B. r > Kb − ˆ . there exist (λ0 . F. .50) . . so that there exist (λ0 . . it can be veriﬁed that (5. λm ) = 0.5. . . and θ such that m (5. and θ such that m (5. Separation theorem for convex sets. b) (5.48) m b λiˆi ≤ θ. G are convex and F ∩ G = φ.7 of Section 2 are based on the following extremely important theorem (see Rockafeller [1970]). Hence. G are disjoint. r ≤ M (b)} . .49) we can see that m i=1 b λiˆi ≥ θ.47) λ0 r + i=1 m λi bi ≤ θ for (r. Evidently. ˆ > M (ˆ b)r b} G = {(r. b) ∈ F . λ0 ♦ Proof of Lemma 7: Since ˆ is in the interior of B. . whereas from (5. b)b ∈ Rm . G be convex subsets of Rn such that the relative interiors of F.5 Appendix The proofs of Lemmas 4. Also from (5. b) ∈ G .49) λ0 r + i=1 b λiˆi ≥ θ . b)b ∈ B. i=1 so that i=1 b λiˆi = θ. But then from (5. and (5. . λ = 0. (5. b} G = {(r.
74 m CHAPTER 5. . (5. . λm ) = 0 we can see that (5.(5. . From (5. and the fact that (λ0 .50) and (5. for (r. b) ∈ G .49).51) we get λ0 M (ˆ + b) so that (5. NONLINEAR PROGRAMMING λ0 r + i=1 b λiˆi ≤ θ . . b λ0 ♦ .52) implies M (b) ≤ (ˆ + b) m m i=1 b λiˆi = θ .50).51) imply λ0 > 0. (− i=1 λi )(bi − ˆi ) .51) From (5.
The “dot” denotes differentiation with respect to t. 6.1) where x1 (t) is the height of the rocket from the ground at time t.1. namely: inertia = x3 x1 = x3 x2 . x3 (0)) = (0. drag ¨ ˙ force = CD ρ(x1 )x2 where CD is constant. and thrust force CT x3 . x2 (0).1). the rocket is on the ground. The decision variable at ˙ time t is u(t). See Figure 6. gravitational force = gx3 with g assumed constant. it is desired that the rocket be at a position as high above the ground as possible. the 75 . x2 (t) is the (vertical) speed at time t. Speciﬁcally suppose that the equations of motion are given by (6. Thus. M ). ρ(x1 ) is a friction coefﬁcient depending on atmospheric 2 density which is a function of x1 .1 Examples The trajectory of a vertical sounding rocket is controlled by adjusting the rate of fuel ejection which generates the thrust force. at rest. At a prescribed ﬁnal time tf .Chapter 6 SEQUENTIAL DECISION PROBLEMS: DISCRETETIME OPTIMAL CONTROL In this chapter we apply the results of the last two chapters to situations where decisions have to be made sequentially over time. In the ﬁrst section we give two examples. These equations can be derived from the force equations under the assumption that there are four forces acting on the rocket. At time 0 we assume that (x1 (0). A very important class of problems where such situations arise is in the control of dynamical systems. 0. with initial fuel of weight M . ˙ CT x3 (t) u(t) (6. assumed proportional to rate of fuel ejection. x1 (t) = x2 (t) ˙ x2 (t) = − xCD ρ(x1 (t))x2 (t) − g + ˙ 2 3 (t) x3 (t) = −u(t) . that is. x3 (t) is the weight of the rocket (= weight of remaining fuel) at time t. and in Section 2 we derive the main result. the rate of fuel ejection.
76
CHAPTER 6. DISCRETETIME OPTIMAL CONTROL
decision problem can be formalized as (6.2). Maximize x1 (tf ) subject to x(t) = f (x(t), u(t)), 0 ≤ t ≤ tf ˙ x(0) = (0, 0, M ) u(t) ≥ 0, x3 (t) ≥ 0, 0 ≤ t ≤ tf ,
(6.2)
where x = (x1 , x2 , x3 ) , f : R3+1 → R3 is the righthand side of (6.1). The constraint inequalities u(t) ≥ 0 and x3 (t) ≥ 0 are obvious physical constraints.
x3 x1 = inertia ¨
CD ϕ(x1 )x2 = drag 2
gx3 = gravitational force ˙ CR x3 = thrust Figure 6.1: Forces acting on the rocket. The decision problem (6.2) differs from those considered so far in that the decision variables, which are functions u : [0, tf ] → R, cannot be represented as vectors in a ﬁnitedimensional space. We shall treat such problems in great generality in the succeeding chapters. For the moment we assume that for computational or practical reasons it is necessary to approximate or restrict the permissible function u(·) to be constant over the intervals [0, t1 ), [t1 , t2 ), . . . , [tN −1 , tf ), where t1 , t2 , . . . , tN −1 are ﬁxed a priori. But then if we let u(i) be the constant value of u(·) over [ti , ti+1 ), we can reformulate (6.2) as (6.3): Maximize x1 (tN )(tN = tf ) subject to x(ti+1 ) = g(i, x(ti ), u(i)), i = 0, 1, . . . , N − 1 x(t0 ) = x(0) = (0, 0, M ) u(i) ≥ 0, x3 (ti ) ≥ 0, i = 0, 1, . . . , N .
(6.3)
In (6.3) g(i, x(t1 ), u(i)) is the state of the rocket at time ti+1 when it is in state x(ti ) at time ti and u(t) ≡ u(i) for ti ≤ t < ti+1 . As another example consider a simple inventory problem where time enters discretely in a natural fashion. The Squeezme Toothpaste Company wants to plan its production and inventory schedule for the coming month. It is assumed that the demand on the ith day, 0 ≤ i ≤ 30, is d1 (i) for
6.2. MAIN RESULT
77
their orange brand and d2 (i) for their green brand. To meet unexpected demand it is necessary that the inventory stock of either brand should not fall below s > 0. If we let s(i) = (s1 (i), s2 (i)) denote the stock at the beginning of the ith day, and m(i) = (m1 (i), m2 (i)) denote the amounts manufactured on the ith day, then clearly s(i + 1) + s(i) + m(i) − d(i) , where d(i) = (d1 (i), d2 (i)) . Suppose that the initial stock is s, and the cost of storing inventory s ˆ for one day is c(s) whereas the cost of manufacturing amount m is b(m). The the costminimization decision problem can be formalized as (6.4):
30
Maximize
i=0
(c(s(i)) + b(m(i))) (6.4)
subject to s(i + 1) = s(i) + m(i) − d(i), 0 ≤ i ≤ 29 s(0) = s ˆ s(i) ≥ (s, s) , m(i) ≥ 0, 0 ≤ i ≤ 30 .
Before we formulate the general problem let us note that (6.3) and (6.4) are in the form of nonlinear programming problems. The reason for treating these problems separately is because of their practical importance, and because the conditions of optimality take on a special form.
6.2 Main Result
The general problem we consider is of the form (6.5).
N −1
Maximize
i=0
f0 (i, x(i), u(i))
subject to dynamics : x(i + 1) − x(i) = f (i, x(i), u(i)), i = 0, . . . , N − 1 , initial condition: q0 (x(0) ≤ 0, g0 (x(0)) = 0 , ﬁnal condition: qN (x(N )) ≤ 0, gN (x(N )) = 0 , statespace constraint: qi (x(i)) ≤ 0, i = 1, . . . , N − 1 , control constraint: hi (u(i)) ≤ 0, i = 0, . . . , N − 1 .
(6.5)
Here x(i) ∈ Rn , u(i) ∈ Rp , f0 (i, ·, ·) : Rn+p → R, f (i, ·, ·) : Rn+p → Rn , qi : Rn → Rmi , gi : Rn → R i , hi : Rp → Rsi are given differentiable functions. We follow the control theory terminology, and refer to x(i) as the state of the system at time i, and u(i) as the control or input at time i. We use the formulation mentioned in the Remark following Theorem 3 of V.1.2, and construct the Lagrangian function L by L(x(0), . . . , x(N ); u(0), . . . , u(N − 1); p(1), . . . , p(N ); λ0 , . . . , λN ; α0 , αN ; γ 0 , . . . , γ N −1 )
78
N −1 N −1
CHAPTER 6. DISCRETETIME OPTIMAL CONTROL
=
i=0 N i i=0 0
f0 (i, x(i), u(i)) −
i=0
(p(i + 1)) (x(i + 1) − x(i) − f (i, x(i), u(i)))+
N −1 N
(λ ) qi (x(i)) + (α ) g0 (x(0)) + (α ) gN (x(N )) +
i=0
(γ i ) hi (u(i))
.
Suppose that CQ is satisﬁed for (6.5), and x∗ (0), . . . , x∗ (N ); u∗ (0), . . . , u∗ (N − 1), is an optimal solution. Then by Theorem 2 of 5.1.2, there exist p∗ (i) in Rn for 1 ≤ i ≤ N, λi∗ ≥ 0 in Rmi for 0 ≤ i ≤ N, αi∗ in R i for i = 0, N, and γ i∗ ≥ 0 in Rsi for 0 ≤ i ≤ N − 1, such that (A) the derivative of L evaluated at these points vanishes, and (B) λi∗ qi (x∗ (i)) = 0 for 0 ≤ i ≤ N , γ i∗ hi (u∗ (i)) = 0 for 0 ≤ i ≤ N − 1 . We explore condition (A) by taking various partial derivatives. Differentiating L with respect to x(0) gives f0x (0, x∗ (0), u∗ (0)) − {−(p∗ (1)) − (p∗ (1)) [fx (0, x∗ (0), u∗ (0))] +(λ0∗ ) [q0x (x∗ (0))] + (α0∗ ) [g0x (x∗ (0))]} = 0 , or p∗ (0) − p∗ (1) = [fx (0, x∗ (0), u∗ (x))] p∗ (1) +[f0x (0, x∗ (0), u∗ (0))] − [q0x (x∗ (0))] λ0∗ , where we have deﬁned p∗ (0) = [g0x (x∗ (x))] α0∗ . Differentiating L with respect to x(i), 1 ≤ i ≤ N − 1, and rearranging terms gives p∗ (i) − p∗ (i + 1) = [fx (i, x∗ (i), u∗ (i))] p∗ (i + 1) +[f0x (i, x∗ (i), u∗ (i))] − [qix (x∗ (i))] λi∗ . Differentiating L with respect to x(N ) gives, p∗ (N ) = −[gN x (x∗ (N ))] αN∗ − [qN x (x∗ (N ))] λN∗ . It is convenient to replace αN∗ by −αN∗ so that the equation above becomes (6.9) p∗ (N ) = [gN x (x∗ (N ))] αN∗ − [qN x (x∗ (N ))] λN∗ . Differentiating L with respect to u(i), 0 ≤ i ≤ N − 1 gives [f0u (i, x∗ (i), u∗ (i))] + [fu (i, x∗ (i), u∗ (i))] p∗ (i + l) − [hiu (u∗ (i))] γ i∗ = 0 . We summarize our results in a convenient form in Table 6.1 Remark 1: Considerable elegance and mnemonic simpliﬁcation is achieved if we deﬁne the Hamiltonian function H by (6.10) (6.9) (6.8) (6.7)
(6.6)
. (λ0∗ ) q0 (x∗ (0)) = 0 λN∗ ≥ 0. x∗ (i). u∗ (i))] + [fu (i. . . (λi∗ ) qi (x∗ (i)) = 0 γ i∗ ≥ 0 (γ i∗ ) hi (u∗ (i) = 0 79 . γ 0∗ . x∗ (i). . . N − 1 hi (u∗ (i)) ≤ 0 [f0u (i. . u∗ (i)] p∗ (i + 1) +[f0x (i. . x∗ (i)u∗ (i))] . N − 1 x(i + 1) − x(i) = f (i. . N − 1 qi (x∗ (i)) ≤ 0 control constraint: i = 0. g0 (x∗ (0)) = 0 ﬁnal conditions: qN (x∗ (N )) ≤ 0. . . . p∗ (i1 ) = [hiu (u∗ (i))] γ i∗ adjoint equations: i = 0. such that f0 (i.2.1: initial condition: q0 (x∗ (0)) ≤ 0. N − 1 p∗ (i) − p∗ (i + 1) = [fx (i. MAIN RESULT Suppose x∗ (0). u∗ (N − 1) maximizes N −1 i=0 then there exist p∗ (N ). . . . . . . γ N −1∗ . . . . x∗ (N ). p∗ (N ) = [gN x (x∗ (N ))] αN∗ − [qN x (x∗ (N ))] λN∗ (λN∗ ) qN (x∗ (N )) = 0 λi∗ ≥ 0. α0∗ . . . . u(i)) Table 6. x(i).6. λ0∗ . . x∗ (i). u∗ (i)] − [qix (x∗ (i)] γ i∗ transversality conditions: p∗ (0) = [g0x (x∗ (0))] α0∗ λ0∗ ≥ 0. x(i). λN∗ . . . . u∗ (0). . . gN (x∗ (N )) = 0 state space constraint: i = 1. . . . u(i)) subject to the constraints below dynamics: i = 0. αN∗ .
10) becomes [hiu (u∗ (i))] γ i∗ = [Hu (i. Furthermore. x∗ .11) p∗ (i) − p∗ (i + 1) = [Hx (i. p∗ (i + 1)). p∗ (i + 1))] − [qix (x∗ (i))] λi∗ . (6. (6. Suppose q0 ≡ 0. x∗ (i). u∗ (i))] r(i + 1) . and the necessary conditions of Table 6.7).13) (6. and the adjoint equations (6. u∗ (i))]z(i) .5). u∗ (i))]δu(i) . For this reason the result is sometimes called the maximum principle. which describe surfaces in Rn .80 CHAPTER 6. x∗ (i). Remark 2: If we linearize the dynamic equations about the optimal solution we obtain δx(i + 1) − δx(i) = [fx (i. whose homogeneous part is z(i + 1) − z(i) = [fx (i.8) become (6. gN (x(N )) = 0. x∗ (i. The dynamic equations then become x∗ (i + 1) − x∗ (i) = [Hp (i. u∗ (i))]δx(i) + [fu (i..6). u∗ (i). 0≤i≤N −1 . (i). some of them refer to the initial time 0 and the rest refer to the ﬁnal time. (6. 0≤i≤N −1. in this case we see from (6.6). x.12). qN ≡ 0. u) . Remark 4: The conditions (6. then CQ is satisﬁed.8) is (6. x.13) that u∗ (i) is an optimal solution of Maximize H(i. we note that in this case the initial and ﬁnal conditions specify ( 0 + n ) conditions whereas the transversality conditions specify (n − 0 ) + (n − n ) conditions. u. whereas (6. but note that these 2n boundary conditions are mixed. DISCRETETIME OPTIMAL CONTROL H(i.9) are called transversality conditions for the following reason.6) and (6. we call (6.8) the adjoint equations. x∗ (i). x∗ (i). x. Remark 3: If the f0 (i.e. and the p∗ (i) are called adjoint variables. u∗ (i). we have a total of 2n boundary conditions for the 2ndimensional system of difference equations (6.1 are also sufﬁcient. u∗ (i). p∗ (N ) = [gN x (x(N ))] αN∗ which means that p∗ (0) and p∗ (N ) are respectively orthogonal or transversal to the initial and ﬁnal surfaces. p∗ (i + 1))] . ·. u∗ (i).9) become respectively p∗ (0) = [g0x (x∗ (0))] α0∗ .12) Since the homogeneous part of the linear difference equations (6. p) = f0 (i. (6.7). 0 ≤ i ≤ N − 1 . x∗ (i). u. which has for it adjoint the system r(i) − r(i + 1) = [fx (i. i. u) + p f (i. x∗ (i). . subject to hi (u) ≤ 0 . Furthermore. (6. so that the initial and ﬁnal conditions read g0 (x(0)) = 0.5) are linear.13). Thus. p∗ (i + 1))] . (6. ·) are concave and the remaining function in (6. Conditions (6. x∗ (i).
Maximize 1 u(i) P u(i) 2 i=0 i=0 subject to x(i + 1) − x(i) = Ax(i) + Bu(i). Exercise 2: Show that the minimal fuel problem. A and B are as ˆ ˆ in Exercise 1. A and B are constant matrices.6. Here x(0). MAIN RESULT Exercise 1: For the regulator problem. x(N ) are ﬁxed. ˆ ˆ u(i) ∈ Rp . N −1 i=0 Minimize P (u(i))j  . ˆ and P = P is positive deﬁnite. ˆ u(i) ∈ Rp . . 0 ≤ i ≤ N − 1 . 1 ≤ j ≤ p.2. 0 ≤ i ≤ N − 1 x(0) = x(0). 1 2 N −1 N −1 81 x(i) Qx(i) + where x(i) ∈ Rn . x(0) is ﬁxed. x(N ) = x(N ) . u(i))j  ≤ 1. Q = Q is positive semideﬁnite. j=1 subject to x(i + 1) − x(i) = Ax(i) + Bu(i). show that the optimal solution is unique and can be obtained by solving a 2ndimensional linear difference equation with mixed boundary conditions. 0 ≤ i ≤ N − 1 can be transformed into a linear programming problem. 0 ≤ i ≤ N − 1 x(0) = x(0).
82 CHAPTER 6. DISCRETETIME OPTIMAL CONTROL .
x0 ∈ Rn be ﬁxed and let tf ≥ t0 be a ﬁxed time. Let c ∈ Rn . U denotes the set of all admissible controls. To understand the main ideas and techniques of analysis it will prove proﬁtable to study the linear case ﬁrst. We are concerned with the 83 . ˙ (7. ∞) → Ω will be called an admissible control.Chapter 7 SEQUENTIAL DECISION PROBLEMS: CONTINUOUSTIME OPTIMAL CONTROL OF LINEAR SYSTEMS We will investigate decision problems similar to those studied in the last chapter with one (mathematically) crucial difference. we assume that they are piecewise continuous functions. u(t)) . In Section 1 we present the general linear problem and study the case where the initial and ﬁnal conditions are particularly simple.1 The Linear Optimal Control Problem We consider a dynamical system governed by the linear differential equation (7. The general nonlinear case is deferred to the next chapter. 7. Deﬁnition: A piecewise continuous function u : [t0 .and n × pmatrix valued functions of time. ˙ where x(t) ∈ Rn and u(t) ∈ Rp are respectively the state and control of the system at time t. A choice of control has to be made at each instant of time t where t varies continuously over a ﬁnite interval. The evolution in time of the state of the systems to be controlled is governed by a differential equation of the form: x(t) = f (t. and to be piecewise continuous. x(t). In Section 2 we study more general boundary conditions. t ≥ t0 . The control u(·) is constrained to take values in a ﬁxed set Ω ⊂ Rp .1) Here A(·) and B(·) are n × n.1): x(t) = A(t)x(t) + B(t)u(t).
t1 )z + t2 t1 Φ(t2 . Thus.. Φ satisﬁes the differential equation ∂Φ ∂t (t.2) Deﬁnition: (i) For any piecewise continuous function u(·) : [t0 . and the boundary condition Φ(t. Let u∗ (·) ∈ U and let x∗ (t) = φ(t. provided we include in U any measurable function u : [t0 . and c x∗ ≥ c x for all x ∈ K .) Deﬁnition: Let K ⊂ Rn . t1 . τ )B(τ )u(τ )dτ . Lemma 2: Suppose c = 0. We call K the reachable set.) Lemma 1: φ(t2 .84 decision problem (7.1). The next result gives a geometric characterization of the optimal solutions of (2). (7. τ ). x0 .e. z) is convex even if Ω is not convex (see Neustadt [1963]). i. (ii) Let K(t2 . z) is a convex set. x0 ). u∗ ). (ii) Assuming that U is convex show that K(t2 . control constraint: u(·) ∈ U . t1 . if a time t1 it is in state z. t0 . Then u∗ is an optimal solution of (2) iff (i) x∗ (tf ) is on the boundary of K = K(tf . τ ) = A(t)Φ(t. (See Figure 7. τ ) . but then . t0 . z. subject to dynamics: x(t) = A(t)x(t) + B(t)u(t) . t) ≡ In . ∞) → Ω.1. tf ] → Rp . (See Desoer [1970]. u)u ∈ U} . t1 . CONTINUOUSTIME LINEAR OPTIMAL CONTROL Maximize c x(tf ). We say that c is the outward normal to a hyperplane supporting K at x∗ if c = 0. z) = {φ(t2 .) Proof: Clearly (i) is implied by (ii) because if x∗ (tf ) is in the interior of K there is δ > 0 such that (x∗ (tf ) + δc) ∈ K. t1 . show that U is a convex set. The next result is wellknown. CHAPTER 7. z) is the set of states reachable at time t2 starting at time t1 in state z and using admissible controls. and (ii) c is the outward normal to a hyperplane supporting K at x∗ . ﬁnal condition: x(tf ) ∈ Rn . K(t2 . t0 ≤ t ≤ tf . t1 . for any z ∈ Rn . z. u) denote the state of (7.1) at time t2 . and any t0 ≤ t1 ≤ t2 ≤ tf let φ(t2 . t1 . (It is a deep result that K(t2 .2). t0 ≤ τ ≤ t ≤ tf . and let x∗ ∈ K. Exercise 1: (i) Assuming that Ω is convex. z. ˙ initial condition: x(t0 ) = x0 . and the control u(·) is applied. be the transitionmatrix function of the homogeneous part of (7. t1 . Deﬁnition: Let Φ(t. u) = Φ(t2 .
The beauty and utility of the theory lies in the following result which translates this characterization directly in terms of u∗ .3) (7. THE LINEAR OPTIMAL CONTROL PROBLEM x3 c 85 x∗ (tf ) c x2 K π ∗ = {xc x = c x∗ (tf )} x1 Figure 7. except possibly for a ﬁnite set. c (x∗ (tf ) + δc) = c x∗ (tf ) + δc2 > c x∗ (tf ) . τ )B(τ )u(τ )dτ ] . t (7. τ )B(τ )u∗ (τ )dτ ] t ≥ (p∗ (tf )) [Φ(tf .4): adjoint equation: p∗ (t) = −A (t)p∗ (t) . τ )B(τ )u(τ )dτ (7. from the deﬁnition of K it follows immediately that u∗ is optimal iff c x∗ (tf ) ≥ c x for all x∈K. Finally.6). x0 . tf ∗ ∗ t0 (p (tf )) Φ(tf . for all t ∈ [t0 . t0 )x0 + t0f Φ(tf . Proof: u∗ (·) is optimal iff for every u(·) ∈ U (p∗ (tf )) [Φ(tf .3) and (7. Theorem 1: Let u∗ (·) ∈ U and let x∗ (t) = φ(t. ˙ ﬁnal condition: p∗ (tf ) = c . tf ].7.6) . t0 )x0 + t0f Φ(tf . t0 ≤ t ≤ tf .5) which is equivalent to (7.1. u∗ ).4) (7. Then u∗ (·) is optimal iff (p∗ (t)) B(t)u∗ (t) = sup{(p∗ (t)) B(t)vv ∈ Ω} .1: c is the outward normal to π ∗ supporting K at x∗ (tf ) . t0 ≤ t ≤ tf . τ )B(τ )u (τ )dτ t ≥ t0f (p∗ (tf )) Φ(tf . ♦ The result above characterizes the optimal control u∗ in terms of the ﬁnal state x∗ (tf ). Let p∗ (t) be the solution of (7. t0 .
(7.. t∗ ∈ D.7) and the sufﬁciency of (7. via the adjoint differential equation. x∗ (t). x0 ) at x∗ (t). p∗ (t)) . x. the outward normal p∗ (tf ) at time tf .7) we see that u∗ (·) cannot be optimal. if c = p∗ (tf ) is the outward normal to a hyperplane supporting K(tf . u. To prove the necessity let D be the ﬁnite set of points where the function B(·) or u∗ (·) is discontinuous. we see that if u∗ (·) is optimal. tf ] u∗ (t) otherwise . B(t)˜(t)dt > u tf ∗ t0 (p (t)) B(t)u∗ (t)dt . u∗ (t). then there exists t∗ ∈ [t0 . t0 . i.8) v t − t∗  < δ. and we deﬁne M by M (t.5) is satisﬁed for t ∈ D.9) is the following. u.9). We shall show that if u∗ (·) is optimal then (7. p∗ (t)) = M (t. p)u ∈ Ω}. (7. x0 ) and p∗ (t) is the normal to a hyperplane supporting K(t. t1 . x∗ (t).5) is immediate.2. then x∗ (t) is on the boundary of K(t. x. CONTINUOUSTIME LINEAR OPTIMAL CONTROL Now by properties of the adjoint equation we know that p∗ (t)) = (p∗ (tf )) Φ(tf . and v ∈ Ω such that (p∗ (t∗ )) B(t∗ )u∗ (t∗ ) < (p∗ (t∗ )) B(t∗ )v .6) is equivalent to (7. tf ]. t0 .5) can be rewritten as H(t.7). x. x∗ (t1 )). This normal is obtained by transporting backwards in time. ♦ But then from (7.9) Exercise 2: Prove Corollary 1. Corollary 1: For t0 ≤ t1 ≤ t2 ≤ tf . Remark 2: If we deﬁne the Hamiltonian function H by H(t. and since t∗ is a point of continuity of B(·) and u∗ (·). for t − t∗  < δ . This condition is known as the maximum principle. p) = p (A(t)x + B(t)u) . Taking t1 = t0 in (7. x0 ) at x∗ (tf ). The situation is illustrated in Figure 7. (7. t) so that (7. then (7.8) implies that tf ∗ t0 (p (t)) (7.10) . t0 . Indeed if this is not the case.e. p) = sup{H(t. (p∗ (t2 ))x∗ (t2 ) ≥ (p∗ (t2 )) x for all x ∈ K(t2 . Deﬁne u(·) ∈ U by ˜ u(t) = ˜ Then (7. it follows that there exists δ > 0 such that (p∗ (t)) B(t)u∗ (t) < (p∗ (t)) B(t)v. giving a contradiction. tf ∗ t0 (p (τ )) B(τ )u∗ (τ )dτ ≥ tf ∗ t0 (p (τ )) B(τ )u(τ )dτ. t ∈ [t0 . Remark 1: The geometric meaning of (7.86 CHAPTER 7.
. ﬁnal condition: Gf x(tf ) = bf . We will analyze the problem in the same way as before. Deﬁnition: Let p ∈ Rn . show that m(t) is constant.3) with the ﬁnal condition p∗ (tf ) = f0 (x∗ (tf )) . T f = {z ∈ Rn Gf z = bf } .7.11) In (7.10) where p∗ (·) is the solution of the adjoint equation (7. + γn exp(δn (t)) for some γi . t0 . (Hint: ﬁrst show that (p∗ (t)) B = γ1 exp(δ1 t) + .) The next two exercises show how we can obtain important qualitative properties of an optimal control. and then translate these conditions in terms of the control. B(t) are constant. Exercise 4: Suppose that Ω is bounded and closed. ti+1 ).2 More General Boundary Conditions We consider the following generalization of (7. we ﬁrst characterize optimality in terms of the state at the ﬁnal time. (ii) If A(t). control constraint: u(·) ∈ U . Show that u∗ (·) satisﬁes the maximum principle (7. (Hint: Use Lemma 1 of 5. . β]. { ] → ⊗ and u(·)piecewise continuous. The notion of the previous section is retained.1. Show that there is an optimal control u∗ (·) and t0 ≤ t1 ≤ t2 ≤ . Show that there exists an optimal control u∗ (·) such that u∗ (t) belongs to the boundary of Ω for all t.2. Let f0 : Rn → R be a differentiable function and suppose that the objective function in (7.11) G0 and Gf are ﬁxed matrices of dimensions 0 xn and f × n respectively. i. (Hint: Show that (dm/dt) ≡ 0.1 to show that if u∗ (·) is optimal. δi in R. Suppose u∗ (·) is an optimal control. We say that p is orthogonal to T 0 at z ∗ and we write p ⊥ T 0 (z ∗ ) if . : [ . bf ∈ R f are ﬁxed vectors. For convenience let T 0 = {z ∈ Rn G0 z = b0 } . Exercise 5: Suppose Ω = [α. t0 ≤ t ≤ tf . 0 ≤ i ≤ n. That is. t0 . x0 ). Also show that this condition is sufﬁcient for optimality if f0 is concave. Suppose that A(t) ≡ A and B(t) ≡ B are constant matrices and A has n real eigenvalues. while b0 ∈ R 0 . ≤ tn ≤ tf such that u∗ (t) ≡ α or β on [ti .2) is f0 (x(tf )) instead of c x(tf ).) Exercise 6: Assume that K(tf . ˙ initial condition: G0 x(t0 ) = b0 . . then f0x (x∗ (tf )(x∗ (tf ) − x) ≤ for all x ∈ K(tf . so that B(t) is an n × 1 matrix. x0 ) is convex (see remark in Exercise 1 above). . Maximize c x(tf ) subject to dynamics: x(t) = A(t)x(t) + B(t)u(t).) 7.e. (7. x∗ (t).2). . Let z ∗ ∈ T 0 . MORE GENERAL BOUNDARY CONDITIONS 87 Exercise 3: (i) Show that m(t) = M (t. p∗ (t)) is a Lipschitz function of t.
t0 .9) for t1 = t0 . x0 ) x∗ (t2 ) K(t2 . t0 . t0 .88 Rn Rn p∗ (t2 ) p∗ (t 1) Rn Rn x0 0) = x∗ (t1 ) K(t1 .2: Illustration of (7. t1 t2 tf t t0 . x0 ) p∗ (tf ) = c x∗ (tf ) CHAPTER 7. x0 ) x∗ (t = K(t0 . t0 . x0 ) K(tf . CONTINUOUSTIME LINEAR OPTIMAL CONTROL Figure 7.
u)z ∈ T 0 . MORE GENERAL BOUNDARY CONDITIONS p (z − z ∗ ) = 0 for all z ∈ T 0 .17) First of all S 1 ∩ S 2 = φ because otherwise there exists x ∈ X(tf ) ∩ T f such that c x > c x∗ (tf ) contradicting optimality of u∗ (·) by (7.13) (7. z. 0)}. Since Ω is convex by hypothesis it follows by Exercise 1 of Section 1 that S 2 is convex. such that (ˆ0 c + p) x∗ (tf ) ≥ (ˆ0 c + p) x for all x ∈ X(tf ) . ˆ [Φ(tf .14) is also satisﬁed. t0 )] (ˆ0 c + p) ⊥ T 0 (x∗ (t0 )) . t0 . w ∈ K(tf . Let x∗ (t) = φ(t. such that p0 r 1 + p x1 ≥ p0 r 2 + p x2 for all (r i . S 2 = {(r.12) and (7. p ˆ (7. p0 ≥ 0 and p ∈ Rn .20) (7. x ∈ T f } .15) (7. 2.19) Letting r → ∞ we conclude that (7. Secondly. p ˆ p ˆ p ⊥ T f (x∗ (tf )) . then u∗ (·) is ˆ ˆ optimal and (7. p ⊥ T f (z ∗ ) if p (z − z ∗ ) = 0 for all z ∈ T f . ˆ ˆ ˆ ˆ In particular (7. 89 Lemma 1: Let x∗ (t0 ) ∈ T 0 and u∗ (·) ∈ U . and suppose that x∗ (tf ) ∈ T f .16) (7. (i) Suppose that u∗ (·) is optimal.12). u(·) ∈ U}.12) (7. x∗ (t0 ). Exercise 1: X(tf ) = {Φ(tf . not ˆ ˆ both zero. (i) Suppose the Ω is convex. Similarly if z ∗ ∈ T f . In R1+m deﬁne sets S 1 .14) (ii) Conversely if there exist p0 > 0. i = 1.2.5) there exists p0 ∈ R.18) implies that p0 r + p x∗ (tf ) ≥ p0 c x + p x for all x ∈ X(tf ). If u∗ (·) is optimal. x ∈ X(tf )} .19) can hold only if p0 ≥ 0.15). there exist p0 ∈ R.13) are satisﬁed. Also from (7. not both ˆ ˆ ˆ zero. p ∈ Rn . and p such that (7. x)r = c x . t0 . On the other hand letting r → ˆ c x∗ (tf ) we see that (7.18) we get (7. ˆ ˆ ˆ ˆ (7. But then by the separation theorem for convex sets (see 5. r > c x∗ (tf ). (7. t0 )z + wz ∈ T 0 .7. xi ) ∈ S i . ˆ ˆ ˆ ˆ which is the same as (7. Proof: Clearly u∗ (·) is optimal iff c x∗ (tf ) ≥ c x for all x ∈ X(tf ) ∩ T f . x)r > c x∗ (tf ). Deﬁnition: Let X(tf ) = {Φ(tf .19) can hold only if p0 c x∗ (tf ) + p x∗ (tf ) ≥ p0 c x + p x for all x ∈ X(tf ) .18) . S 2 by S 1 = {(r. u∗ ). S 1 is convex since T f is convex. t0 .
T f is the vertical line. t0 . t0 )(z − x∗ (t0 )) + x∗ (tf )} ∈ X(tf ) for all z ∈ T 0 . But it is known that K(tf .12).3) we are forced to set p0 = 0. ˆ We now translate the conditions obtained in Lemma 1 in terms of the control u∗ . Then in part (i) we must have p0 > 0. Exercise 2: Suppose there exists z in the interior of X(tf ) such that z ∈ T f . (ii) Now suppose that p0 > 0 and p are such that (7.13). t0 . in part (ii) of the Lemma we may assume p0 = 1. But in Figure ˆ 7. ˆ Remark 2: it would be natural to conjecture that in part (i) p0 may be chosen > 0. CONTINUOUSTIME LINEAR OPTIMAL CONTROL p0 r + p x ≥ p0 c x∗ (tf ) + p x∗ (tf ) for all r > c x∗ (tf ). so that (7. so that from (7. (7. ˆ ˆ ˆ ˆ or p (x − x∗ (tf )) ≥ 0 for all x ∈ T f ˆ (7. t0 )(z − x∗ (t0 )) for all z ∈ T 0 . we illustrate a 2dimensional situation where T 0 = {x0 }.13). and (7. x0 . ˆ ˆ ˜ but then by (7. ♦ Remark 1: If it is possible to choose p0 > 0 then p0 = 1.14).12). because by the deﬁnition of X(tf ) and Exercise 1.12). p ˆ which can hold only if (7. Intuitively p0 = 0 means that it is so difﬁcult to satisfy ˆ the initial and ﬁnal boundary conditions in (7. ˆ ˆ ˜ Then from (7.12) always implies (7. x ∈ T f . we note that part (i) is not too useful if p0 = 0. Finally (7.15) u∗ (·) is optimal. 0) is convex even if Ω is not (see Neustadt [1963]).13).21) can hold only if p (x − x∗ (tf )) = 0 for all x ∈ T f .11) that optimization becomes a secondary matter.21) But {x − x∗ (tf )x ∈ T f } = {zGf z = 0} is a subspace of Rn . p = (ˆ/ˆ0 ) will also satisfy (7. but basically if T ˆ0 f Exercise 2 below). and T f ∩ X(tf ) consists of just one vector. ˆ which is the same as (7.14) holds.12) we get p0 c x∗ (tf ) ≥ p0 c x . u∗ ) ∈ T f is optimal for any c.12) we get 0 ≥ (ˆ0 c + p) Φ(tf . t0 .90 CHAPTER 7. ˆ and (7. Finally.14). 0) is convex. Let x ∈ X(tf ) ∩ T f . . ˆ ˆ˜ so that from (7. It follows that the control u∗ (·) ∈ U for which x∗ (tf ) = φ(tf . ˆ ˆ ˆ p p (7. {Φ(tf .13) we conclude that p x∗ (tf ) = p x . Clearly then for some c (in particular for the c in Figure 7.14) hold for any vector c whatsoever. since then (7. ˆ ˆ ˆ ˆ which can hold only if p1 c x∗ (tf ) + p x ≥ p0 c x∗ (tf ) + p x∗ (tf ) for all x ∈ T f .13) are satisﬁed. (7.3 below. Remark 3: In (i) the convexity of Ω is only used to guarantee that K(tf . In particular. In higher dimensions the reasons may be more ˆ f is “tangent” to X(t ) we may be forced to set p = 0 (see complicated.
] Proof: A repetition of a part of the argument in the proof of Theorem 1 of Section 1 show that if p∗ satisﬁes (7.24) becomes equivalent to (7. (7.2.11).23) ﬁnal condition: (p∗ (tf ) − p∗ c)⊥T f (x∗ (tf )) . . (7. Next if x ∈ X(tf ) we have 0 (ˆ0 c + p) x = (p∗ (tf )) x p ˆ = (p∗ (tf )) (Φ(tf . (7.13) and (7. p)v ∈ Ω}. Let p∗ = p0 and let p∗ (·) be the solution ˆ 0 of (7.26): (p∗ (tf )) x∗ (tf ) ≥ (p∗ (tf )) x for all x ∈ K(tf . x. [Here H(t. (7.22). t0 .23) and (7. t0 .22). (7. u. v. p∗ (t)) = M (t.26) (i) Suppose u∗ (·) is optimal and Ω is convex. Let p0 = p∗ and p = ˆ ˆ 0 0 p∗ (tf ) − p∗ c. t0 ≤ t ≤ tf ˙ (7. and a 0 function p∗ : [t0 . so that (7. x∗ (t). Let x∗ (t) = φ(t. x∗ (t0 )) ⊂ X(tf ). (ii) Conversely suppose there exist p∗ > 0 and p∗ (·) satisfying (7. and (7.22) initial condition: p∗ (t0 )⊥T 0 (x∗ (t0 )) (7. then (7.24) (7. p∗ (t)) .24). If u∗ (·) is optimal for (7. t0 )z + w) . x∗ (t0 ). x∗ (t0 )) . tf ] → Rn . such that (7.25) holds for all t ∈ [t0 .23).23). (7. M (t. then there exist a number p∗ ≥ 0.12).26) are satisﬁed. not both identically zero.25). tf ] except possibly for a ﬁnite set.14) are satisﬁed.22) with the ﬁnal condition p∗ (tf ) = p∗ c + p = p0 c + p . p) = p (A(t)x + B(t)u).12). t0 .7. x.25) is equivalent to (7. p ∈ Rn .13) are respectively equivalent to (7. u∗ ) and suppose that x∗ (tf ) ∈ T f .24). MORE GENERAL BOUNDARY CONDITIONS 91 Theorem 1: Let x∗ (t0 ) ∈ T 0 and u∗ (·) ∈ U .22). (7.24). (ii) Suppose p∗ > 0 and (7.14) and (7. (7. Then by Lemma 1 there exist p ≥ 0. p) = sup{H(t.13). not ˆ ˆ both zero. u∗ (t). (i) Suppose that Ω is convex.26) is implied by (7. x∗ (t). whereas since K(tf . satisfying adjoint equation: p∗ (t) = −A (t)p∗ (t) . and (7. 0 Then u∗ (·) is optimal. ˆ ˆ ˆ 0 Then (7. x. 0 and the maximum principle H(t.
x0 ) = X(tf ) f f Tf Figure 7. CONTINUOUSTIME LINEAR OPTIMAL CONTROL Tf . t0 . x (t ) = X(t ) ∗ K(tf .3: Situation where p0 = 0 ˆ x0 = T 0 c t .92 CHAPTER 7.
93 But by (7.7. in (7. Exercise 4: How would you use Exercise 3 to solve Example 3 of Chapter 1? . Show that Theorem 1 also holds for this case where. it follows from (7. x∗ (t0 )). t0 )x∗ (t0 )) = (p∗ (t0 )) (z − x∗ (t0 )) +(p∗ (tf )) (w + Φ(tf . t0 )x∗ (t0 )) ∈ K(tf .2. x.25). M (t. p) =sup{H(t. t0 )(z − x∗ (t0 )) p ˆ +(p∗ (tf )) (w + φ(tf . v. Thus (ˆ0 c + p) x∗ (tf ) ≥ (ˆ0 c + p) x for all x ∈ X(tf ) . MORE GENERAL BOUNDARY CONDITIONS for some z ∈ T 0 and some w ∈ K(tf . p ˆ p ˆ and so u∗ (·) is optimal by Lemma 1.26) that the second term is bounded by (p∗ (tf )) x∗ (tf ). and since (w+φ(tf . 0). t0 . t0 . t0 )x∗ (t0 )) . Hence (ˆ0 c + p) x = (p∗ (f )) Φ(tf . p)v ∈ Ω(t)}. x. ♦ Exercise 3: Suppose that the control constraint set is Ω(t) which varies continuously with t. and we require that u(t) ∈ Ω(t) for all t.23) the ﬁrst term on the right vanishes.
94 CHAPTER 7. CONTINUOUSTIME LINEAR OPTIMAL CONTROL .
1.1).) The principal result. But ﬁrst we need to impose some regularity conditions on the differential equation (8. However. We assume throughout that the function f : [t0 . (For complete proofs see (Lee and Markus [1967] or Pontryagin. 8. [1962]. x. In the case of linear systems we obtained the necessary and x conditions for optimality by comparing x∗ (·) with trajectories x(·) corresponding to other admissible controls u(·). Unfortunately we are forced to omit the proofs of the results since they require a level of mathematical sophistication beyond the scope of these Notes. Finally.1 Main Results 8.2 is presented in Section 1.1) where x(t) ∈ is the state and u(t) ∈ is the control.Chapter 8 SEQUENTIAL DECISION PROBLEMS: CONTINUOUSTIME OPTIMAL CONTROL OF NONLINEAR SYSTEMS We now present a sweeping generalization of the problem studied in the last chapter. ˙ Rn Rp u∗ (·) (8. in Section 5 we discuss the socalled singular case and also analyze Example 4 of Chapter 1.1 Preliminary results based on differential equation theory. An alternative form of the objective function is discussed in Section 2. Unfortunately when f is nonlinear such a characterization is not available. t0 ≤ t ≤ tf . Instead we shall settle for a comparison between the trajectory x∗ (·) and trajectories x(·) obtained by perturbing the control u∗ (·) and the initial condition x∗ (t0 ). We are interested in the optimal control of a system whose dynamics are governed by the nonlinear differential equation x(t) = f (t. which is a direct generalization of Theorem 1 of 7. tf ] × Rn × Rp → Rn satisﬁes the following conditions: 95 . (t). We can then estimate the difference between x(·) and x∗ (·) by the solution to a linear differential equation as shown in Lemma 1 below. et al. u(t)) .. it is possible to convey the main ideas of the proofs at an intuitive level and we shall do so. Section 3 deals with the minimumtime problem and Section 4 considers the important special case of linear systems with quadratic cost. Suppose is an optimal control ∗ (·) is the corresponding trajectory. This comparison was possible because we had an explicitly characterization of x(·) in terms of u(·).
tm < tf . . . for every t1 ∈ [t0 . . u(·)) : Rn → Rn is differentiable. Now let Ω ⊂ Rp be a ﬁxed set and let U be set of all piecewise continuous functions u(·) : [t0 . of the differential equation x(t) = f (t. t1 . . tf ]. tf ]×Rn × Rp . and 4. 2. . m. . t1 . u(t))]Φ(t. and ti ∈ D ∗ discontinuity points of f ). there exists a unique solution x(t) = φ(t. i = 1. tm . x ∈ Rn . z. ui ∈ Ω. u(·)) is the solution of the linear homogeneous differential equation ∂Φ ∂t (t. . u(t)) . um ) is said to be a perturbation data for u∗ (·) if 1. . Let x∗ ∈ Rn be a ﬁxed initial condition. . fu are continuous on [t0 . for every ﬁnite α. ·. f (t. fx . m (recall that D is the set of ≥ 0. . u(·)) . Theorem 1: For every z ∈ Rn . m is a nonnegative integer. the function φ(t2 . 0 Deﬁnition: π = (t1 . Moreover. the n × n matrixvalued function Φ deﬁned by Φ(t2 . i = 1. t0 < t1 < t2 < . z. . 2. . 1. The following result is proved in every standard treatise on differential equations. t1 ≤ t ≤ tf . . u ∈ Rp with u ≤ α . Furthermore. z. . z.96 CHAPTER 8. m. and 3. there exist ﬁnite number β and γ such that f (t. tf ]. u. ∂x and the initial condition Φ(t1 . t1 ≤ t ≤ tf . . . tf ] → Ω. . x. . ˙ satisfying the initial condition x(t1 ) = z . t1 . z. 3. ·) : Rn xRp → Rn is continuously differentiable in the remaining variables (x. except for a ﬁnite subset D ⊂ [t0 . u(·)) = ∂φ ∂z (t2 . . tf ] and ﬁxed u(·). . tf ]. . for ﬁxed t1 ≤ t2 in [t0 . x. u). . CONINUOUSTIME OPTIMAL CONTROL 1. z. tf ] → Rp . u(·)). m. u1 . tf ]. . i = 1. . Let u∗ (·) ∈ U be ﬁxed and let D∗ be the set of discontinuity points of u∗ (·). i D. t1 . the functions f. ·. t1 . (t). x(t). for each ﬁxed t ∈ [t0 . t1 . u(·)) = In . t1 ≤ t ≤ tf . . u) ≤ β + γx for all t ∈ [t0 . and every piecewise continuous function u(·) : [t0 . (·)) = [ ∂f (t. . t1 . .
ε) (·)). tf ] . ti ] [tj −ε j .0) (t)πis a perturbation data for u∗ (·). t ∈ [t1 . 0 More precisely we have the following result which we leave as an exercise. = Φ(t.ε) . t0 )ξ + j=1 j (See Figure 8. t0 )ξ = Φ(t. t2 ) j = Φ(t. . x∗ (tj ). t1 )[f (t1 . 0 ε→0 and ε→0 lim 1 ε (x(ξ. z) = {φ(t.ε) = x∗ . t ∈ [tm .8. t1 ) = 0 Φ(t2 . t0 )ξ + j=1 m Φ(t. Let Φ(t2 . t ∈ [ti . t0 . x(ξ. ti+1 ) . and [ti −ε i . ti ] . z. m u∗ (t) otherwise .ε) (t) = Φ(t. and a function x(ξ. MAIN RESULTS 97 Let ε(π) > 0 be such that for 0 ≤ ε ≤ ε(π) we have [ti − ε i . In particular for ξ = 0. Remark: By Lemma 1 (x∗ (t)+εh(π.ε) deﬁned for 0 ε > 0 is said to be a perturbed initial condition if lim x(ξ. and h(π. u∗ (·)) and let xε (t) = φ(t.ε) (t) = 0 for t ∈ [t0 . ti ] ⊂ [t0 .ε) (·) is given by ε→0 h(π. u(·))u(·) ∈ U} be the set of states reachable at time t. . t1 . x∗ (t1 ). t ∈ [t0 . tm )[f (tj . . t0 . tf ]. tf ] let K(t. u∗ (tj ))] Φ(t. x∗ ).) We call h(π.ε) ) up to an error of order o(ε). Deﬁnition: For each t ∈ [t0 .1. 0 Now let x∗ (t) = φ(t.ξ) (·) the linearized (trajectory) perturbation corresponding to (π. and using controls u(·) ∈ U .1. u∗ (t1 ))] i . x(ξ. the set x∗ (t) + Q(t) can serve as an approximation to the set K(t. t1 ) 1 . starting at time t0 in state z.ε) (t) = ui for all t ∈ [ti − ε i . x∗ (tj ). where h(π. x∗ (t1 ).0) (·)is the linearized perturbation corresponding to(π. tf ] for all i. x∗ (tj ).the perturbed control u(π. let Q(t) = {h(π. Lemma 1: lim xε (t) − x∗ (t) − εh(π. .ε) (·) ∈ U corresponding to π is deﬁned by u(π. u∗ tj ))] . t0 . The following lemma gives an estimate of x∗ (t) − xε (t). and it is omitted (see for example (Lee and Markus [1967])). x∗ . u1 ) − f (t1 . Deﬁnition: For z ∈ Rn . ξ). tj ] = φ for i = j. tj )[f (tj . t ∈ [t0 . 0)} . u∗ (·)). x∗ (tj ). t1 ]. t0 . Then for 0 ≤ ε ≤ ε(π). uj ) − f (tj . i = 1. t0 . t0 )ξ + Φ(t. . u(π.ξ) ) belongs to the set K(t. The proof of the lemma is a straightforward exercise in estimating differences of solutions to differential equations. t0 . uj ) − f (tj . x∗ (t1 ). Deﬁnition: Any vector ξ ∈ Rn is said to be a perturbation for x∗ .ε) − x∗ ) = ξ .
e. t0 . u∗ (t))] p∗ (t).5): adjoint equation: p∗ (t) = −[ ∂f (t. ˙ ∂x (8. Theorem 2: Consider the optimal control problem (8. t0 ≤ t ≤ tf . u∗ (·)). u(t)) . t0 . ˙ initial condition: x(t0 ) = x∗ .1. be the solution of (8. x∗ ). t0 ≤ t ≤ tf . Exercise 1: (Recall the deﬁnition of the tangent cone in 5. (8.4) .3) where ψ : Rn → R is differentiable and f satisﬁes the conditions listed earlier. u : [t0 .2) (8. be the 0 corresponding trajectory.. i. x∗ (t). t0 ≤ t ≤ tf . x∗ .1. 0 ﬁnal condition: x(tf ) ∈ Rn .4) and (8.) Show that Q(t) ⊂ C(K(t.3): Maximize ψ(x(tf )) subject to dynamics: x(t) = f (t. tf ] → Ω and u(·) piecewise continuous . ε) εhπξ t1     t2 t3 tf Figure 8.1. Let p∗ (t). x(t). 0 We can now prove a generalization of Theorem 1 of 7. control constraint: u(·) ∈ U . t0 ≤ t ≤ tf . CONINUOUSTIME OPTIMAL CONTROL u1 u(πε) (·) u∗ (·) ε  1 u2 t1   u3 ε 2 ε   3 t0 x t2 t3 tf x∗ (·)   xε (·) x( ξ. x∗ (t)) .98 u CHAPTER 8.1: Illustration for Lemma 1. Let u∗ (·) ∈ U be an optimal control and let x∗ (t) = φ(t.
. v) − f (t∗ .7). Exercise 2: Show that (i) Q(t) is a cone. Instead we offer a plausibility argument. ). t1 )C(t1 ) ⊂ C(t2 ) . x(t∗ ).0) (t∗ ) > 0 . then λh ∈ Q(t). t1 )Q(t1 ) ⊂ Q(t2 ) . then (8. p)v ∈ Ω}]. Lemma 2: Let h belong to the interior of the cone C(t). Then there exists v ∈ Ω such that (8.9) is equivalent to p∗ (tf ) h(π. ♦ (8. v. t∗ )h(π. Lemma 2. Also h(π. t∗ ).4) we can see that p∗ (t∗ ) = p∗ (tf ) Φ(tf . u. Proof: Since u∗ (·) is optimal we must have ψ(x∗ (tf )) ≥ ψ(z) for all z ∈ K(tf . If we consider the perturbation data π = (t∗ . Φ(t2 . 0 and in particular from (8. x. tf ] except possibly for a ﬁnite set.1 ψ(x∗ (tf ))h ≤ 0 for all h ∈ C(K(tf .0) (tf ) > 0 which contradicts (8. Φ(t2 .2) ψx (x∗ (tf ))h ≤ 0 for all h ∈ Q(tf ) . (8. t0 .7) Now suppose that (8. t0 . The proof of the lemma depends upon some deep topological results and is omitted. p∗ (t∗ ) [f (t∗ . p) = p f (t. t0 . x.6) does not hold from some t∗ ∈ D ∗ ∪ D. x∗ ) . 0 and so by Lemma 1 of 5. x(t∗ ).8) 8. x∗ (t0 )) up to an error of order o(ε).6) for all t ∈ [t0 . But ﬁrst we need some simple properties of the sets Q(t) which we leave as exercises. u. below. The problem involving more general boundary conditions is much more complicated and requires more reﬁned analysis.2 More general boundary conditions. x. x∗ (t). v). p∗ (t)) ψ(x∗ (tf )) .8) is equivalent to p∗ (t∗ ) h(π. Then for all ε > 0 sufﬁciently small.0) (t∗ ) so that (8. M (t.0) (tf ) = Φ(tf . x∗ (tf )) . asserts further that if h is in the interior of C(t) then in fact (x∗ (t) + εh) ∈ K(t. Deﬁnition: Let C(t) denote the closure of Q(t). Lemma 1 needs to be extended to Lemma 2 below. Exercise 3: Show that (i) C(t) is a convex cone.1. In Theorem 2 the initial condition is ﬁxed and the ﬁnal condition is free.8. 99 (8.9) Now from (8. MAIN RESULTS ﬁnal condition: p∗ (tf ) = Then u∗ (·) satisﬁes the maximum principle H(t. x. x∗ (t).1. i. Speciﬁcally. p∗ (t)) = M (t.. [Here H(t.1.e. Remark: From Lemma 1 we know that if h ∈ C(t) then (x∗ (t) + εh) belongs to K(t. (ii) for t0 ≤ t1 ≤ t2 ≤ tf . 1. u∗ (t∗ ))] > 0 . (ii) for t0 ≤ t1 ≤ t2 ≤ tf . if h ∈ Q(t) and λ ≥ 0. t0 . p) = sup{H(t. u∗ (t). x∗ (t0 )) for ε > 0 sufﬁciently small.5) (8. x∗ ).
100
CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
(x∗ (t) + εh) ∈ K(t, t0 , x∗ ) . 0 (8.10)
Plausibility argument. (8.10) is equivalent to εh ∈ K(t, t0 , x∗ (t0 )) − {x∗ (t)} , where we have moved the origin to x∗ (t). The situation is depicted in Figure 8.2. ˆ K(ε) ˆ C(ε) o(ε) K(t1 , t0 , x∗ ) − {x∗ (t)} εh 0
(8.11)
h
δε
C(t)
Figure 8.2: Illustration for Lemma 2. ˆ Let C(ε) be the crosssection of C(t) by a plane orthogonal to h and passing through εh. Let ˆ K(ε) be the crosssection of K(t, t0 , x∗ ) − {x∗ (t0 )} by the same plane. We note the following: 0 ˆ ˆ (i) by Lemma 1 the distance between C(ε) and K(ε) is of the order o(ε); ˆ (ii) since h is in the interior of C(t), the minimum distance between εh and C(ε) is δε where δ > 0 is independent of ε. ˆ Hence for ε > 0 sufﬁciently small εh must be trapped inside the set K(ε). (This would constitute a proof except that for the argument to work we need to show that there ˆ are no “holes” in K(ε) through which εh can “escape.” The complications in a rigorous proof arise precisely from this drawback in our plausibility argument.) ♦ ∗ ) in a neighborhood of x∗ (t) when we Lemmas 1 and 2 give us a characterization of K(t, t0 , x0 perturb the control u∗ (·) leaving the initial condition ﬁxed. Lemma 3 extends Lemma 2 to the case when we also allow the initial condition to vary over a ﬁxed surface in a neighborhood of x∗ . 0 0 Let g0 : Rn → R 0 be a differentiable function such that the 0 × n matrix gx (x) has rank 0 n 0 0 0 ∗ 0 0 for all x. Let b ∈ R be ﬁxed and let T = {xg (x) − b }. Suppose that x0 ∈ T and let 0 (x∗ ) = {ξg 0 (x∗ )ξ = 0}. Thus, T 0 (x∗ ) + {x∗ } is the plane through x∗ tangent to the surface T x 0 0 0 0 0 T 0 . The proof of Lemma 3 is similar to that of Lemma 2 and is omitted also. Lemma 3: Let h belong to the interior of the cone {C(t)+Φ(t, t0 )T 0 (x∗ )}. For ε ≥ 0 let h(ε) ∈ Rn 0 1 be such that lim h(ε) = 0, and lim ( )h(ε) = h. Then for ε > 0 sufﬁciently small there exists ε→0 ε x0 (ε) ∈ T 0 such that (x∗ (t) + h(ε)) ∈ K(t, t0 , x0 (ε)) .
8.1. MAIN RESULTS
101
We can now prove the main result of this chapter. We keep all the notation introduced above. f Further, let gf : Rn → R f be a differentiable function such that gx (x) has rank f for all x. f ∈ Rn be ﬁxed and let T f = {xg f (x) − bf }. Finally, if x∗ (t ) ∈ T f let T f (x∗ (t )) = Let b f f f {ξgx (x∗ (tf ))ξ = 0}. Theorem 3: Consider the optimal control problem (8.12): Maximize ψ(x(tf )) subject to dynamics: x(t) = f (t, x(t), u(t)) , t0 ≤ t ≤ tf , ˙ initial conditions: g0 (x(t0 )) = b0 , ﬁnal conditions: gf (x(tf )) = bf , control constraint: u(·) ∈ U , i.e., u : [t0 , tf ] → Ω and u(·) piecewise continuous .
(8.12)
Let u∗ (·) ∈ U , let x∗ ∈ T 0 and let x∗ (t) = φ(t, t0 , x∗ , u∗ (·)) be the corresponding trajectory. 0 0 Suppose that x∗ (tf ) ∈ T f , and suppose that (u∗ (·), x∗ ) is optimal. Then there exist a number 0 p∗ ≥ 0, and a function p∗ : [t0 , tf ] → Rn , not both identically zero, satisfying 0 adjoint equation: p∗ (t) = −[ ∂f (t, x∗ (t), u∗ (t))] p∗ (t), t0 ≤ t ≤ tf , ˙ ∂x initial condition: p∗ (t0 )⊥T 0 (x∗ ) , 0 ﬁnal condition: (p∗ (tf ) − p∗ ψ(x∗ (tf )))⊥T f (x∗ (tf )) . 0 Furthermore, the maximum principle H(t, x∗ (t), u∗ (t), p∗ (t)) = M (t, x∗ (t), p∗ (t)) (8.16) (8.13) (8.14) (8.15)
holds for all t ∈ [t0 , tf ] except possibly for a ﬁnite set. [Here H(t, x, p, u) = p f (t, x, u, ), M (t, x, p) = sup{H(t, x, v, p)v ∈ Ω}]. Proof: We break the proof up into a series of steps. Step 1. By repeating the argument presented in the proof of Theorem 2 we can see that (8.15) is equivalent to p∗ (tf ) h ≤ 0 for all h ∈ C(tf ) . (8.17)
Step 2. Deﬁne two convex sets S1 , S2 in R1+m as follows: S1 = {(y, h)y > 0, h ∈ T f (x∗ (tf ))}, S2 = {(y, h)y = ψx (x∗ (tf ))h, h ∈ {C(tf ) + Φ(tf , t0 )T 0 (x∗ )}} . 0 We claim that the optimality of (u∗ (·), x∗ ) implies that S1 ∩ Relative Interior (S2 ) = φ. Suppose 0 this is not the case. Then there exists h ∈ T f (x∗ (tf )) such that ψx (x∗ (tf ))h > 0 , (8.18)
102
CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL
h ∈ Interior{C(tf ) + Φ(tf , t0 )T 0 (x∗ )} . 0 (8.19)
f f Now by assumption gx (x∗ (tf ) has maximum rank. Since gx (x∗ (tf ))h = 0 it follows that the Implicit Function Theorem that for ε > 0 sufﬁciently small there exists h(ε) ∈ Rn such that
gf (x∗ (tf ) + h(ε)) = bf ,
(8.20)
and, moreover, h(ε) → 0, (1/ε)h(ε) → h as ε → 0. From (8.18) and Lemma 3 it follows that for ε > 0 sufﬁciently small there exists x0 (ε) ∈ T 0 and uε (·) ∈ U such that x∗ (tf ) + h(ε) = φ(tf , t0 , x0 (ε), uε (·)) . Hence we can conclude from (8.20) that the pair (x0 (ε), uε (·)) satisﬁes the initial and ﬁnal conditions, and the corresponding value of the objective function is ψ(x∗ (tf ) + h(ε)) = ψ(x∗ (tf )) + ψx (x∗ (tf ))h(ε) + o(h(ε)) , and since h(ε) = εh + o(ε) we get ψ(x∗ (tf ) + h(ε)) = ψ(x∗ (tf )) + ε)ψx (x∗ (tf ))h + o(ε) ; but then from (8.18) ψ(x∗ (tf ) + h(ε)) > ψ(x∗ (tf )) for ε > 0 sufﬁciently small, thereby contradicting the optimality of (u∗ (·), x∗ ). 0 Step 3. By the separation theorem for convex sets there exist p0 ∈ R, p1 ∈ Rn , not both zero, such ˆ ˆ that p0 y 1 + p1 h1 ≥ p0 y 2 + p1 h2 for all (y i , hi ) ∈ S1 , i = 1, 2 . ˆ ˆ ˆ ˆ (8.21)
Arguing in exactly the same fashion as in the proof of Lemma 1 of 7.2 we can conclude that (8.21) is equivalent to the following conditions: p0 ≥ 0 , ˆ p1 ⊥T f (x∗ (tf )) , ˆ Φ(tf , t0 ) (ˆ0 ψ(x∗ (tf )) + p1 )⊥T 0 (x∗ ) , p ˆ 0 and (ˆ0 ψx (x∗ (tf )) + p1 )h ≤ 0 for all h ∈ C(tf ) . p ˆ (8.24)
(8.22)
(8.23)
If we let p∗ = p0 and p∗ (tf ) = p0 ψ(x∗ (tf )) + p1 then (8.22), (8.23), and (8.24) translate respecˆ0 ˆ ˆ ˆ tively into (8.15), (8.14), and (8.17). ♦
and we get the following result. x∗ (t). then there exists a function p∗ = (p∗ . x(t). ˙ initial conditions: g0 (x(t0 )) = b0 .2. x(t). x. p. x= ˜ = f (t. tf ] → R1+m . the maximum principle ˜ ˜ H(t. x(t). x(t). x∗ (t). (Hint: For the ﬁnal part show that (d/dt) M (t. u(t))dt . x∗ (t). If 0 0 (u∗ (·). v)v ∈ Ω}. t0 ≤ t ≤ tf . x. u(t)) x0 (t) ˙ ˜ ˜ . u(t))dt (8. p∗ (t)) ≡ 0. Evidently then the problem of maximizing (8. x) ∈ ˜ R1+m as follows: · f0 (t. x. u∗ (t)) = M (t. let x∗ ∈ T o and let x∗ (t) = φ(t.25) The dynamics of the state. and suppose that x∗ (tf ) ∈ T f . x.] ˜ ˜ ˜ (t.25) is equivalent to the ˜ x problem of maximizing ψ(˜(tf )) = x0 (tf ) . p∗ (t). p∗ (t)) ≡ constant. x∗ . tf ] except possibly for a ﬁnite set. u∗ (·)). Futhermore. but rather as an integral of the form tf t0 f0 (t. u) = p f (t. u) = ˜ ˜˜ ˜ ˜ p0 f0 (t.) ˜ · ˜ . INTEGRAL OBJECTIVE FUNCTION 103 8. Theorem 1: Consider the optimal control problem (8. p∗ (t)) ˜ ˜ ˜ holds for all t ∈ [t0 . x(t). the boundary conditions. (8. x∗ (t). [Here H(t. t0 . x(t). gf (x) = bf are augmented g0 (˜) = ˜ x x0 g0 (x) = ˜0 = b 0 b0 and gf (˜) = gf (x) = bf . x. u∗ (t))] p∗ (t) . u).2 Integral Objective Function In many control problems the objective function is not given as a function ψ(x(tf )) of the ﬁnal state. Let u∗ (·) ∈ U. and M (t. x subject to the augmented dynamics and constraints which is of the form treated in Theorem 3 of Section 1. not identically ˜ 0 0 zero. u) + p f (t. u(t)) The initial and ﬁnal conditions which are of the form g0 (x) = b0 . Finally. and with p∗ (t) ≡ constant and p∗ (t) ≥ 0. control constraint: u(·) ∈ U . u(t)) = x(t) ˙ f (t. To this end we deﬁned the augmented system with state variable x = (x0 . x. satisfying 0 0 (augmented) adjoint equation: p∗ (t) = −[ ∂ f (t. p∗ ) : [t0 .26) subject to dynamics: x(t) = f (t. 0 ﬁnal condition: p∗ (tf )⊥T f (x∗ (tf )) . ˜ ˜ ∂x ˜ initial condition: p∗ (t0 )⊥T 0 (x∗ ) .26): tf Maximize t0 f0 (t. and control constraints are the same as before. p) = sup{H(t. then M ˜ ˜ Exercise 1: Prove Theorem 1. u(t)). if f0 and f do not explicitly depend on t. x∗ (t). p. We proceed to show how such objective functions can be treated as a special case of the problems of the last section. ﬁnal conditions: gf (x(tf )) = bf . x∗ ) is optimal.8.
28) by x(t) = z(s(t)) . v(s) = u(t(s)) . control constraint: u(·) ∈ U . s(·) is the solution of the differential equation s(t) = 1/α(s(t)). with initial condition t(0) = t0 . 1]. u(t)).1 Main result. ˙ . ∞).3 Variable Final Time 8. One such case is the minimumtime problem where we want to transfer the state of the system from a given initial state to a speciﬁed ﬁnal state in minimum time. ﬁnal condition: gf (x(t)f )) = bf . CONINUOUSTIME OPTIMAL CONTROL 8. (8. 1] is the functional inverse of s(t). s(t0 ) = 0. ﬁnaltime constraint: tf ∈ (t0 .104 CHAPTER 8. (8. t0 ≤ t ≤ tf .3. x(t).29) Conversely from the solution z(·) of (8. x(t0 ) = x0 ˙ and if we deﬁne z(s) = x(t(s)).29) we can obtain the solution x(·) of (8.27) by converting the variable time interval [t0 . z(s). u(t))dt subject to dynamics: x(t) = f (t. 1]. More generally. Now if x(·) is the solution of x(t) = f (t. In the problem considered up to now the ﬁnal time tf is assumed to be ﬁxed. Here α(s) is a new control variable constrained by α(s) ∈ (0.27) We analyze (8. ˙ initial condition: g0 (x(t0 )) = b0 . u(t)) . The equation for t is dt(s) ds = α(s) . 0 ≤ s ≤ 1 . tf Maximize t0 f0 (t. where s(·) : [t0 . x. x(t). This change of timescale is achieved by regarding t as a new state variable and selecting a new time variable s which ranges over [0. tf ] into a ﬁxedtime interval [0. 0 ≤ s ≤ 1 . (t).28) = α(s)f (s. then it is easy to see that z(·) is the solution of dz ds (s) (8. In many important cases the ﬁnal time is itself a decision variable. 0 ≤ s ≤ 1 z(0) = x0 . . t0 ≤ t ≤ tf . consider the optimal control problem (8. v(s)) . in fact.27). ∞) . t0 ≤ t ≤ tf . tf ] → [0.
30). f Exercise 1: Prove Lemma 1. u∗ (·)) be the 0 0 f corresponding trajectory. 0≤s≤1. t∗ ) is optimal for 0 f f ∗ (8. x∗ (t). u∗ (·) ∈ U. 0 f0 (t(s). v(s))α(s). ∞) for 0 ≤ s ≤ 1 and v(·). f ∗ Then ((v ∗ (·). let x∗ ∈ T 0 . z(s). satisfying 0 0 (augmented) adjoint equation: p (t) = −[ ∂ f (t. and suppose that x∗ (t∗ ) ∈ T f . α∗ (·)). α∗ (·)) be an admissible control for (8.32) . t0 ≤ t ≤ t∗ . let t∗ ∈ (0. and t∗ by 0 f ∗ x∗ = z0 . Suppose that ((v ∗ (·). Deﬁne z0 . ∞) and let x∗ (t) = φ(t. ﬁnal constraint: gf (z(1)) = bf . α(s)) ∈ Ω × (0. If (u∗ (·). t(0) = t0 . t0 . Then (u∗ (·). and ˜ 0 f with p∗ (t) ≡ constant and p∗ (t) ≥ 0. z0 .8. u∗ (·) ∈ U . z0 ) is optimal for (8. and let 0 f x∗ (t) = φ(t. α∗ (·)).27).27). x∗ .3.31) (8. 0 ·∗ ˜ (8. z ∗ (·)) satisﬁes the ﬁnal conditions of (8. t∗ ) is optimal for (8.30) is established in the following result. and the control (α. t∗ ] → R1+m . x∗ . t0 ≤ t ≤ tf . z(s). t(1) ∈ R . The relation between problems (8. control constraint: (v(s). f t∗ = t∗ (1) . 0 0 f α∗ (s) = (t∗ − t0 ) . t0 .27) and (8. v) ∈ R1+p : 1 Maximize subject to ˙ dynamics: (z(s). ˙ initial constraint: g0 (z(0)) = b0 .30). p∗ ) : [t0 . then there exists a function p∗ = (p∗ . and let (v ∗ (·). v ∗ (·). VARIABLE FINAL TIME 105 With these ideas in mind it is natural to consider the ﬁxedﬁnaltime optimal control problem (8. t∗ ) is optimal 0 0 f f for (8.30) Lemma 1: (i) Let x∗ ∈ T 0 . ∗ (ii) Let z0 ∈ T 0 .30). x∗ . t(s)) = (f (t(s). Suppose that x∗ (t∗ ) ∈ T f . x∗ . v(s))α(s)ds (8.30). z) ∈ R1+m . α(·) piecewise continuous. ˜ ˜ ∂x ˜ initial condition: p∗ (t0 )⊥T 0 (x∗ ) . z0 ) is optimal for (8. f ∗ where s∗ (·) is functional inverse of t∗ (·). and α∗ (·) by ∗ z0 = x∗ 0 ∗ (s) = u∗ (t + s(t∗ − t )) v . Theorem 1: Let u∗ (·) ∈ U. 0≤s≤1. 0 u∗ (t) = v ∗ (s∗ (t)) . u∗ (t))] p∗ (t) . u∗ (·)). where the state vector (t.27). ∞). and suppose that (u∗ (·). t∗ ∈ (t0 . not identically zero. Deﬁne x∗ .30) such that the correspond∗ ing trajectory (t∗ (·). α(s)).
1] → R1+n+1 .35) ˙ 0 λ∗ (t) 0 {[ ∂f0 (t∗ (s). λ∗ ≡ constant. f f (8. t0 ≤ t ≤ t∗ . p∗ is not identically zero.40) First of all. t∗ ] → R1+n by ˜ 0 f f f p∗ (t) = λ∗ (s∗ (t)). v ∗ (s))] λ∗ (s) ˙ λ∗ (t) 0 ∂z = − +[ ∂f (t∗ (s). v ∗ (s))] λ∗ (s) n+1 0 +[ ∂f (t∗ (s). λ∗ ) ≡ 0 and ˜ ˜ 0 ˜ then from (8. z ∗ (s). z0 = x∗ .106 CHAPTER 8. v ∗ (s))α∗ (s) 0 +λ∗ (s) f (t∗ (s). the maximum principle λ∗ (s)f0 (t∗ (s).33) Also the maximum principle ˜ ˜ H(t. w)β + λ∗ (s)β]w ∈ Ω. The resulting trajectory is z ∗ (s) = x∗ (t0 + s(t∗ − t0 )). λ∗ ) : [0. z ∗ (s). f ˜ By Theorem 1 of Section 2. not 0 n+1 ∗ (s) ≡ constant and λ∗ (s) ≥ 0. and deﬁne p∗ = (p∗ . z ∗ (s).36). u∗ (t∗ )) = 0 .40) we have (λ∗ .30). Because if p∗ ≡ 0. ˜ ˜ holds for all t ∈ [t0 . so that in particular f f z ∗ (1) = x∗ (t∗ ). z ∗ (s). v ∗ (s) = u∗ (t0 + s(t∗ − t0 )) and α∗ (s) = (t∗ − t0 ) for 0 ≤ s ≤ 1 0 f f constitute an optimal solution for (8.38) ﬁnal condition: λ∗ (1)⊥T f (z ∗ (1)) . z ∗ (s). f f ˜ f f ˆ Finally. ˜ ∗ Proof: By Lemma 1. if f0 and f do not explicitly depend on t.36) (8.38). λ∗ (1) = 0 . 1] except possibly for a ﬁnite set. CONINUOUSTIME OPTIMAL CONTROL ﬁnal condition: p∗ (t∗ )⊥T f (x∗ (t∗ )) . z ∗ (s). p∗ (t∗ ). v ∗ (s))] λ∗ (s)}α∗ (s) adjoint equation: ∂z ∂f0 ∗ λ∗ (t) ˙ {[ ∂t (t (s). x∗ (t∗ ). t0 ≤ t ≤ t∗ . t∗ must be such that f ˆ H(t∗ . β ∈ (0. Let s∗ (t) = (t − t0 )/(t∗ − t0 ). then M (t.37) (8. p∗ ) : [t0 . v ∗ (s))] λ∗ (s)}α∗ (s) ∂t ∗ initial condition: λ∗ (0)⊥T 0 (z0 ) (8. u∗ (t)) = M (t. x∗ (t). tf ] except possibly for a ﬁnite set. 0 ≤ s ≤ 1 . 0 0 f (8. Furthermore. t∗ (s) = t0 + s(t∗ − t0 ). p∗ (t)) ≡ 0. w)β 0 +λ∗ (s) f (t∗ (s).39) holds for all s ∈ [0. there exists a function λ∗ = (λ∗ . then from (8. and with λ0 0 (8. z ∗ (s). n+1 Furthermore.34) (8. x∗ (t). λ∗ . z ∗ (s). p∗ (t) = λ∗ (s∗ (t)). satisfying identically zero. p∗ (t)) . p∗ (t). λ∗ (1) = 0 so that we would have λ∗ ≡ 0 n+1 n+1 . x∗ (t). ∞)} n+1 (8. but from (8. v ∗ (s))α∗ (s) + λ∗ (s)α∗ (s) n+1 = sup{[λ∗ (s)f0 (t∗ (s).
It is trivial to verify that p∗ (·) satisﬁes (8. f are not explicitly dependent on t. (t)) ≡ constant .44) . the last assertion of the Theorem follows from (8. z ∗ (s). w)]w ∈ Ω}.35) and the fact that M (t. f Finally. z ∗ (s). t∗ ] → Rn .35) follows from (8. so that the optimal control problem consists of ﬁnding a control which transfers the system from state x0 at time t0 to state xf in minimum time. z ∗ (s). u(t)).41) Evidently (8.45) (8.33). xf are ﬁxed.8. x∗ (t). VARIABLE FINAL TIME 107 which is a contradiction. v ∗ (s)) 0 = Sup {[λ∗ (s)f0 (t∗ (s). t0 ≤ t ≤ tf ˙ initial condition: x(t0 ) = x0 . p∗ (t)) holds for all t ∈ [t0 . (8. ∞) and let u∗ : [t0 . x∗ (t). (8. M (t∗ .34) and (8. Then there exists a function p∗ : [t0 . ˙ f ∂x initial condition: p∗ (t0 ) ∈ Rn .46) (8. We consider the following special case of (8. z ∗ (s). Next. ﬁnaltime constraint: tf ∈ (t0 . ﬁnal condition: x(tf ) = xf .43) In (8.3. p∗ . u∗ (t))] p∗ (t).42) is equivalent to (8.27): tf Maximize t0 (−1)dt subject to dynamics: x(t) = f (t. ♦ 8. v ∗ (s)) 0 +λ∗ (s) f (t∗ (s). not identically zero. w) + λ∗ (s) f (t∗ (s).32) and (8. x(t).39) is equivalent to λ∗ (s)f0 (t∗ (s).43). t0 ≤ t ≤ t∗ . Theorem 2: Let t∗ ∈ (t0 . u∗ (t)) = M (t.42) (8. z ∗ (s). p∗ (tf )) ≥ 0 f and if f does not depend explicitly on t then M (t. x∗ (t). z ∗ (s).2 Minimumtime problems . v ∗ (s)) + λ∗ (s) = 0 n+1 and λ∗ (s)f0 (t∗ (s). p∗ (t). v ∗ (s)) + λ∗ (s) f (t∗ (s). f Also the maximum principle H(t. x0 . x∗ (t). p∗ (t)) ≡ ˜ constant if f0 . (8. ∞) .3.31). t∗ ] → Ω be optimal.41) and the fact that λ∗ (1) = 0. Applying Theorem 1 to this problem gives Theorem 2. n+1 ˜ Finally.37) ˜ and (8. 0 (8. satisfying f adjoint equation: p∗ (t) = −[ ∂f (t. Let x∗ (·) be the corresponding f f trajectory. on the other hand (8. x∗ (t). ﬁnal condition: p∗ (t∗ ) ∈ Rn . t∗ ] except possibly for a ﬁnite set. and.38) respectively imply (8. x∗ (tf ). control constraint: u(·) ∈ U .
48) is p∗ (t) 1 p∗ (t) 2 or = e−α(t−τ ) − e−α(t−τ ) ) . Example 1: The motion of a particle is described by m¨(t) + σ x(t) = u(t) . We now study a simple example illustrating Theorem 2.45). and (8. x = 0 in minimum time. (8. Suppose that u∗ (·) is optimal and x∗ (·) is the corresponding trajectory.44). x ˙ where m = mass. p∗ (t). By Theorem 2 there exists a nonzero solution p∗ (·) of p∗ (t) ˙1 p∗ (t) ˙2 =− 0 0 1 −α p∗ (t) 1 p∗ (t) 2 (8. 1 1 and p∗ (t) = 2 The Hamiltonian H is given by H(x∗ (t).108 CHAPTER 8. The control constraint set is Ω = [−1. 1]. u ∈ R and u(t) constrained by u(t) ≤ 1. For simplicity we suppose that x ∈ R. x(0) = x02 we wish to ﬁnd an admissible control which brings the ˙ particle to the state x = 0.48) such that (8. and x = position of the particle. ˙ Solution: Taking x1 = x.47) is 1 0 1 α (1 Φ(t.49) .47) where α = (σ/m) > 0 and b = (1/m) > 0. u = applied force. Starting with an initial condition x(0) = x01 . 1 2 2 2 1 ∗ α p1 (0) 1 + eαt (− α p∗ (0) + p∗ (0)) . σ = coefﬁcient of friction. v) = (p∗ (t) − αp∗ (t))x∗ (t) + bp∗ (t)v 1 2 2 2 = eαt (p∗ (0) − αp∗ (0))x∗ (t) + pb∗ (t)v . Now the transition matrix function of the homogeneous part of (8. 1 1 αt α (1 − e ) 0 eαt p∗ (0) 1 p∗ (0) 2 .46) hold. (8. x2 = x we rewrite the particle dynamics as ˙ x1 (t) ˙ x2 (t) ˙ = 0 1 0 −α x1 (t) x2 (t) + 0 b u(t) . 1 2 (8. p∗ (t) ≡ p∗ (0) . CONINUOUSTIME OPTIMAL CONTROL Exercise 2: Prove Theorem 2. τ ) = so that the solution of (8.
. VARIABLE FINAL TIME so that from the maximum principle we can immediately conclude that +1 if p∗ (t) > 0. Case 3. p∗ (·) 1 2 (8. 2 ∗ (t) > 0 for t > t.47) does not depend on t explicitly we must also have eαt (p∗ (0) − αp∗ (0))x∗ (t) + bp∗ (t)u∗ (t) ≡ constant. ˆ −1 for t > t 2 >0. 2 ∗ −1 if p∗ (t) < 0. 2 109 (8. <0.51) We now proceed to analyze the consequences of (8. −p∗ (0) + αp∗ (0) > 0: Evidently then.3. 2 ˆ and p∗ (t) < 0 for t > t. from (8. First of all since p∗ (t) ≡ 1 can have three qualitatively different forms.8. 2 Case 2. Hence u∗ (·) we can behave in one of two ways: 1 either u∗ (t) ≡ +1 and p∗ (t) ≡ 2 or u∗ (t) ≡ −1 and p∗ (t) ≡ 2 1 ∗ α p1 (0) 1 ∗ α p1 (0) ˆ ˆ +1 for t < t and p∗ (t) > 0 for t < t.49) and (8.50) u∗ (·) can behave in one of two ways: either ˆ ˆ −1 for t < t and p∗ (t) < 0 for t < t. Also since p∗ (t) ≡ 0. since the righthand side of (8. 1 2 2 2 p∗ (0). −p∗ (0) + αp∗ (0) = 0 : In this case p∗ (t) ≡ (1/α)p∗ (0). −p∗ (0) + αp∗ (0) < 0 : Evidently u∗ (·) can behave in one of two ways: 1 2 either u∗ (t) = or u∗ (t) ≡ −1 and p∗ (t) < 0 for all t.50). we must 1 2 2 1 have in this case p∗ (0) = 0.49) we see that p∗ (t) must be a strictly 1 2 2 monotonically increasing function so that from (8. Case 1.50) Furthermore. u (t) = 2 ? if p∗ (t) = 0 . ˆ ˆ +1 for t > t and p2 u∗ (t) = or u∗ (t) ≡ +1 and p∗ (t) > 0 for all t.
Then we must have 1 2 2 ∗ (t) ≡ 1. 1 1 2 Thus the search for the optimal control reduces to ﬁnding p∗ (0). One way is to guess at the value of p∗ (0) and then integrate (8.53) (8. x2 (t∗ ) = 0 . Integrating (8. The latter approach is more advantageous because we know that any trajectory obtained by this procedure is optimal for initial conditions which lie on the trajectory.52) and (8.54) is not satisﬁed then modify p∗ (0) and repeat. which is the curve OB. An alternative is to guess at the value of p∗ (0) and then integrate (8. with ξ1 (0) − ξ2 (0) = 0 . ξ2 (t) = b α (1 − eαt ) . The optimal control is given by u∗ (t) = sgn p∗ (t) 2 1 1 = sgn [ α p∗ (0) + eαt (− α p∗ (0) + p∗ (0))] .54).52).54) backward in time give us a trajectory ξ(t) where u ˙ ˙ ξ1 (t) = −ξ2 (t) ˙ ξ2 (t) = αξ2 (t) − b . if p∗ (0) is such that −p∗ (0) + αp∗ (0) = 0 and p∗ (0) < 0. the optimal control u∗ is always equal to +1 or 1 and it can switch at most once between these two values. . p∗ (0) such that the solution of the 1 2 differential equation x = x2 ˙ 1 1 x2 = −αx2 + b sgn[ α p∗ (0) + eαt (− α p∗ (0) + p∗ (0))] . ˙ 1 1 2 with initial condition x1 (0) = x10 .52) and (8.52) for some t∗ > 0.54) backward in time and check of (8. CONINUOUSTIME OPTIMAL CONTROL Thus. then u∗ (t) ≡ −1 1 2 2 and we get b ξ1 (t) = − α (−t + eαt −1 α ) b .53) forward in time and check if (8.53). ξ2 (t) = − α (1 − eαt ) . On the other hand. and then t∗ is the minimum time.52) and (8. This gives b ξ1 (t) = α (−t + eαt −1 α ) . and (8. which is the curve OA in Figure 8.54) (8. If (8.3. x20 = x20 also satisﬁes the ﬁnal condition x1 (t∗ ) = 0. (8. Suppose we choose p∗ (0) such that −p∗ (0) = αp∗ (0) = 0 and p∗ (0) > 0.54) is satisﬁed. Let us follow this procedure.110 CHAPTER 8. f f (8. f f There are at least two ways of solving the twopoint boundary value problem (8.53) is satisﬁed.
b for t > t with ξ1 (0) = 0. ξ2 (0) = 0.54) backwards in time we get trajectory ξ(t) where eαt (−(1/α)p∗ (0) 1 ˙ ξ(t) = −ξ2 (t) ˙ ξ2 (t) = αξ2 (t)+ ˆ −b for t < t ˆ . Next suppose p∗ (0) is such that −p∗ (0) + αp∗ (0) > 0. This give us the curve OCD. Then [(1/α)p∗ (0) + 1 2 2 1 ˆ + p∗ (0))] will have a negative value for t ∈ (0. if we integrate (8. VARIABLE FINAL TIME u∗ ≡ −1 B C D u∗ ≡ 1 O E 111 ξ1 ξ2 u∗ ≡ 1 A F u∗ ≡ −1 Figure 8. Hence. (8.3: Backward integration of (8.3. Hence we can synthesize the optimal control in feedback from: u∗ (t) = ψ(x∗ (t)) where the B u∗ ≡ −1 x2 u∗ ≡ 1 u∗ ≡ −1 O x1 u∗ ≡ 1 A Figure 8. and we get the 2 2 curve OEF . Finally if p∗ (0) is such that −p∗ (0) + 1 ˆ ˆ αp∗ (0) < 0.54). ∞). We see then that the optimal control u∗ (·) has the following characterizing properties: u∗ (t) = 1 if x∗ (t) is above BOA or on OA −1 if x∗ (t) is below BOA or on OB .4: Optimal trajectories of Example 1.8. then u∗ (t) = 1 for t < t and u∗ (t) = −1 for t > t. and p∗ (0) < 0. . and p∗ (0) < 0.52). t) and a positive value for t ∈ 2 ˆ (t.52) and (8.
and x0 ∈ Rn . Quadratic Cost An important class of problems which arise in practice is the case when the dynamics are linear and the objective function is quadratic. ﬁnal condition: Gf x(t) = bf . Gf is a given f × n matrix. x2 ) is below BOA or on OB . bf ∈ R f are given vectors. not both zero. such that p p∗ (t) = −p∗ (−P (t)x∗ (t)) − A (t)p∗ (t) . positive semideﬁnite matrix whereas Q(t) is a p × p symmetric.56) we assume that P (t) is an n × n symmetric. 2 0 If p∗ > 0.112 CHAPTER 8.55): T Minimize 0 1 [x (t)P (t)x(t) + u (t)Q(t)u(t)]dt 2 (8. In (8. x2 ) is above BOA or on OA −1 if (x1 .4) ψ(x1 . u(·) piecewise continuous.58) cannot have a maximum.60) 1 −1 p∗ Q (t)B 0 (8.55) subject to dynamics: x(t) = A(t)x(t) + B(t)u(t). ˙ 0 and p∗ (t)⊥T f (x∗ (t)) = {ξGf ξ = 0} . 0 ≤ t ≤ T . −1} is given by (see Figure 8. so that we must search for a number p∗ ≥ 0 and a function 0 ∗ : [0. 8. We apply Theorem 1 of Section 2. consider the optimal control problem (8. p∗ (t). v) = − 1 p∗ [x∗ (t) P (t)x∗ (t) + v Q(t)v] ˜ 2 0 +p∗ (t) [A(t)x∗ (t) + B(t)v] so that the optimal control u∗ (t) must maximize − 1 p∗ v Q(t)v + p∗ (t) B(t)v for v ∈ Rp . (8. ˙ initial condition: x(0) = x0 . control constraint: u(t) ∈ Rp . T ] → Rn . Speciﬁcally.4 Linear System. this will imply 0 u∗ (t) = whereas if p∗ = 0. The Hamiltonian function is H(t. then we must have 0 p∗ (t) B(t) ≡ 0 because otherwise (8. CONINUOUSTIME OPTIMAL CONTROL function ψ : R2 → {1. T is a ﬁxed ﬁnal time. (8.58) (t)p∗ (t) .56) (8. x2 ) = 1 if (x1 . x∗ (t).59) .57) (8. positive deﬁnite matrix.
The optimal trajectory and the optimal control is 0 obtained by solving the following twopoint boundary value problem: x∗ (t) = A(t)x∗ (t) + B(t)Q−1 (t)B (t)p∗ (t) ˙ p(t) = P (t)x∗ (t) − A (t)p∗ (t) ˙ x∗ (0) = x0 . (8.61) Next we claim that if the system is controllable then p∗ = 0. p∗ > 0. 0 ≤ τ ≤ T . ﬁnal constraint: k(t) ∈ R . under the controllability assumption. (See (Desoer [1970]) for a deﬁnition of controllability and for the properties we use below. (p∗ (t)/p∗ )) will satisfy all the necessary ˆ 0 0 conditions so that we can assume that p∗ = 1. T ].59). In such cases the maximum principle does not help in selecting the optimal value of the control. THE SINGULAR CASE 113 We make the following assumption about the system dynamics. τ ) be the transition matrix function of the homogeneous linear differential equation x(t) = ˙ A(t)x(t).8. but then from (8. p∗ (t).5 The Singular Case In applying the necessary conditions derived in this chapter it sometimes happens that H(t. x∗ (t). and hence the optimal control is 0 given by (8. s(·) piecewise continuous.56) 0 0 we can see that p∗ (t) = (Φ(T. control constraint: s(t) ∈ [0.60) (p∗ (t)) Φ(T. For further details regarding the solution of this boundary value problem and for related topics see (See and Markus [1967]). We are faced with the socalled singular case (because we are in trouble–not because the situation is rare). 1]. 0 ≤ t ≤ T . The problem can be summarized as follows: T Maximize subject to ˙ dynamics: k(t) = s(t)f (k(t)) − µk(t) . then we must have p∗ (t) ≡ 0 which is a ˜ 0 contradiction. τ )B(τ ) = 0 . Then the controllability assumption is equivalent to the statement that for any ξ ∈ Rn ξ Φ(t. 0 ≤ t ≤ T initial constraint: k(0) = k0 . because if p∗ = 0 then from (8. Now if p∗ > 0 it is trivial that p∗ (t) = (1. implies ξ = 0 . t)) p∗ (T ) and hence from (8. Assumption: The control system x(t) = A(t)x(t) + B(t)u(t) is controllable over the interval ˙ [0. 0 c(t)dt = T 0 (1 − s(t))f (k(t))dt . v) is independent of v for values of t lying in a nonzero interval.61) we get p∗ (T ) = 0. Gf x∗ (T ) = bf . Thus.5. t)B(t) = 0 . We illustrate this by analyzing Example 4 of Chapter 1.) Let Φ(t. 8. p∗ (T )⊥T f (x∗ (T )) . Hence if p∗ = 0.
First of all. not both identically zero.114 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL We make the following assumptions regarding the production function f : fk (k) > 0. p∗ (t) > 1. such that 0 p∗ (t) = −p∗ (1 − s∗ (t))fk (k∗ (t)) − p∗ (t)[s∗ (t)fk (k∗ (t)) − µ] ˙ 0 with the ﬁnal condition p∗ (T ) = 0 . s) = (1 − s)f (k∗ (t)) + p∗ (t)[sf (k∗ (t)) − µk∗ (t)] is maximized over s ∈ [0. p∗ (t).64) and the maximum principle holds. (See Figure 8.6. we note from (8. and a function p∗ : [0. 1] is an optimal savings policy and let k∗ (t). k∗ (t). t)−planes in Figure 8. Then by Theorem 1 of Section 2. 0 ≤ t ≤ T . p∗ (t) = −p∗ (t)[fk (k∗ (t)) − µ] . p∗ ) we 0 0 0 0 can assume without losing generality that p∗ = 1.63) is mainly for technical convenience and can be dispensed with without difﬁculty. t)− and (p. p)−. kH are the solutions of fk (kG ) − µ = 0 and f (kM ) − µk = 0.62) says that the marginal product of capital is positive and this marginal product decreases with increasing capital. Case 1. Assumption (8.63) Assumption (8.64) and (8. be the corresponding trajectory of the capitaltolabor ratio. lim fk (k) = ∞ . (8. s∗ (t) = 1 : Then the dynamic equations become ˙ k∗ (t) = f (k∗ (t)) − µk∗ (t) . Now suppose that s∗ : [0.62) that kG < kM .67) The behavior of the solutions of (8.) < < < > . which immediately implies that 1 if p∗ (t) > 1 ∗ s (t) = 0 if p∗ (t) < 1 ? if p∗ (t) = 1 We analyze separately the three cases above. if p∗ = 0 then from (8. fkk (K) < 0 for all k .62) k→0 (8. T ] → R. T ] → [0.66) (8.63). p∗ ) by (1/p∗ )(p∗ . Futhermore. and fk (k) − µ > 0 according as k > kG whereas f (k) − µk < 0 according as k > kM . so that (8. Hence we must have p∗ > 0 and then by replacing (p∗ .5.65) we must also 0 have p∗ (t) ≡ 0.64) simpliﬁes to 0 p∗ (t) = −1(1 − s∗ (t))fk (k∗ (t)) − p∗ (t)[s∗ (t)fk (k∗ (t)) − µ] .65) (8. Here kG . ˙ The maximum principle says that H(t. there exist a number p∗ ≥ 0.68) (8. Such solutions exist and are unique by virtue of the assumptions (8. 1] at s∗ (t). ˙ (8.62) and (8.68) is depicted in the (k. (k. (8.
69) (8. p∗ (t) < 1.5: Illustration for Case 1. kG s∗ (t) = µ f (kG ) for t ∈ I . or k∗ (t) = kG for t ∈ I . s∗ (t) = 0: Then the dynamic equations are ˙ k∗ (t) = −µk∗ (t) . We face the singular case only if p∗ (t) = 1 for t ∈ I. Case 3. s∗ (t) =?: (Possibly singular case.8.) Evidently if p∗ (t) = 1 only for a ﬁnite set of times t then we do not have to worry about this case. But then we have p∗ (t) = 0 for t ∈ I so that from (8. p∗ (t) = −fk (k∗ (t)) + µp∗ (t) .5. (8. Case 2. ˙ giving rise to the behavior illustrated in Figure 8. p∗ (t) = 1. ˙ In turn then we must have k∗ (t) = 0 for t ∈ I so that s∗ (t)f (kG ) − µKG = 0 for t ∈ I .7.66) ˙ we get −(1 − s∗ (t))fk (k∗ (t)) − [s∗ (t)fk (k∗ (t)) − µ] = 0 for t ∈ I . where I is a nonzero interval. and hence. THE SINGULAR CASE 115 p l fk > µ fk < µ k kM f > µk kG p kM f < µk k t l t Figure 8. so −fk (k∗ (t)) + µ = 0 for t ∈ I .70) .
First of all. k∗ (t) = kG . CONINUOUSTIME OPTIMAL CONTROL µk line of slope µ f (k) . We then have three possibilities depending on the value of k∗ (t2 ): (Bi) k∗ (t2 ) < kG : then p∗ (t2 ) < 0 so that p∗ (t) > 1 for t < t2 and we are in Case 1 so that ˙ ∗ (t) = 1 for t < t . Thus in the singular case the optimal solution is characterized by (8. k∗ (t) = k0 e−µt . T ) such that p∗ (t2 ) = 1 and p∗ (t) < 1 for t2 < t ≤ T . t2 ) so that p∗ (t) = 1.9. This contradicts the deﬁnition of t2 so that this possibility cannot arise. s∗ (t) = 0 if k > kG . or we have p∗ (t) < 1. or (B) there exists t2 ∈ (0. (Biii) k∗ (t2 ) − kG : then we can have a singular arc in some interval (t1 . ˆ Exercise 1: A capitaltolabor ratio k is said to be sustainable if there exists s ∈ [0. p∗ (t) < 1 so that we are in Case 2. . (8.63). 1] such that ˆ ˆ − µk = 0. In particular we must have k < k . Show that kG is the unique sustainable capitaltolabor ratio which maximizes ˆ sf (k) ˆ sustainable consumption (1 − s)f (k). We face two possibilities: Either (A) p∗ (t) < 1 for all t < [0. The various possibilities are illustrated in Figure 8.6: Illustration for assumptions (8. We can now assemble separate cases to obtain the optimal control. For t < t1 we either have p∗ (t) > 1. k kG kM Figure 8. from the ﬁnal condition (8. s 2 0 G (Bii) k∗ (t2 ) > kG : then p∗ (2 ) > 0 but then p∗ (t2 + ε) > 1 for ε > 0 sufﬁciently small and since ˙ p∗ (T ) = 0 there must exist t3 ∈ (t2 .116 f CHAPTER 8. s∗ (t) > 1 if k0 < kG . t2 ).70). and s∗ (t) = µ(kG /f (kG )) for t ∈ (t1 .65) we know that for t close to T.69) and (8. T ) such that p∗ (t3 ) = 1.8. as in Figure 8. The capitaltolabor ratio kG is called the golden mean and the singular solution is called the golden path. T ] and then s∗ (t) = 0. for 0 ≤ t ≤ T .62). The reason for this term is contained in the following exercise.
[1971]). On the one hand these include extensions to inﬁnitedimensional state spaces and on the other hand they allow for constraints on the state more general than merely initial and ﬁnal constraints. the derivation of the maximum principle given in the book by Lee and Markus is more satisfactory.. et al. (Kelley [1962]). However. but mathematically difﬁcult. also consult (Jacobson and Mayne [1970]). For an applicationsoriented treatment of this subject the reader is referred to (Athans and Falb [1966]) and (Bryson and Ho [1969]). et al. and (Polak [1971]). There is no single source of computational methods for optimal control problems. [1967]). BIBLIOGRAPHICAL REMARKS p k 117 l k kG p t l t Figure 8. cited earlier. Several important generalizations of the maximum principle have appeared. (McReynolds [1966]). treatment see (Neustadt [1969]). Among the many useful techniques which have been proposed see (Lasdon. [1968]). and (Balakrishnan and Neustadt [1964]).. 8.8. et al. For applications of the maximum principle to optimal economic growth see (Shell [1967]). For a less rigorous treatment of statespace constraints see (Jacobson.6 Bibliographical Remarks The results presented in this chapter appeared in English in full detail for the ﬁrst time in 1962 in the book by Pontryagin. et al. . whereas for a discussion of the singular case consult (Kelley.6. That book contains many extensions and many examples and it is still an important source.7: Illustration for Case 2. For a uniﬁed.
CONINUOUSTIME OPTIMAL CONTROL p k 1 . The singular case. k kG p kG t 1 t Figure 8. .8: Case 3.118 CHAPTER 8.
t t1 t2 T . . t Figure 8.8. t t2 T s∗ 1 s∗ µkG f (kG ) t k∗ kG k0 t k∗ .9: The optimal solution of example. t Case (Biii) .6. . . . BIBLIOGRAPHICAL REMARKS 119 p∗ 1 t s∗ 1 t k∗ T T p∗ 1 t s∗ 1 t2 T t k∗ t2 T t Case (A) p∗ T p∗ Case (Bi) t2 T t . t1 .
120 CHAPTER 8. CONINUOUSTIME OPTIMAL CONTROL .
the state x(i) and the control u(i) belong to arbitrary sets X and U respectively. Dynamic programming (DP is a technique which compares the optimal decision with all the other decisions. control constraint: u(i) ∈ Ωi . The main advantage of DP. . or ﬁnitedimensional vector spaces (as in the previous chapters). . . for notational convenience we neglect ﬁnal conditions and statespace constraints. u(i)) + Φ(x(N )) (9. is that DP permits very general problem formulations which do not require differentiability or convexity conditions or even the restriction to a ﬁnitedimensional state space. This global comparison. However. . Some general remarks and bibliographical references are collected in the ﬁnal section. Φ : X → R.Chapter 9 Dynamic programing SEQUENTIAL DECISION PROBLEMS: DYNAMIC PROGRAMMING FORMULATION The sequential decision problems discussed in the last three Chapters were analyzed by variational methods. x(i). 1. leads to optimality conditions which are sufﬁcient. ·. X and U may be ﬁnite sets.1 Discretetime DP We consider a problem formulation similar to that of Chapter VI. u(i)) . or even inﬁnitedimensional spaces. Finally f0 (i. N −1 Maximize i=0 f0 (i. . 9. 1. ·) : X × U → R. . ·. The second section deals with the continuoustime problem. The Ωi are ﬁxed subsets of U . x0 ∈ X is ﬁxed.e. . In (9. i. 121 . N − 1 . i = 0. therefore. The only disadvantage (which unfortunately often rules out its use) of DP is that it can easily give rise to enormous computational requirements. f (i. ·) : X × U → X are ﬁxed functions. i = 0. In the ﬁrst section we develop the main recursion equation of DP for discretetime problems.1) subject to dynamics: x(i + 1) = f (i. . initial condition: x(0) = x0 . N − 1 ..1). x(i). the necessary conditions for optimality were obtained by comparing the optimal decision with decisions in a small neighborhood of the optimum. besides the fact that it give sufﬁciency conditions.
. . N .x is N −1 f0 (i. .x to distinguish between different problems. i = + 1. we will sometimes use the index (9. . . i = k. ·. . u(N − 1) with ˜ ˜ u(i) ˜ u∗ (i) . . into a family of optimal control problems with the same dynamics. for each x ∈ X and k between ) and N − 1. u (i)) + Φ(x (N )) . . x( + 1). x (i). u∗ ( ). x(N ) where ˜ ˜ x(i) = ˜ x∗ (i) . u∗ (N − 1) is an optimal control for (9. . . i = k. . More precisely. ∗ ∗ ∗ > i= But then consider the control u(k).2) subject to dynamics: x(i + 1) = f (i. . x(i). x∗ (i). u∗ (N − 1) is an optimal control for (9. N − 1 . . . i = k. Then for any . . x(i).2) . k ≤ ≤ N − 1. . x(i). in which the system starts in state x0 at time 0. . N − 1 . Since the initial time k and initial state x are the only parameters in the problem above. x(i) . x(i). and control constraint as in (9.2)k.1). x∗ (k + 1). x∗ (N ) be the corresponding optimal trajectory. . . Lemma 1: Suppose u∗ (k). initial condition: x(k) = x.3) f0 (i. . Then there exists a control u( ). k + 1. u(i)) + Φ(ˆ(N )) ˆ ˆ x i= N −1 (9.x . u(N − 1). − 1 u(i) . Proof: Suppose not. . . . . i = . u∗ (i)) + Φ(x∗ (N )) . . DYNAMIC PROGRAMING The main idea underlying DP involves embedding the optimal control problem (9. u∗ (i)) + N −1 f0 (i.2)k. . . starting in state x at time k. . . u( + 1). x(N ). u(i)) + Φ(x(N )) . . u(i)).1) but with different initial states and initial times. consider the following problem: N −1 Maximize i=k f0 (i. . . i = k. and let x∗ (k) = x. .2)k. with corresponding ˆ ˆ ˆ trajectory x( ) = x∗ ( ). u(i)) + Φ(˜(n)) ˜ ˜ x i=k −1 = > i=k f0 (i. control constraint: u(i) ∈ Ωi . . . objective function. such that ˆ ˆ ˆ N −1 f0 (i. k + 1. is x(k). . . . . N − 1. x(i). ˆ and the corresponding trajectory. . ˆ The value of the objective function corresponding to this control for the problem (9. . . . x∗ (i). We begin with an elementary but crucial observation. (9.122 CHAPTER 9. . . . u(i)) + Φ(ˆ(N )) ˆ ˆ x i= i=k N −1 f0 (i. . . .x∗ ( ) .
. We call V the (maximum) value function. f (k. .9. f (k. Then V ( . DISCRETETIME DP 123 by (9. . . N − 1 is an optimal feedback control. . x(i). . and equality holds for all k ≤ ≤ N − 1 if and only if the control is optimal for (9. x(N ). ≥ i=k By Lemma 1 the lefthand side of (9. u(k))} . u(k))) . . for all u(k) ∈ Ωk . contradicting the hypothesis. let u∗ (k). . Combining these two facts we get f0 (k.5) f0 (i.(end theorem) Corollary 1: Let u(k). let ψ(k. k ≤ ≤ N − 1.x . Corollary 2: For k = 0. ·).x . x∗ (i). . k = 0. . by the deﬁnition of V we have N −1 f0 (i.x and let x(k) = x. x∗ (N ) be the corresponding trajectory be x(k) = x. . x( )) ≤ f0 ( .2)k. u∗ (i)) + Φ(x∗ (N )) (9. k ≤ ≤ N − 1 . x∗ ( )). u(k)) + V (k + 1. x) = Max{f0 .2)k+1. . x. for any k. u( )) + V ( + 1. and let x∗ (k) = x. . i. . x(i). (end theorem) From now on we assume that an optimal solution to (9.1. . u))u ∈ Ωk } . ψ(k. x. x( ). u∗ (k))) ≥ f0 (k. so that u∗ (k). u∗ (N − 1) deﬁned by u∗ ( ) = ψ( . ))u ∈ Ωk }. We have N −1 i=k N −1 f0 (i. x. x. xu∗ (k)) + V (k + 1. x.. x) satisﬁes the backward recursion equation V (k. f (k. u∗ (N − 1) be an optimal control for (9. . . x. x) be the maximum value of (9. Then ψ(k. f (k. . . . k. Theorem 1: Deﬁne V (N.3). . . 1. x(i). .2)k. ψ(k. u. . u) + V (k1 . x.4) Proof: Let x ∈ X. x the control u∗ (k). . x)) = Max{f0 (k. ·) by (V (N.4). and all x ∈ X.e. On the other hand. 0 ≤ k ≤ N − 1 . u∗ (N − 1) cannot be optimal for 9. u(i)) + Φ(x(N )) . u(i)) + Φ(x(N )) = f0 (k. . f ( . x. f (x. . . Let V (k. ·) : X → Ωk be such that f0 (k. . . u(k)) i=k N +{ i=k+1 f0 (i. u∗ (k)) + V (k + 1. where . . V (k. x)) + V (k + 1. x.5) is equal to f0 (k. .x(k+1) .2)k. u(N − 1) is optimal for (9. u∗ (k)) . . (9. (k. u(N − 1) be any control for the problem (9. u) + V (k + 1.2)k. which is equivalent to (9. . x) = Φ(x). x. . x∗ . u. f (k.x exists for all 0 ≤ k ≤ N − 1. N − 1. f (k. .x . u(i)) + Φ(x(N )) ≤ f0 (k. . x. . x.2)k.2)k . x(N ) be the corresponding trajectory. . x. . with equality if and only if u(k + 1). (k)) + V (k + 1. u( )). x( ).
control constraint: u : [t0 . But now suppose X = Rn and we approximate each dimension of x by 20 values. The recursion equation (9. Then we have to compute and store 10 × 20 values of V . we have to compute and store 10x(20)n values of V . is optimal for (α)k.000. The instructor assigns a number Ui > 0 for each unit of item i.6). Then it is easy to see that V must satisfy V (t. tf ] starting in state x at time t. suppose n = 10 and the statespace X is a ﬁnite set with 20 elements. k ≤ ≤ N − 1 . x(τ ). t + ∆] → Ω}. u(t))dt + Φ(x(tf )) subject to dynamics: x(t) = f (t. For instance. There are N possible items to choose from.4) we also obtain the optimum feedback control.4) allows us to compute the value function. These numbers represent the relative utility of that item during the hike. (9. u(t)) . the DP formulation may necessitate a prohibitive amount of computation since we would have to compute and store the values of V and ψ for all k and x. which is quite impractical for existing computers. Ω ⊂ Rp .1. t0 ≤ t ≤ tf ˙ initial condition: x(0) = x0 . x∗ ( ).8) . Φ : Rn → R is assumed differentiable and f0 . u ∈ Rp . x(t). let V (t. t (9.000. x(t + ∆))u : [t. x) = Φ(x) .x .4). u(τ ))dτ (9. He assumes that each person can take up to W pounds in his knapsack. 9. x(t). and V (tf . and in evaluating the maximum in (9. x) = Max{ t t+∆ f0 (τ.000. x ∈ Rn . for t0 ≤ t ≤ tf and x ∈ Rn . Remark: Theorem 1 and Corollary 2 are the main results of DP. However. • Exercise 1: An instructor is preparing to lead his class for a long hike. which is a reasonable amount.6) In (9. As before. ∆ ≥ 0 . Note that this feedback control is optimum for all initial conditions. x∗ (k) = x . Then for N = 10. unless we can ﬁnd a “closedform” analytic solution to (9. For n = 3 this number is 80.124 CHAPTER 9. Each unit of item i weighs wi pounds.2): Maximize 0 f f0 (t. x∗ ( )).7) +V (t + ∆. and for n = 5 it is 32.2 Continuoustime DP We consider a continuoustime version of (9. tf ] → Ω and u(·) piecewise continuous. ψ( . How many units of each item should be placed in each knapsack so as to maximize total utility? Formulate this problem by DP.4) analytically. DYNAMIC PROGRAMING x∗ ( + 1) = f ( . x) be the maximum value of the objective function over the interval [t. f are assumed to satisfy the conditions stated in VIII. This “curse of dimensionality” seriously limits the applicability of DP to problems where we cannot solve (9.1.
11) Note that the hypothesis concerning ψ guarantees a solution of (9. ˙ x(t) = x . x∗ (t)) = f tf =∈t tf =− dV (τ. ∂t 125 Dividing by ∆ > 0 and letting ∆ approach zero we get the HamiltonJacobi. x. x) + ∂V f (t. x∗ (τ ). Let u∗ (τ ) = ψ(τ. t . x∗ (τ ). Then from (9. tf ] × Rn → R which satisﬁes (9. x(τ ) is the solution of x(τ ) = f (τ. x.9) Theorem 1: Suppose there exists a differentiable function V : [t0 . (9. ψ(t. x. ∆ > 0 .7). t ≤ τ ≤ tf . satisfying f0 (t. ˙ x∗ (τ ) = x . ˆ x (9.2. x(τ ). x∗ (τ ))) .Bellman partial differentiable equation for the value function: ∂V ∂t (t. Suppose there exists a function ψ : [t0 . tf ] → Ω be any piecewise continuous control and ˆ let x(τ ) be the solution of ˆ x (τ ) = f (τ. (τ )). x.13) ≤ To this end we note that V (tf . x)f (t. and V is the value function. ˆ Let x∗ (τ ) be the solution of x∗ (τ ) = f (τ. x∗ (tf )) − V (t. x) + Max{f0 (t. x∗ (τ ) + x (τ )}dτ ˙ ∂τ ∂x t f (9. t ≤ τ ≤ tf . u)u ∈ Ω} .12).10) Then ψ is an optimal feedback control for the problem (9. ψ(t.9. tf ] and x ∈ Rn .14) F − 0(τ. x. x)) ∂x = Max{f0 (t. Let u : [t. x)) + ∂V f (t. x∗ (τ ). u(τ )) . Let us suppose that V is differentiable in t and x. t ≤ τ ≤ tf .9) and the boundary condition (9. u)∆ + V (t. tf ] × Rn → Ω with ψ piecewise continuous in t and Lipschitz in x. (9. u∗ (τ ))dτ . x∗ . To show that ψ is an optimal feedback control we must show that tf t tf t f0 (tτ. u) + ∂V ∂x (t. CONTINUOUSTIME DP In (9. ˆ ˆ ˆ x(t) = x . x. x∗ (τ ). u(τ )) .8). ∂x (9. u)∆ ∂x + ∂V (t. u)u ∈ Ω} = 0. x) = Max{f0 (t.7) we get V (t. u∗ (τ ))dτ + Φ(x∗ (τ )) f0 (τ. Proof: Let t ∈ [t0 . t ≤ τ ≤ t + ∆ . ψ(τ.12) · (9. x. x(τ ). u(τ ))dτ + Φ(ˆ(tf )) . x)∆ + o(∆)u ∈ Ω}. x. u) + ∂V f (t. x∗ (τ ))dτ dτ ∂V ∂V ∗ { (τ.6).
where P (t) = P (t) is positive semideﬁnite. x(τ ). u∗ (τ )) f0 (τ. u∗ (τ ))dτ .3 Miscellaneous Remarks There is vast literature dealing with the theory and applications of DP. From (9. (t)) = ˆ ˆ t tf CHAPTER 9. x∗ (τ ). x) = Φ(x∗ (tf )) + ≥ Φ(ˆ(tf )) + x t tf t tf f0 (τ. (9.8) and the fact that x∗ (t) = x(t) = x we conclude that ˆ V (t. control constraint: u(t) ∈ Rp . and Q(t) = Q (t) is positive deﬁnite.15) using (9.] 9. x(τ ). the book of Bellman [1957] is still excellent reading. x. ˆ ˆ (9. [] . ˙ initial condition: x(0) = x0 . The most elegant applications of DP are to various problems in operations research where one can obtain “closedform” analytic solutions to be recursion equation for the value function.15). For an excellent introduction to this area of application see (Howard [1960]).10). x) = x R(t)x where R is unknown. DYNAMIC PROGRAMING { ≤− t tf ∂V ∂V · x (τ )}dτ ˜ (τ.126 using (9.9). For an important application of DP to computational considerations for optimal control problems see (Jacobson and Mayne [1970]). x(tf )) − V (t. [Hint: Obtain the partial differential equation satisﬁed by V (t. (9. It also follows that V is the maximum value function. On the other hand. V (tf .13) is proved. Finally. 0 ≤ t ≤ T . See (Bellman and Dreyfus [1952]) and (Wagner [1969]). x) and try a solution of the form V (t. In the case of sequential decisionmaking under uncertainties DP is about the only available general method. Larson [1968] has developed computational techniques which greatly increase the range of applicability of DP where closedform solutions are not available. • Exercise 1: Obtain the value function and the optimal feedback control for the linear regulatory problem: Minimize 1 x (T )P (T )x(t) + 2 1 2 T0 {x (t)P (t)x(t) +u (t)Q(t)u(t)}dt subject to dynamics: x(t) = A(t)x(t) + B(t)u(t) . x(τ )) + ˆ ∂τ ∂x f0 (τ.9).14). u(τ ))dτ ˆ ˆ ♦ so that (9. (9.
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107 . LP duality theorem. 61 Knapsack problem. 37. 39 basic variable. 86. 103 sufﬁcient condition.H. DP optimality conditions. 37 Lagrangian function. 101 Hypograph. 125 ˜ Hamiltonian H. 125 Control of water quality. 64 Farkas’ Lemma. 21 Linear programming. 124 Lagrange multipliers. 49 Game theory . 42 Linear programming. 54. 33. 123 Discretetime optimality control sufﬁcient condition.LP optimality condition. 50 Adjoint Equation augmented. 67 Convex function deﬁnition.Index Active constraint. 33. 91. 35 Langrangian function. 71 Feasible solution. 98 continuoustime. 123. 54 Basic feasible solution. 15 Discretetime optimal control necessary condition. 103 discretetime. 101. 80 Dual problem. 53 sufﬁcent conditions. 55 Convex set. 37 properties. 8 Design of resistive network. 78 problem formulation. 63 Dynamic programming. 91. 85 Adjoint equation augmented. 5 Complementary slackness. 80 Minimum fuel problem. 55 Continuoustime optimal control necessary condition. 31 theory of the ﬁrm. 72 algorithm. 35 problem formulation. 34 Maximum principle continuoustime. 32 Feasible direction. 58 131 Duality theorem. 103 problem formulation. 121. 8 HamiltonJacobiBellman equation. 80 Adjoint network. 105 continuoustime. 99 ˜ Hamiltonian HH. 81 Minimumtime problem. 54 Langrangian multipliers. 78. 39 Certaintyequivalence principle. 5 Gradient. 45. 91 discretetime. 34 Constraint qualiﬁcation deﬁnition. 101. 77 sufﬁcient condition. 37 Derivative. 33. 33. 101. 124 Epigraph. 61 Equilibrium of an economy. 23 Afﬁne function. 125 problem formulation. 21.
41 Phase II. 54 Optimal decision. 37 Phase I. 70 Shadowprices. 13 Optimization under uncertainty. 81. 37. 39 Nonlinear programming. 77 Subgradient. 63 necessary condition. 33 Quadratic cost. 123. 123 Variable ﬁnal time. QP optimality condition. 53 problem formulation. 124 Regulator problem. 50 Transversality condition continuoustime problem. 33. 70 Wolfe algorithm. 45. 65 Separation theorem for convex sets. 91 discretetime problem. 17 sufﬁcient condition. NP duality theorem. 80 Value function. 103 Vertex. 70 problem formulation.132 example. 60 Supporting hyperplane. 112 Resource allocation problem. 117 Optimal feedback control. 112 Quadratic programming. 71 Recursion equation for dynamic programming. 108 Nondegeneracy condition. 1 Optimal economic growth. 60 Supergradient. 117 discretetime problem. 11 sufﬁcient condition. 5 Shadow prices. 39 Singular case for control. 58 Wolfe algorithm. 4 Optimization with equality constraints necessary condition. 50. 113. 38 Weak duality theorem. 70 Primal problem. 49 suﬁcient condition. 21 Optimum tax. 61. 113 Slack variable. 125 Optimization over open set necessary condition. 71 INDEX . 32 Statespace constraint continuoustime problem. 73 Separation theorem for stochastic control. 81. 39 Simplex algorithm. 2. 84 Tangent.
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