Sensitivity analysis for parametric control problems with control-state constraints

Sensitivity analysis for parametric control problems with control-state constraints

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Article ID: iaor19981288
Country: Netherlands
Volume: 5
Issue: 3
Start Page Number: 253
End Page Number: 283
Publication Date: May 1996
Journal: Computational Optimization and Applications
Authors: ,
Abstract:

Parametric nonlinear control problems subject to vector-valued mixed control-state constraints are investigated. The model perturbations are implemented by a parameter p of a Banach-space P. We prove solution differentiability in the sense that the optimal solution and the associated adjoint multiplier function are differentiable functions of the parameter. The main assumptions for solution differentiability are composed by regularity conditions and recently developed second-order sufficient conditions (SSC). The analysis generalizes an earlier approach and establishes a link between (1) shooting techniques for solving the associated boundary value problem (BVP) and (2) SSC. We shall make use of sensitivity results from finite-dimensional parametric programming and exploit the relationships between the variational system associated with BVP and its corresponding Riccati equation. Solution differentiability is the theoretical backbone for any numerical sensitivity analysis. A numerical example with a vector-valued control is presented that illustrates sensitivity analysis in detail.

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