Optimization in Innite Dimensions: Calculus of

Variations
What is the calculus of variations?
Basic mathematics
Applications:
Brachistochrone
Supersonic design
Related topic: Method of restricted variations
AA222: Introduction to MDO 8
Introduction to the Calculus of Variations AA222
What is the calculus of variations?
Optimization in infinite dimensions
Restricted to certain types of objectives and
constraints. Often used for trajectory optimization.
The simplest version of the calculus of variations
considers minimization of the following objective:
Find y(x) that minimizes J.
Introduction to the Calculus of Variations AA222
The Variational Problem
Consider a curve, y(x), that is optimal in that it minimizes some
function, J, over an interval.
This means that to first order any small perturbation in
that curve creates no change in the objective function:
!J = 0
And if:
This leads to an optimality condition on f called the Euler-
Lagrange equation.
y
x
Introduction to the Calculus of Variations AA222
Derivation of Euler-Lagrange Condition
To derive the conditions required for a minimum, look at the variation in J:
Since: the variation in J can be written:
Integrating the second term by parts and denoting partials with subscripts:
Now, since the endpoints are not being moved, the first term vanishes:
Setting the variation to zero for arbitrary !y means the integrand must be 0.
Introduction to the Calculus of Variations AA222
Basic Math for Calculus of Variations
Euler-Lagrange equation replaces Kuhn-Tucker
conditions for optimum y(x).
Also can be written:
Expanding and writing partials as subscripts:
Introduction to the Calculus of Variations AA222
Basic Math for Calculus of Variations
When f is not an explicit function of x:
i.e. f = f(y, y), then the E-L equation becomes:
Or: (Beltrami identity)
Introduction to the Calculus of Variations AA222
Example: Brachistochrone Problem
Consider a bead sliding on a wire, accelerated by
gravity.
Find the shape of the wire that takes the bead from
one point to another in the least time.
Newton was challenged to solve the problem in
1696, and did so the very next day (Boyer and
Merzbach 1991, p. 405).
Introduction to the Calculus of Variations AA222
Example: Brachistochrone Problem
Consider a bead sliding on a wire, accelerated by
gravity.
Time required is:
Speed given by conservation of energy:
so:
Objective function is then:
P1
P2
Introduction to the Calculus of Variations AA222
Example: Brachistochrone Problem
This has the form of a calculus of variations problem:
with:
Substituting this f into the Beltrami identity leads to:
Which is satisfied by: