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l, d>2, 4>3» controls u, Bu = B] + B2P, one can steer from a growth rate of 0.2% to 9%, from 11% unemployment to 3% unemployment; from 12% inflation to 3% inflation rate, etc. We can have low inflation and low unemployment at high GNP growth rate and very good value of capital stock. Realistically we need to consider constraints on the controls. To consider constraints, the results of Chapters 5 and 6 will be needed. See Chukwu, E. N., [4]. These articles report that high level of GDP, and employment, low level of inflation, and cumulative balance of payment, booming value of capital stock are possible for the countries reported. This is, of course, due to the controllability of each country's economic system. See the Figure and newspaper cutting. Controllability of the economic state was in earlier times considered unthinkable. In that paper a computerized MATLAB program of steps to test constrained controllability is described. The results for the U.S.A., India, U.K., and Canada are impressive. See New York Times, June 7, 1997, pp. 1 and 22. The Globe and Mail (The Canadian International Newspaper, Toronto, Monday, August 4, 1997). ) of the X0- qip\ t e [a, T\. Since xa = q0 = (p, <7(a) = cp(0), we have that x = DG(0)x + D\H(0, 0)x + q{t) has a unique solution for any q e Cj. Therefore x = Kx = DG(0)x + D\H(0, 0)x has the unique solution x = 0. Hence / - K is one-to-one mapping of Cf onto C7. Also I-Kisa. bounded linear operator. As a consequence of the open mapping theorem ([11, p. 99]) (/-AT)"1 is a bounded linear mapping of Cj onto Cj. We now complete the proof of Theorem 11.1. Consider (11.1) in its integrated form (11.17). By Gronwall-type argument we can easily show i(0, 0, 0)"' exists. Therefore by the Implicit Function Theorem [12, p. 270] there exists a continuously differential mapping £(cp, u) defined in an open neighborhood N of the origin in X(t, a, cp, u, \\), v) of E into E" is the unique solution of the linear differential equation of neutral type "). «(*))A<*J( > «P. u)ds + JDi/is, xs(c, cp, u)), u{s)ds . a a „*, (cr, cp, u)v + /^/(r, x,(cr, cp, M), K(/))V , or equivalently, d — [Dux(t, a, cp, u)v - g{t, Duxt(a, cp, w)v)] = D2/C *f (CT> 2g(CT( cp) aw 1 7 u")€Mtn)- * ( ' ♦ )
= \y(s), R(s), L(s), K(s), p(s), E(s)], 0 Now set X J^-i(/ -s)x(s)ds
= g-\(t),
-00
becomes d_ dt
x(t)-XJA-i(.t-s)y(s)ds-g^(t)
0 X \A\(t-CO
SE(-CO,0]
s)x(s)ds =g)(t)> system (1.82)
Economic Dynamic Model
41 I
= A0x(t)+X
)A](t-s)x(s)ds+g](t)-o(l) + q(t). (1.83) 0 We have rewritten this linear neutral Volterra integrodifferential equation. Hereditary systems as dynamics of economic variables have been studied extensively. (See [2, 3, 7, 8, 9].) With -a(/) as a control variable available to the representative firm and with q{t) as government control instrument, the system (1.83) is a differential game of pursuit in the spirit of Hajek [15]. Government is the quarry and the firm is the pursuer. Government acts first with , T\, money supply, tariffs, investment, exchange rate, and preferential trade agreement policies. The firm reacts with autonomous consumption, autonomous investment, autonomous net export, autonomous real money demand, productivity, wage rates, income consumption intercept, income export intercept, and price intercept. It is expected that public investment is self-financing. The system of six key economic variables has the following dynamics, d_ x(t) - X dt
JA.i(t-s)y(s)ds-g-i{t) 0
t = A(,y(t) + X $A\(t -s)y(s)ds+ 0
g\(t) - p{t) + q{t).
Let x(t) be a solution of (1.83) defined for / > 0 with initial value g(t) = <(>(/), where § is a continuous function which is bounded and defined on (-oo, 0]. By the theorem of Wu [25] the solution is given by
x(t) = U(t)[x(0)-g_l(0)]
t + g-\ + 0
+ jU(t-s)[q(s)-p(s)+g](S)]ch,
jO(t-s)g_l(s)ds
(1.84)
where U is an n x n continuously differentiate matrix function which is the solution of the resolvent equation
42
Differential Models and Neutral Systems
dt
£/(/)-
JA-i(t-s)U(s)ds = A0U(t)+ JA\{t-s)U(s)ds.
(1.85)
U(0) = I, identity matrix. In the sequence we treat the system, d_ dt
c(t)-\JA-\(t-s)x(s)ds
(1.86)
Aox(t) + X jA\ (t - s)x(s)ds, -p(t) + q(t)
p(t)eP
qit)eQczEn,
which is associated with (1.83). Dual to the linear game (1.83) is the control system d_ x(t)-k dt
t
f/Li(f - s)x(s)ds
■ AQx(t) + X \Al(t-s)x(s)ds-u(t)
(1.87)
where u(t) e W c E" and W is the Pontryagin difference of sets, defined by W = (P + kerU(ti -s))*Q.
(1.88)
U with the matrix solution of (1.85). The Pontryagin difference of sets is used by Hajek [15, p. 109]. The computation of £/can be done as explained in Chukwu [7, p. 46] by the method of steps. A numerical approach which extends the work of Hirsch [6] is the focus of recent effort by the author. Definition 1.1. We say that the system (1.87) is Euclidean controllable on the interval [0,t\] if for every initial function §:(-«>, 0]-> En which is continuous and bounded with
Economic Dynamic Model
43
(i) For each t z[0,t\] the value pit) depends on q(t) only (and of course on xu = ¥$\ 1, At /'= -1,0,1 and A.). (ii) The pair of controls p, q so obtained is such that the solution of (1.83) satisfies *('1>>A<7)=*1. *(0, *o. A ) =
2.
Main Results
First we shall state a controllability result for (1.87) with - u(t) = Bu(t), B an n x m matrix. Define the controllability matrix
//(0,n)=
\u(t\-s)BB*U*(t\-s)ds
(2.1)
0
where the star (*) denotes the matrix transpose. Theorem 2.1. Assume that (i)
A_\(t), A\(t) are n x n continuously differentiable matrix valued functions. (ii) AQ is n x n constant matrix, and B, n x m constant matrix. (iii) Suppose the symmetric matrix H(0, t\) is nonsingular for some t\ > 0. Then system (1.87) is Euclidean controllable. Proof. Define the control function u* by
u*(f) = B*U*(ti-t)W-1
(0,tx) xx
-U(t{X*(0)-g_i(0))-g_j(/,)
1
- Jr(/! -s)g_x(s)ds0
Jt/(/i -s)gl(s)ds
(2.2)
0
System (1.87) has the solution,
45
46
Differential Models and Neutral Systems t x(t) = U(t)[y(0) - g_x (0)] + g_x (0 + JY(t - s)g_x (s)ds 0 t
+ \u(t-s)[Bv(s)+gx(s)]ds.
(2.3)
0
Therefore if $ and y\ are given and we use the control u in (2.2), then the solution which begins at ty(0) - yo e En with all the past history <j>, shall have 'i
*('!) = W\ )W0) - g-\ (0)] + g-i (/i) + \Ht\ - s)g-\ (s)ds 0 'i
+ jt/(r, - s)BB * U * (tx -1) x W~X (0, tx) ■ [xx - U(xx - U(tx X*(0) - g_x (0)) 0 'i
'i
'i
- g - l ( ' l ) - J ^ ' l - s)g-\(*)ds - ju(tx - s)gx(s)ds) + ju(tx - s)gx(s)ds 0 0 0 'i
= U(tx)[x(0) - gX(0)} + g_,(/,) + j>(r, - s)g_x(s)ds + xx- U(tx)[x(0) - g_!(0)] 0 'i
'i
'i
- S-l('l) ~ JHti - s)g-\(s)ds - p(tx - s)gx(s)ds + ju(ti - s)gx(s)ds = xx. 0
0
0
Hence system (1.87) is Euclidean controllable. It will be interesting to obtain from the non-singularity of //(0, tx) in (2.1) computational conditions in terms of the systems coefficients^/ for Euclidean controllability. If (ii) is invalid and (1.87) not controllable then the "solidarity function" q{f) =
Main Results
47
B2(t)v(i) can be brought to ensure the controllability of (1.87) with - u(t) = Bv{i) = (B\ + B2)v(t). An adequate amount of public government intervention q{t) is needed. We now treat the pursuit game (1.83) or equivalently. t 0 t
+ XJMI-
s)x(s)ds + g,(0 - p{t) + q(t),
(2.4)
0
with o(t)€PaEn,
q(t)*Q.
Theorem 2.2 (Duality Theorem of Complete Capture). Assume 0 e Q and P compact. There is a complete Euclidean space capture everywhere at time t\ for game (2.4) if, and only if the associated linear neutral Volterra integrodifferential control system (1.87) with control (1.88) is Euclidean space controllable at time t\. Furthermore a(q, t) = u(t) + q modulo ker (U(t\ -1) for all q e Q, t e [0, /]]) can be used to determine a suitable strategy from u e Z,oo([0, t\], U) in (1.87), and vice versa. Here u{t) + q = o(q, t) + ker U(t\ - f)see 2.11 and Hajek [15, p. 102]. Proof. Assume that there is complete Euclidean space capture everywhere at time /] for (1.83). It now follows from the definitions that there is a mapping a : Q x [0, t\] -> P such that for any quarry control q e Ioo([0, t\], Q) the map p, pit) = o(q(t), t) is a pursuer control; and p and q steer any arbitrary if with <|>(0) = %o to a n y *1 6 En m ^me '1 : x(tu*,p,q)=x(tl) 'i
= xx =U(trtx(0)-g-\(0)] 'i
+ jU(li -s)g.i(s)ds+jU0\ 0
0
+ g-i(f\)
(2-5)
'i
-s)g](s)ds-jU(t] 0
-s)[p(s)-q(s)]ds,
48
Differential Models and Neutral Systems
or i
(r,,
(2.6)
where i
JC(/1,4>,0,
0)= l/(ri)[x(0)- g-i(0)] +g_!(/,) + Jl/(/, -
s)g-i(s)ds
0 '1
+ J*/('i -*)*i(*)*. o
(2.7)
For the quarry control 0, (0 e 0 , 'i
x(t], (j., 0,0) = Jt/(/, - j)«(s)& + x, ,
(2.8)
0
where n(s) = a(0, .$)• If we take any point q e Q, and time / e [0, t\] and consider the piecewise constant quarry control with 0 € [0, /] and q e [x, i\\, then we deduce from (2.6) that <
JC(/1,4>,0,0)=
JU(1{ -s)u(s)ds+xl 0
'l +
Jl/(n -s)[a(q,s)-q]ds. f
If we subtract (2.9) from (2.8), then 'i
]*£/(/, - s)[u(s) + q- a(q, s)]ds = 0,
for all t e [0, t\}. Since the integrand is independent of / we have
(2.9)
Main Results
49
U(ti-sMs)+g-o(q,s)] = 0,
(2.10)
almost all s e [0, l\]. By the definition of kernel reinterpret this as u(s) + qe o(q, s) + ker U(tx - s).
(2.11)
Since a has values in P, u(s) + q e P + ker U{t\ - s). From Hajek's lemma [15, p. 59] u(s) + Q c P + ker £/(/, - 5) «.. or u(s) £(/»+ ker £/(fl -s))!0 = JF(j), a.e. Thus w e Ioo([0, /1], ff), and u is an admissible control for (1.25) and (2.8) yields '1
x(/l,M,0)= J^('I -*)«(*)*+.V1, 0
or '1
*1=.K'l,,0)- JUOI -s)u(s)ds. 0
Since *(0,*,0) = {/(0X*(0)-g_i(0)]+g_ 1 (0)=*(0), and equation (2.11) proves the assertion on the control set, then one direction of the proof is complete. Conversely assume that (1.87) is Euclidean controllable at time t\, and let <>| G C((-oo, 0], En), ($(0) = x(Q)), x\ e En be given. Suppose u e Ioo([0, t\], W) is the admissible control which steers (<j)(0) = x(Q)), to x\:
50
Differential Models and Neutral Systems
jr(0,fcii) = x(0),
x(/i,<M)=*l-
Then, 'i
x, =*(/,,♦, 0 , 0 ) - Jt/ft
-s)u(s)ds,
0
where n(s) e W(s) yields u(s) + q eP + ker U(t\ - s). Apply Filippov's Lemma in the form stated in [15, p. 119] and construct a pursuer strategy: There exist measurable mappings, a:0x[O,fi]->/ , ,u:gx[O,/i]->kert/(/i,-), such that u(s)+ q=a(q,s)
+ u(q,s).
Since the values of a lie on the compact set P, a e Loo[(0, t\), P]. Clearly a is admissible for any quarry control q, since for any q e £oo([0, t\], Q), a - q = u - u. Thus the solution of (2.4) at t\ with the admissible pair a and q and initial § e C([-oo, 0], En), (<|)(0) =.yo)> is x(t\, <> |,
'V x(t\A,°,q)=x(nA,0,0)-
)U(t\ ~s)[c(q{s)s)-
q(s)]ds,
0
(wherex{t\, <(), 0, 0) is as in (2.7)). The proof is complete. If we assume a nonlinear A.\ the adaptation of the proof is slightly complicated but straightforward. One uses an adaptation of nonlinear variation of parameter formula such as is contained in [7, p. 102]. In (1.25) the control u(t) takes values in the control set
Main Results
51
W(t) = (/> + ker U{t\ - t))*Q = {u:u + Qc P + kert/(/! - / ) , 0
0
(2.12)
is necessary and sufficient for the domain of null controllability (
52
Differential Models and Neutral Systems
\u(li-s)u{s)ds:u(s)eW(s)
is the reachable set of (1.87). Thus zero is in the domain of null controllability of (1.87), which by the duality theorem coincides with that of (1.83).
3.
Economic Interpretation and Fundamental Economic Principles
From our discussion in Chapter 1 it is reasonable to postulate that d_ x(t)-\ dt
\A_\(t - s)x(s)ds = AQX(t) + X JA{(t - s)x(s)ds - pit) + q{t), -QO
(3.1) describes the dynamics of income (GNP), employment, value of capital stock, price, and cumulative balance of payment. The function q(i) in (1.75) describes government intervention, i.e., policy instrument. The function pit), is private initiative, describes the firms' strategy. We assume instantaneous stroboscopic firms' response - the "snap decision rule", p. Income can grow from a past path (j) and an initial point <|>(0) = xo to the prescribed target, using p and q strategies, if and only if, the control system, d_ t(t) dt
\A_\(t - s)x(s)ds = AQX(t) + X \A\(t - s)x(s)ds - u(t),
(3.2)
can be controlled from <>| to the target at time t\. Though zero is the target treated, any arbitrary fixed point jq e En can be a target (See [7, p. 399]). The firms' control strategy which reacts to any government action q, is J(q, f) = v(t) + q modulo ker U(t\, f) where v is an admissible control for (3.2). If Q is the totality of government power, and if the algebraic sum of government action may be zero, (0 e Q), and if the firms' economic capacity P is limited and small (compact) the optimal control strategy of the firm lies in W, which is defined by W(t) = (P + ker U(t\, 0 * 0 . We now 53
54
Differential Models and Neutral Systems
have the following universal principles on the limitation of government economic power. QcInt(P + kaU(ti-t)).
(3.3)
Principle 3.1. No initial value of income and past path of income can be controlled to the target unless the firms initiative (consumption, investment, export, real money demand) contains solidarity, i.e., government intervention (investment, taxation, money supply) as a subset. Here the totality of all possible government control strategies in 1.75, Q, is defined as solidarity. Principle 3.2. To ensure income growth to a target it is necessary that the firm's capacity or initiative and its internal power for waste (ker U{t\, t)) dominate whatever government can do. Principle 3.3. If the growth of income is not controllable to a target when government intervention is effectively zero the introduction of public investment, taxation and manipulation of money supply and public investment can enforce controllability to the desired target. Only a proper amount of intervention is needed, since the intervention can make matters worse. It is obvious that these principles remain valid as they were for systems of neutral type treated in [7, 8, 9, 10]. Remark 3.1: The application of these principles for specific nations rests on the calculations of some key coefficients in the dynamics, by the socalled method of system identification of hereditary systems. The argument of Robert E. Lucas [19] that the coefficients do not describe the real structure of the economy is mitigated in our case. As Lucas suggested we have taken into account the dependence of private decision rule (pit)) on the government choice of a policy rule (q(t)). An objection to our paper may be made: p(t) = fq(t)), whereas "reaction to changing rules" requires p(t) = fq(0), (s < t). The "snap decision rule is too much." This objection is demolished by the following famous argument of Hajek [15, p. 56]. Suppose the firm is allowed to observe and retain the past history of its own control p, and of the state variable x governed by the equation t
m(t) = Lx(0 - pit) + q(t), where Mf) = x(t) -\J A_x(t - s)x(s)ds -
Economic Interpretation
55
t
Lx(t)+ AQx(t) - X J A_\(t - s)x(s)ds - q\(t). Then at each t the rate of change 0
is available ™,-c\ \\ m(s-h)-m{s) , m m(s)= urn h-+0+ -h for all s
4(0=lim+-
' \q(s)ds, t-h
almost everywhere, by Lebesgue Theorem. Therefore at almost all times t the current value q(t) of government control choice for setting up its own policy is available. If one is unhappy with this conclusion then there must be realistic time delays. In this case Hajek's treatment of the case with delays in the pursuer's response [15,p. 96] may be appropriate, for example:
p(t)=f(q(t-h),t) the dynamical system becomes
dt
y(t)-X
\A-i(t-s)x(s)ds
= Aoy(t) + K JAi(t- s)y(s)ds - p(t-h) + q(t).
Differential Models and Neutral Systems
56
Thus the control set for the dual system can be defined as in [15, p. 97, eq. 5], where x = Ax- u(t), ueU = p*eA^~^Q. We now address an objection to Principle 3.1 and Principle 3.2 which are sometimes brought up in connection with the inclusion relation between government control Q and private strategy set P. Since government could cooperate it is claimed that (2.12) is false. But Q is symmetric (i.e., q e Q implies - q e Q), therefore government and the firms can {sometimes) cooperate when W = (P + kerU(ti-s))*Q, i.e.,
Q c (P + ker U(tx -s))
0<s
and (3.3) holds. But if government and the firms always cooperate then, of course W = P + Q, can be taken as the control set for (1.21) with u(t) = q{t) - p{t). The condition for controllability is then the usual one. But is it realistic to assume that government and the firms will always cooperate? In our analysis we have assumed instantaneous stroboscopic firms response to government control strategy [15, p. 55]. The response is nonanticipatory in the sense of Hajek [15, p. 39]. More general firms' response will presumably yield a wide result. With our assumption our result (3.3) is valid. The duality theorem gives us a control strategy which can be optimal feedback, allowing polices to change as the state of the income changes, [39, pp. 301-304]. Note that our system is allowed to pursue maximization of profit [10, p. 280] while both are committed to time optimal growth with perhaps minimum investment. The most interesting argument against the result in this chapter is the criticism that it is "not even scientific", "only mathematical", and it has no established relation to the real world. One could argue that Newton's magnum opus, the Principia, and the greatest scientific work of all times was "not yet scientific" when it was published: He had not performed the experiments and validated/deduced his three laws of motion with data from the "real world" but later the laws of motion were put to work to solve many problems both on earth and in heavens. It was able to predict the path of a
Economic Interpretation
57
comet and when it would return. Edmond Haley made an independent check for Newton: Haley's comet returned as it should because it obeyed the mathematical universal laws of motions of Newton. A similar validation may be undertaken for our principles of income growth, using the computer and the past trajectories. This philosophy is exactly that of most recent note worthy books by Taylor [24]. Since our mathematics is valid, validation from experience- the usual economics variables time series can now begin. This is the philosophical position of Taylor [24, p. 4]. If by parameter estimation of the coefficients and the empirical evaluation of the controls the dynamics are true and realistic, then the principles we have enunciated are epoch making and have profound consequences for the organization of society. We now explore the simple case models of Canada and India.
4.
Economic Hereditary Model of Canada
We postulate a simplified version of our key equation to avoid collection of data from infinite past. We use our MATLAB program and data from International Statistic Yearbook 1994 to deduce the linear functional differential equation of neutral type as the economic model of Canada, India, and USA. The system is given by: i(t) - A-\Xt -h) = AQXQ) + Axx(t -h) + Bxq{t) + BlP(t). Let
A(\) =XI- A_ike~X -AQ- A\e~X B = [Bh
Bj],
a = [A(X),
B],
cc = [KI,
-A_\\,
c = [cc,
B].
Because in appendix 1, rank (a) = 6, rank (c) = 6, the model is controllable. See Salamon [23]. One needs to test constrained controllability to a given target. This will be explored elsewhere, after we have studied stability.
59
5. Soft Landing of Key Economic Indicators with Private and Government Controls under Scarcity We now consider the controllability with control constraints of the system,
A
x(t)-~k
\A\(t
-s)x{s)ds = Atfc(t)+\
JA+\(t-s)x(s)ds-u(t),
(5.1)
u(t) e W(t) = {P + ker U(t\ - s))*Q
or d_ x(t)-JA-X(t-s)x(s)ds-g-l{t) dt
= AQx(t) + JAx(t-s)x(s)ds-u(t)
+ gl(t),
0
(5.2) where g _ l ( 0 = J AA(t -s)x(s)ds, -oo
fl(/)=
JAi{t-s)x{s)ds.
(5.3)
-oo
The solution of (5.2) is t x(0 = U(t)[x(0) - g_, (0)] + g_i (/) + J0(f - s)g_i (s)ds
61
62
Differential Models and Neutral Systems t +
\u(t-s)[gl(s)-u(s)]ds. 0
(5.4)
See [25], and [32]. Let
//(/,♦) = f/(/)[*(0)-g_i(0)] + g_,(/)+ J0(t-s)g_l(s)ds.
(5.5)
0
Then / *(/) = #(/,♦)+ Jl/(/-j)[ f f l (j)-«(j)]*. 0
(5.6)
Since ty(s) = x(s) se(-oo,0], //(/,0)=0. Definition 5.1 The Euclidean reachable set to XQ = y(0) at time s > 0, Rs(i|/(0)) is the set of all Euclidean states from which a given point \\i can be reached at time /. The system (5.2) is constrained controllable to *o = v|/(0) at time t if all points in same neighborhood of y can be steered to v|/(0) in time t by some control. Definition 5.2 The reachable set to \\i at time s > 0, J^(vj/) is the set of all states from which a given point \\i can be reached at time /. The system (5.2) is said to be constrained controllable to \\t at time t if all points in some neighborhood of \\i can be steered to \\i in time / by some admissible control. The reachable set to v|/(0) is
R(t) = U(t)[x(0) - g_x (0)] + g_, (/) + jt/(t - 5)g_, {s)ds
I
0
Soft Landing
63 + ju(t - s)[g-\(s) - u(s)]ds
(5.7)
u e W(t)
0
The reachable set to \\i is KKHO = {*XG> W> u):
u e
^(0)-
Theorem 5.1 The point JCI e Int R(t, \y) for some t > 0, if and only if 0 e Int K(t), where R{i) is the reachable set of the auxiliary control system
dt
t(0 - X \A-\(f - s)x(s)ds = Aox(t) + X J/Li(/ - s)x(s)ds - v(t), (5.8)
where V(t,s)zV
+ Ax«-s)(x0-gi(0))
+
gl(s)+U*(t-sXA-i(s)Ws)+A0g-l(s)). (5.9)
Proof. Let S denote the unit ball centered at the origin in En. Then §(0) = XQ e Rs(\\)(0)) implies that there exists a 8 > 0 such that
<|>(0) + 5Sc ^(V(0)) = H(t, <)>)+ \u{t - s)[®(s) - W]ds = H(t, if)
+ ju(t-s)gl(s)-lu(t-s)Wds
= H(t^) + ^U(.t-s)gl(s)+^t
where
lit
=-ju(t-s)Wds0
This is the reachable set at time t with controls in W. It follows that
(5.10)
Differential Models and Neutral Systems
64
bS c //(/,$) -
ds
[H(t,
It is true that d_ U(t)-^A-\{t-s)U(s)ds dt
= A0U(t)+ JA\(t -s)U(s)ds.
Therefore d dt
[H(t, <> | ) - «0)]= A-\(0)U(t) + AoU(t) +$A(t - s)U(s)ds WO)-g-i(O)) Lo (5.11)
+ g-l(0 + O(0)g-\(0
A-\(0)U{t) + A0U(t)+
JA(t-s)U(s)ds (x(0)-g_i(0))
+ g-i(0 + t/(0)g-i(0We can therefore deduce that
8Sc |^-1(0) + 4) t/(*) + J / * I ( J - w)U(w)dw (*(0)-g_|(0))
+ g-l (0 + £/(0)*_i (0 + t/(r - s)[gl (s) - W(s)]ds.
(5.12)
Soft Landing
65
We now use 0(0) = A_x (0) + AQ ,
£_, (s) = A_x (-5)X(0)
to conclude that ft
55 c J-4_l(0) + AQ U(S) + JA](s - w)U(w)dw(x(0)V0
+ M_i(0) + ^o]g_i(j) + t/(r-*)[gi(j)- »f]ds,
g_i(0)) + ^_,(-s)x(0)
o<*<*.
Proceeding we note that if t
v(s) = U+(t -*)[yLi(0)+ A0]U(s)+ p , ( 5 - w)U(w)dw(x(0)- g_,(0)) 0 + /*_l(-*)*(0) +(/L, (0) + /
0<5
(5.13)
5 bScjU(t-s)v{s), 0 where L^ is the generalized inverse of U, S v(5) ei/-(/ - J ) M _ I ( 0 ) + AQ]U(S) + JAi(s - w)U(w)dw(x(0))-8-\ (0)) 0 + A-i(-s)x{0) +{A-i (0) + A0)g-i(s) + gi(5) - W(s).
(5.14)
Thus zero is in the interior of Euclidean reachable set at time / of the auxiliary system
dt
(l)-K JA-\(t - s)x(s)ds =Aox(t) + xJA\(t-s)x(s)ds+v(t).
(5.15)
66
Differential Models and Neutral Systems
This is equivalent to the Euclidean Controllability of (5.15) if v(/)=Cr(/). Theorem 2.1 implies that if rank C-n then (5.15) is Euclidean controllable. Thus any initial data can be driven to zero in the dynamics (5.15) by v in (5.13) if d_
x(t)-\
$A-\(t -s)x(s)ds = AQX(I) +
dt
\A\(t-s)x(s)ds
is globally exponentially stable. This ends the proof of the Theorem. This means that any initial data can be driven to x\ in finite time in the system (3.1) by the action of both government and private firms. From our definition it is clear that controllability implies the ability to control national income, GNP, y, interest rate R, employment, L, value of capital stock, k, prices, p (inflation) and cumulative balance of payment, E, simultaneously. In particular national growth rate, employment and inflation can be controlled simultaneously to a desired vector value. This seems to be happening in the USA under the Clinton-Gore presidency. See New York Times June 7, 1997 (p. 1, p. 22). To test whether a given country's economy is currently controllable we follow the following steps which are implied by the remarks above. Test for Controllability of National Economic State 1. Modify if possible the system (3.1) and identify the data X, A_\, AQ , A\, B\, B2 where -p(t) = B\r(t), q(t) = B2g(t). This is done by using the economic time series and regression by MATLAB. See the Appendix and Chapter 9. With the MATLAB program and the definition of the economic variables the best fitting formula is identified, using regression. The coefficients of the economic variables are used with Ndu.m to iden tify the dynamics. It is possible to identify a better fitting model by combining the methods of Kwon, etc [42] and of Chukwu [37]. A modi fied simple version of (3.1) is given by ■j [x(t) - M_,g(f - h)} = A0x{t)+ at
Aig(t)-
B\r(t) + B2g(t).
2. Select a feasible target i|/= [v)/i,v(/2,v(/3>M/4.M/5.V6]-
Soft Landing
67
3. Compute the constraint sets P, Q. 4. Compute the constraint set W{t) = (P + ker U(t\ - t))* Q, where U is the fundamental matrix of the system without controls. 5. Compute the control set V= W- A_\^(-h) + /*0V(0) + A\\y(-h). Test: OelnfV d 6. Examine the stability of (3.2), — [x(/)-/l_i(r -s)x(s)ds] = AQX(J) I
+ k \Ai(t - s)x(s)ds, or its simplified version above (see Theorem 5.2, -00
Theorem 5.4 below). d 7. Examine the controllability of ~ x(i)-X
JA-\(f-s)x(s)ds
A0x(t)
+ X \A^(t - s)x(s)ds - u(t) where u(t) = Bw(t), by computing the rank -00
of B which ensures controllability. 8. Conclude by the stability of 6 and the controllability of 7 the Euclidean constrained controllability for (3.1). Remark. Suppose system (3.2) is not stable we can select a feedback control strategy with the constraints in W: u(t) = k_{x(t - h) + %r(0 + *!*(/ - h) t + f*oi (s)x(t- s)ds which stabilizes (3.2), i.e., the system
d_ t(t)-X dt
§A-}(t -s)x{s)ds
~k\x{t-h) = (Ao+ko)x(t)
+ X 1 A\(t- s)x(s)ds + \k0\(s)x(t - s)ds + k\x(t - h), -00
-00
is uniformly asymptotically stable. For example, if the modified simple
Differential Models and Neutral Systems
68
version — [x{t)-lA-\{t-h)] at then,
= AQx(t) + A\(t -s)-u(t)
is considered and
4 WO - (4-i - k-l)*(t ~ h)] = (AQ- Ik0)x(t) + (A\ - /*,)*(/ - h) at
- Bw(t). We choose k.\, % k\ so that this system is stable, i.e. d. [x(t)-(A-\ dt
-Ik-i)x(t-h)]
= (Ao -lko)x(t)+(A
-lki)x(t-h)
is uniformly asymptotically stable. We continue with 7. Stability We need the global stability of the system d_ dt
s{x)-
^i(t-s)x(s)ds-g-i(t)
JAi(t-s)x(s)ds+gi(t),
= AQXO)+
-oo
(5.16) which is associated with the system t
t
d_ x(i)dt
JA^(t-s)x(s)ds-g-i(t) = Aox(t)+ JAi(f-s)x(s)ds+gl(t)
(5.17)
0
via the resolvent equation d_ (/(/)dt
JA^(t-s)U(s)ds = A0U(t) + U(t ~ s) U(s)ds . 0
£/(0) = /.
(5.18)
We assume /*_i(/),^i(') are n x n matrices continuous for t > 0 g.\(t), g\(t) are n vectors continuous for / e E with g\(t + T) =gi(t),g-\(t + T)= g-\(t) for constant T > 0. With these assumptions the solution can be represented by
69
Soft Landing
x(r) = l/(OW0)-g_ 1 (0)] + g_1(O+ Jl/(r-*)g_,(i)A+ Jt/(/-*)g,(5)
0
The next result states when all solutions of (5.20) converge to a ^-periodic solution. Theorem 5.2 If A_h AhU, UeLl[0,oo), then
dt
x(t)-
JA_i(t-s)x(s)ds-g-\(t) = Aox(t)+
JA](t-s)x(s)ds+g](t), -oo
(5.20) has a /"-periodic solution t
t
g_j(0+ Jl)(f-*)g_i(j)
ju(t-s)gl(s)ds,
(5.21)
and all solutions of (5.16) defined for t > 0 with bounded continuous functions on (- co, 0] as their initial values tend to this ^-periodic solution as t —> co. Conditions for stability are stated in the next Theorem. Theorem 5.3 Suppose that AQ is stable, B is a positive n x n matrix with ATB + BA = - /, and a, p are positive constants with aP-x^x <xT Bx< ^P-x^x. If \BA0A\ (t)+ BAi(t)dt
j\A^(t)\dt<\,
2(3'
a
jM-i(0l dt
Differential Models and Neutral Systems
70
then U,U,Del)[0,<»), with D=U(t)-\/Li(t-s)U(s)ds. Also Km D(t)=0 0 '-*00 and lim U(t) = 0. Hence *(/)-> g-i(t) as / -> <x>. As a consequence every <->QO
solution *(f) of (5.16) satisfies x(t) -> 0 as / -»• oo. The main global constrained null controllability result can now be stated. Theorem 5.4 Consider the auxiliary system d_ x(t)-XJA_i(t-s)x(s)ds dt
= AQx(t) + p ! (/ - s)x{s)ds + v(/),
(5.22)
where v(s) elf(t
-i)^-i(O)
+ AQ]U(S) + J ^ ( s - w)U(w)dw(x(0) -g_!(0))
+ A-X(-s)x(0)+(AA(0)+A0)g-l(s)
+ gi(s)-W(s),
(5.23)
and W = (P + ker U(t - s))*Q.
(5.24)
Suppose (5.22) is Euclidean controllable to the target 0 e E". Assume all the conditions of stability in Theorem 5.2 are valid for (5.22). Then (5.22) is globally null controllable with constraints. Hence system (3.1) can be driven from <> | to an arbitrary point vj/ in finite time using admissible controls, u or p + q. This Theorem is used in a computer test for controllability of economic systems. Consider the system
Soft Landing
7] t jC2(t-s)i(s)ds
x(t)-B2x(t-h)-
t = Ax(t) + B]X(t-h)+
-00
jc^l - s)x(s)ds, -00
(5.25) where A, B, Bj are constant n x n matrices C\, Cj are continuous matrix functions defined on [0, +oo] and +oo
ji|Q(e)||< + oo,
/=1)2
(5.26)
D
Theorem 5.5. Suppose A is stable, and there exist a positive definite matrix B and positive constants X\ X2 such that (i)
ATB +
BA=-I
X\\x\2<xTBx<X2\x\2 + 00
(")
l|/kll+ jiic2(0ll«*
(iii)
1-211BH-2 ll«i+Mfcll + J|iq , (/)||df+*i J||c}(/)||df >o A.,
+00
where
MII + ||Blll+ \\\Ci(t)\\dt k=+00
B2\\+ /l|C2(0ll
then the zero solution of (5.25) is asymptotically stable. Proofs for these Theorems are contained in Ref. 37 and Ref. 26 of Chapter 0.
5
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r
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RR
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R
^ Y Z Z
Ecw yR s
y
R R =
R IL LL ^ n Y
R Y ^
_ R s Tt w OI r G S ^ Y 2
N
C D
^ ^= Z^ Z G
-_,Z ='' ^ ^^ N
^^ R^ p h^~ N r3
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=
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24 us
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70 Sweden
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21 Swltterland 22 Turkey 23 UK
h
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2 Ainlrla 3 Belgium 4 Canada 5 Denmark 5 Finland 7 Franca " W r * t Germany • Greece 10 Iceland 11 Ireland 12 Italy 1 3 Japan M Lmembotiry 15 Netherlands 16 New Zealand I f Norway IS Portugal 19 Spain
1 A U5lrilia
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30
Government Consumption for OECD Countries % of GDP at market prices
72 Differential Models and Neutral Systems
C
0'
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N
C
Soft Landing
73
6.
Economic Systems With Delay in Control
In our earlier treatment of controllability we accepted instantaneous stroboscopic nature of pursuer response to government action, the snap decision rule. We now assume realistic time delays in the pursuer's response: delays in the transmission of information: a time delay 8 > 0 in the pursuer's observation of quarry's action and a time lag X > 0 in the system's reaction to pursuers controls. As Hajek [33] suggested for ordinary differential games the two lags are identified by the dynamics
dt
x{i)- fat - s)x(s)ds - g-i(t) = Ax(t) + \G(t -s)x(s)ds + g\(t)
- p(t -X) + q(t)
(6.1)
where we can set, />(0 = B(0/n(0 q(t) = C(t)qx{t). The corresponding dual control system is of the form, d_ x(t) - jc(t - s)x(s)ds -g_j(0 = Ax(t) + JG(t - s)x(s)ds - M(0 dt 0
0
u(t)eW(t).
(6.2)
See Proof of Theorem 2.2, and Hajek [39, pp. 95-98]. The solution of (6.1) is given by
75
Differential Models and Neutral Systems
76
t x(t) = U(t)[x(0) - g_i (0)] + g_, (0 + J0(t - s)g_i (s)ds 0
- JU(( - s)[p(s -X)-
q(s) + g](s)]ds,
(6.3)
0
where U(t) solves (1.85). The pursuer has no influence on the component t
X+5
f U(t-s)q(s)ds= /-X-8
[U(s)q(t-s)ds. 0
Define X+8 A=
\lJ(s)Qds.
(6.4)
0
Theorem 6.1. Consider the system (6.1), including the data A. > 0, 8 > 0, and (6.4). Assume that Q, P are compact and 0 e Q, 0 e P. Pursuer can force an initial state <> t (with <|>(0) = *(0)) to target Q. + A at time t > 0, if within the control system (6.2), «(/) e W where JFis defined by W{t) = (P + kert/(/! - /)) * V(k + b)Q,
(6.5)
! : Pontryagin Difference and A is defined in (6.4), § can be steered to Q at time t by the admissible control. Furthermore the time of steering can be taken as the termination time in the game (6.1); if u is a control steering <j) to Q c E" at time / within (6.2), then a winning pursuer strategy 0 with delay 8 is determined by a(q, s + 8) = u(s + X + 8) + qU(X + 8) + ker({/(/i -1)).
(6.6)
for q e Q, 0 < s + X + 8 < /. The "winning strategy" is a control defined by (6.6). It steers the initial state $ to Q c En at time t within the system (6.1) once government has declared its policy.
Economic Systems
77
Proof. Because w steers 9 to Q at time t within the control system (6.2), / t U(t)[x(0) - g_, (0)] + g_j (0 + jl)(t - s)g_1 {s)ds + jU(t - s)gi (s)ds 0
0
t -
\u(t-s)u(s)dseQ. 0
Let X + 8 = 8. Then for any control q() use (6.6) a(q, s + S) = u(s + l + b) + U(k + b)q mod k e ^ t / ^ - /)) to define a pursuer response/?, p(s) = c(q(s - 8), s) = u(s + X) + U(Q)q(s - 6) mod ke^f/ft - 0 ) (we interpret q(s) = 0 for s < 0). Then the solution with this/? in (6.3) is t *(/,♦, A q) = U(t)[x(0) -*_i(0)]+g_i(f)+ \u(t-s)[g^(s) 0 - Jf/(f- s)/?(.s- X.)A 0
+ gi(s)]ds
$ U(t - s)q(s)ds 0
$U(t-s)q(s)ds t-B
t
= u(t)[x(0) - g_i(0)]+ g_i(0+ \u{t - *)[g_i(5) + a(5)]& 0 r e - J l / ( f - s)u(s)ds + fu(s)q(t 0
-s)dseQ
+ A.
0
The constraint set W is non-empty if and only if U(X + S)QcP
+ ker U(tx -1),
Differential Models and Neutral Systems
78
provided P, Q are non-void, convex and symmetric. Thus the effective influence of government
is dominated by private initiative and its internal power for waste, ker
mti-Q. Recall that P is the aggregate control set and instrument of the private firms. Also Q is the control strategy instrument set of government. We showed in (3.3), and (6.5) that if U(k + &)Q is the effective government control set, then controllability is possible if the private control set and the systems possibility for waste dominate effective government control set. Government acts, and after some delay in information 8 and some lag X in the system's reaction to the private firms (pursuers control) the dynamics is established. Each firm reacts with its own strategy. The collection of all possible control strategies of all the firms, the aggregate control, is P. That of the government is Q. The author does not suggest that private sector has the ability to counteract any government intervention. Rather it is suggesting that private sector reacts to government and together in aggregate, a control strategy u is formed which is contained in the Pontryagin difference of sets: W(t) = (/> + ker £/(/, - t))*Q,
0<s
(6.7)
fV(l)=(P+ker U(t\ -O)!t/(\ + 8)0.
(6.8)
or
These sets are non-empty if P+kerU(t\-t)z>Q
(6.9)
or P + ker U(t}-t)ziU(X
+ b)Q.
(6.10)
This is the exact meaning of "dominate" in proposition 3.2. Crudely if the inputs are measured in money, the aggregate effective total government outlay is smaller than the private outlay together with its (allowed monetary) capacity to waste. There is nothing in our analysis which implies that the
Economic Systems
79
private sector is overly co-ordinated: each firm reacts to government intervention, and the statistician can find the aggregate possibilities P. Remark 3.1 comments on the plausibility of the information pattern on which the firms base their decisions. If we allow realistic delays, the second set relation (6.8) is valid.
7. The Nonlinear Theory of Controllability of Volterra Neutral Integrodifferential Dynamics In (6.1) we considered the system i
d_ x(t)-jC(t-s)x(s)dS-g.i(t) dt
= Ax(t) + fat -s)x(s)ds
0
+ gl(t)-p{t-X)
+ q(t),
(7.1)
where there is delay in private firms observation of government action and in the systems reaction to firms' controls. It seems more appropriate to consider distributed time lags with lower time limit of almost zero in the model for firms' control:
jdQB(t,Q)p(t + Q), -h and a nonlinear function f(t,x(t),q(t)) = v(t) as a model for the government controls. Thus we study the nonlinear system, d_ x{i)-\c{t,s)x(s)ds-g-x(i) dt
= A(t)x(t)+ JG(t,s)x(s)ds
81
82
Differential Models and Neutral Systems 0
+ 81(0+ ldQB(t,6)p(t + Q) + f(t,x(t),q(t))
(7.2)
-h
and its linear version d_ dt
c(/)-Jc(/,*)x(5>fc-*_,(/)
= A(t)x(t)+
JG(t,s)x(s)ds
0
+ gl(0+ $ddB(t,&)p(t + B)+q(t).
(7.3)
x(t) = <(>(/) on (- oo, 0] where p(t) e P, q(t), Q, and where 0
g_l(/)=
gl(/)=
\c(t-sMs)ds,
(7.4)
JG(t-sMs)ds.
(7.5)
Here *(/) e E" and /? e C([- h, t\] ), and 5(/, 9) is an n x m matrix continuous in / and of bounded variation in 9 on [- h, 0], in each t e [0, t\] = J. The n x n matrices A(t), C(t, s) and G(t, s) are continuous in their arguments. The w-vector functions / and gi (i = - 1, 1) are respectively continuous and absolutely continuous. In (7.2),
dt
x(t)-jc(t-s)x(s)ds-g^(t)
= Ax(0+ $G(t -s)x(s)ds
+ g\(0+ J < W , Q)p(t + 8) + /(/,x(t% q(t))
Nonlinear Theory
83
where p(t) e P, q(t) e Q. The effective control set of the government is F{t,x)={f(t,x,q):qeQ},
(7.6)
so that V(t)
=
f(t,x(t),q(t))eF(t,x).
(7.7)
The solution of (7.3) can be written as t
x(r,(|)(A9) = t/0.0)[x(0)-5 1 (0)] + g_ 1 (0- j | £/(f,s)g_,(s>fc
t + ju(t,s)
(0 jdQB(s,0)p(s + Q) + gi(s) + q(s)ds
(7.8)
\~h
where U(t, s) and — U(t, s) are continuous matrices satisfying
[jt J t/(/, 5) - j " | t/(/, T)C(T, 5) A + C(f, 5) = - £/(f, s)A(S)- JU(I, T)G(T, 5)rft, 0
0
(7.9) where U{t, t) = /. The solution of (7.2) is
x(t,b,p,q) = U(t,0)[x(P)-g-i(0)] + g-{(t)-
^£jU(l,S)g_x(s)ds 0
0
/
ju«,s)
\dQB(s, Q)p(s + 0) + gi (s)+f(s,
x(s),q(s)) ds.
.-h
Let
S(t,s)= Jt/(/,5-9>%fli(s, 9)
(7.10)
84
Differential Models and Neutral Systems
where \B(s, 9) Bt(s,Q) = { [ 0
s
Define
W(0,t)= ls(t,s)S*(t,s)ds.
(7.11)
0
Then Dauer [35] has shown that W is non-singular if, and only if, (7.3) is Euclidean controllable with q = 0. In [35], Dauer proves some results on this without government controls (i.e., q = 0). His results can be modified. Theorem 7.1. Suppose there are measurable functions <J>/ : £ " + w and L\ functions OLJ:J-> E+, / = 1,2,..., y such that y
l/(/,*,9)|£2>,-(')<>/(*,/0,
(7.12)
i=l
for every (/, x, q) e Jx E and every p. Then (7.2) is Euclidean controllable provided (
q
\
Iim sup r - £ c , sup{
V
i=l
(7.13)
J
Remark 7.1. The proof is a slight modification of Dauer's and Chukwu [36]. The nonlinearity of / is natural and essential in the economic application. In addition to the firms' initiative
»(0= \dQB{t,Q)p{t + Q).
(7.14)
-h
The control of government v(/) =J(t, x(t), q(t)) is not linear in q = [T\, go, e, x,d,mhfo]. (see [37]) The growth conditions mean that the firms' control set (initiative)
85
Nonlinear Theory
should dominate the governments. It is related to the result in Chukwu [36, p. 296]. It settles a basic problem: how much (in comparison with private effort) should government intervention be in the economy. This debate occupied a great part of human endeavor in the 20th century. (Example: capitalism, communism.) In my model it is now settled. Definition Function g is uniformly nonatomic at zero on ExC if, for any (t, §) e ExC, there exists SQ > 0,u0 > 0 independent of (t, <j>), and a scalar function p(t, <J>, H, s), defined and continuous for (t,
|g(',v)-sM*polk-4||. for t e E, \\i e Q(t, <> | , \i, s) and all s < s0,0 < u < ]i0. Here Q is defined as follows: Q(t, (J>, u, s) = {y e C: (t, v) e ExC, ||v - ^| < u, y(9) = +(8), 9 < - s, 9 € [- h, 0]}. Theorem 7.2. Consider the system 4 D(f, *,) = /(/, *, pit)) + B(t)p(t),
(7.15)
at
and assume that (i) (ii)
rank B(t) = n on [/i -h, t\] 5(r) is continuous on [a, f i], with continuous derivative;
(iii) The function g in DO,
(716> ExCxEm
86
Differential Models and Neutral Systems
-> En is continuous; (iv)
There are continuous functions Fj C"' x Em' -> E* and i) functions ccy : E -» E* j = 1,..., s such that s \f(t,^p)\<^daj(t)FJ^,p)
V(t,bp)eE*CxEm>,
(7.17)
>1
where
lim sup r -£cysup{/y(*,/>):||ft,/0|| < r} = + oo. r . 7=1
(7.18)
Then (7.15) is controllable on [a, /j], with /j > a + A. The proof is contained in Chukwu [36, p. 295]. The result gives conditions for function space controllability when government strategy is effectively zero, i.e., q = 0 and v(t) = k(t,
+ k(<,x,,q(t)),
(7.19)
and assume all the (i) (ii)
conditions of Theorem 7.2; (i) - (iv) for eachy = 1,..., £ there are continuous functions Fj : CxEm -> En and Z,1 functions fy : E -> E+j = 1,..., q such that e \\k(t,$,qy\<^Pj(t)FjW,p), y=i
for all (t, <)>,/>), Pi < a/, where
Nonlinear Theory
87
>
lim sup
-Y,CjSup{Fj(^p):m,p)\\
= +00.
► 00
Then (7.3) is controllable on [a, t\], t\ > a + h. The proof is contained in Chukwu [36, p. 296]. Remark The non-linearity of/and the solidarity function k in (7.19) are natural and essential in economic applications. In addition to the firms initiative w(0= B(t)p(t), the control action of government, the "solidarity" function k(t, x\,q(t)) is (realistically) not linear in q = [T, gQ, e, co, /, Ml, / 0 ] The basic contribution of Lucas theory demands a game theoretic formulation of the dynamics [19]. This idea is the thrust of Milliners argument [21, p. 91] and the role of p and q. Condition (ii), p, < a, points to the requirement that the control set of private firms contain that of the government. In the linear situation Int P z> Q the firms control set contains the government control set as a proper subset. See Hajek [15, p. 61] for the genesis of this idea. It settles a basic problem which dominated much of this century: How much (in comparison with private effort) should government intervention be in the economy? Figure 1A displays government consumption for OECD countries as percentage of GDP at market prices. In Salamon [23], the following theorem on function space controllability is stated. Theorem [23, p 157]. The system 4 MO - M*<J ~ h)] = 4)x(0 + Axx{t -h) + Bui}) at is exact controllable in the state space W^,
1 < p < oo if and only if rank
[A(X), B] = n VA.(complex) and rank[M- A_iB] = n for all X(complex) where A(X) = W - te-Xh A_! - Ao - A j e - ^ , and X is complex. This result is needed to test the function space controllability of some economic models of nations.
8.
Economic Models of U.S.A., Canada, U.K., Germany, and India
In Chapter 4, we postulate a simplified version of our key equations (1.1)(1.7), (1.10), (1.23), (1.33), (1.37), (1.56), (1.66), (1.82), and avoid collection of data from the infinite past. Using the rational expectations principle of Luigi Amoroso (1886-1995) and of Lucas [19] in the formulation of Ray C. Fair [29] that the expected values of macroeconomic variables are functions of the current and past values of the variables we derive the hereditary system i ( ' ) - <4-\x(t -h) = AQXQ) + Axx{t -h) + B,g(r) +
Bjpif).
The coefficients A.i, Ao, Aj, Bi, B2 are determined by regression on the economic variables using our MATLAB program and data from International Statistic Yearbook 1994. Details are given in the India case. The computation of other cases and the resulting dynamics are summarized. Function Space Controllability Compute A(X) = )J-A-Xk!~X-AQ-
A\e~X.
Let a = [A(X), B],
c = [cc, B].
For the U. S. A., Canada, U.K., Germany, and India, rank(a) = 6, rank(c) = 6 because rank(B) = 6. The more appropriate B is obtained from the 89
90
Differential Models and Neutral Systems
Pontryagin difference of sets and u in (3.2). In summary, we derived the dynamics of x=[y,R,L,k,P,E], (y = GNP, R = interest rate, L = employment, k = value of capital stock, p = prices, and E = cumulative balance of payment as equation (1.82) or (1.83)). This model assumes the use of data from the infinite past. We avoid collection of data from infinite past by postulating a simplified version of our key equations given by x(t) - A_]X(t - h) AQX(I) + Axx(t -h) + Blg(t) +B2p(t). We implement our dynamics with microeconomic data from the U.S.A., Canada, Germany, and India. Using MATLAB program formulated in 14.8 of "System Identification Toolbox" [18], we identify the coefficients A.], Ao, A], Bi, B2. Salamon's Theory [23] helps us to decide that the systems are controllable. With Lp 1
Economic Models
91
REFERENCES 1. 2. 3. 4. 5. 6.
7. 8.
9.
10. 11.
A. B. Abel and B. S. Bemanke, Macroeconomics, Addison-Wesley Publishing Co., 1991, Reading, Massachusetts 1991. R. D. G. Allen, Mathematical Economics, McMillian and Co. Ltd., London, 1960. Luigi Amoroso, Economia di Mecato, Bologna, Zuggi, 1949. K. Balachandran and P. Balasubramaniam, "Controllability of Nonlinear Neu tral Volterra Integrodifferential Initial Systems," pending. W. H. Branson, Macroeconomic Theory and Policy, Harper and Row Publish ers, New York, 1989. J. A. Burns and P. D. Hirsh, A Difference Equation Approach to Parameter Es timation for Differential-Delay Equations, Applied Math. Computation, 7 (1980), 281-311. E. N. Chukwu, Stability and Time-Optimal Control of Hereditary Systems, Academic Press, Boston, 1992. E. N. Chukwu, "Mathematical Controllability Theory of Growth of Wealth of Nations," Proceedings of the 1st World Congress of Nonlinear Analysts, Tampa, Florida, August 1992. E. N. Chukwu, Control of Global Economic Growth: "Will the center hold" In ordinary delay differential equations, Ed., J. Wiener and J. K. Hale, Pitman Re search Notes in Mathematics Series 272 Longman group, UK 1993. E. N. Chukwu, Optimal Control of Growth of Income of Nations, Applied Math. Computation, 62 (1994), 279-309. E. N. Chukwu, Interconnected Nonlinear Delay Differential Equations in W\ ', Proc. Indian Acad. Sci. (Math. Sci.) 105(1) (February 1995), 73-98.
12. E. N. Chukwu, Control in of Nonlinear Interconnected Systems of Neu tral Type, J. Austral. Math. Soc, Ser B 36 (1994), 286-312. 13. G. Gandolfo and P. C. Padoan, The Italian Continuous Time Model Theory and Empirical Results, Economic Modeling, Butterworth and Co., Publishers Ltd., April 1990, pp. 91-132. 14. R. M. Goodwin, "The Nonlinear Accelerator and Persistence of Business Cy cle," Econometrica, 19(1951), 1-17. 15. O. Hajek, Pursuit Games, Academic Press, New York, 1975. 16. J. Hale, Theory of Functional Differential Equations, Springer-Verlag, New York, 1997. 17. M. Kalecki, "A Macrodynamic Theory of Business Cycles Econometrica," 3 (1935), 327-344. 18. Lennart Ljung, System Identification Toolbox for Use with Matlaba, Users Guide, The Math Works Inc., July 1992. 19. R. E. Lucas, Econometric policy evaluation: A critique, The Philips' Curve and Labor Market (K. Brunner and A. Meltzer, eds.), Vol. I of Carnegie-
Differential Models and Neutral Systems
92
20. 21. 22. 23. 24. 25. 26.
Rochester Conference in Public Policy, a supplementary to series to the Journal of Monetary Economics, Amsterdam, North-Holland, 1976. M. McElroy, Macroeconomy; Private Actions, Public Choices and Aggregate Outcomes, Prentice Hall, New Jersey. A. W. Mullineux, The Business Cycle after Keynes: A Contemporary Analysis, Barnes and Noble Books, New Jersey, 1984. Jeffrey Sachs, and Lecipe Larrain, Macroeconomics in the Global Economy, Prentice Hall, 1993. D. Salamon, Control and Observation of Neutral Systems, Pitman Advanced Publishing Program, Boston, 1984. J. B. Taylor, Macroeconomic Policy in a World Economy, from Econometric Design to Practical Operation, W. W. Norton and Company 1993. J. Wu, Globally Stable Periodic Solutions of Linear Neutral Volterra Integrodifferential Equations, J. Math. Anal. Application, 130 (1988), 474-483. IMF International Financial Statistics.
27. E. N. Chukwu, Control in W~
of Nonlinear Intercorporated Systems of
Neutral Type, J. Austral Math. Soc, Ser. B 36(2) (1994), 286-312. 28. UN: National Accounts Statistics, The Economists Book of Vital World Statis tics, Editor Miles Smith-Morris, Butler and Tanner, Frome, England, 1990. 29. G. Gandolfo, Economic Dynamics, Third Edition, Springer-Verlag, Berlin, Heidelberg, 1996. 30. Raye C. Fair, Specification, Estimation, and Analysis of Macroeconometric Models, Harvard University Press, Cambridge Massachusetts, 1984. 31. Luigi Amoroso, Economia di Mercato, Bologna, Zuggi, 1949. 32. Wu Jianhong, Stability of Neutral Functional Differential Equations with Infi nite Delay, Funkcialag 29 (1986), 131-139. 33. O. Hajek Pursuit Games with Delay, Funkcalaj Ekvacioj, 18 (1975), 93-98. 34. K. Balachandran, Controllability of Neutral Volterra Integrodifferential Sys tems, J. Australian Math. Society, Ser. B, 34 (1992), 19-25. 35. K. Balachandran and J. P. Dauer, Relative Controllability of Nonlinear Neutral Volterra Integrodifferential Systems, J. Austral. Math. Soc, Ser. B, 37 (1996) 346-353. 36. E. N. Chukwu, Control of Interconnected Functional Differential Equations of Neutral Type in W^ , J. Austral. Math. Soc, Ser. B, 36 (1994), 286-312. 37. E. N. Chukwu, On the Controllability of Nonlinear Economic Systems with Delay: The Italian Example, Applied Math. Computation, 95 (1998), 245-274. 38. J. Stiglitz, The Journal of Economic Perspectives, 11(1) written 1997, pp. 3-10. 39. O. Hajek, Pursuit Games, Academic Press, 1975. 40. E. N. Chukwu, Control Under Scarcity of the Growth of Wealth of Nations: With Austria and U.S.A. Examples, (preprint).
Economic Models
93
41. E. N. Chukwu, "Optimal Control for the Growth of Wealth of Nations," in Fall 1999 classnotes, N.C.S.U., Raleigh, NC. 42. W. H. Kwon, S. H. Han, J. W. Kang, A. Kim, V. Pimenov, A. Lozsnikov, and O. Onegova, Time-Delay Systems Toolbox Beta Version for use with Matlab User's Guide, Engineering Research Center for Advanced Control and Instru mentation, Seoul National University, 151 -742, Korea.
9.
Model Programs and Graphs
Volterra Integrodifferential Neutral Dynamics and Differential Neutral Systems for the Growth of Wealth of Nations: An Optimal Control Theory Models MATLAB Programs and Graphs Ethelbert Nwakucke Chukwu
U.S.A. Program US2.M Figure US1.
U. S. - Private Consumption, Exports, p. 479
Figure US2
U. S. - Investment, Government Consumption, p. 479
Figure US3
U. S. - Consumer Prices, Income, p. 480
Figure US4
U. S. - Money Demand, Aggregate Demand, p. 480
Figure US5
U. S. - Income/Consumption, Income/Investment p. 481
Figure US6
U. S. - Income/Government, Income/Export, p. 481
Figure US7
U.S. - Balance of Payment, log(income) p. 482
Figure US8
U. S. - Increase in Stock, p. 482
95
Differential Models and Neutral Systems
96
Program US2.M This chapter is a sign post which identifies the economic variables, terms and programs which are used to build the economic dynamics of nations. It is helpful to use the electrocial disc. The programs, US 2.m, Canada 2.m, India 2.m, Australia 2.m, Japan 2.m, are contained in the computer discs. The symbols are identified in both the numbered equations and the appendix. For example z is aggregate demand of equations (1.8), (1.10) and (1.11). The reading of the program is made easy by this identification. 1.
2.
3.
Definition of Economic Variables and Terms, pp. 367-368. In this section the economic variables extracted from the Inter national Financial Statistic Yearbook are defined by the symbols. The USA data pp. 366-368. Displayed here are data extracted from the International Finan cial Statistic Yearbook 1994, UN Financial 1974. UN National Accounts Statistics. Equations and Formulae postulated for economic variables in the body of the book are now identified, pp. 367-370.
ML = L-M L / C X T G Z R(t)
p. 367 p. 366 (1.2) (1.4) p. 369 (1.l)p. 366 (1.9) p. 366 p. 369 (1.3) (1.7) p. 367p.369 (1.8),(1.10),(1.11) (1.20), (1.21), (1.22)
p(t)
(1.32), inflation
B = Balance of payment E = Cumulative balance of payment y = National income D = deliveries of new equipment
(1.38) p. 370 (1.39) (1.45) pp. 367-369 (1.49) p. 370
^1= flow of capital dt L = employment
(1.53), (1.57) (1.59) p. 366
Model Programs
97
y = income Gy = income government Xy = income export 4.
5. 6.
(1.52) p. 370 (1.50) p. 369 (1.50) p. 370
MATLAB Regression Programs for Economic Variables pp. 368370. See "System Identification Toolbox" for use with MATLAB, Lenhart Ljung, The Math Works, Inc. I.30-I.32, 14.8, (1.79), (2.16). MATLAB Plot, Subplot programs pp. 370-371. Identification of economic dynamics x(t) - A_xx{t -h) = AQx(t) + Axx(t -h) + B* u(t)
7. 8.
with coefficients A-\, AQ, A\,B, B\, Bi,B=[B\, B2], and given in pp. 372-377 and identified in pp. 370-372 using (Ndu.M, US3.M) program. Diagrams and plots: Fig. U.S.I -> Fig. U.S. 7, pp. 479-482 We use the rank condition of Salamon and the full rank of B to deduce the controllability in Wy of the economic state variables of the dynamics x(t) - A_\x(t -h) = AQX(0 + Axx{t -h)+
9.
10.
Bu(t)
If X is any complex number rank[A(k), B] = n = 6, and ranktyJ A.\, B] = 6, is the required condition (p. 157 D. Salamon. Control and Observation of Neutral Systems, Pitman Advanced Publishing Program, Boston). This rank condition is satisfied by our linear model p. 378. Diagrams: Figures U.S. 1 - U.S. 7, pp. 479-482 We use the same definitions as in US2.M to study Canada, Germany, India, Japan, Australia, and UK. Program Canada Program Germany Program India Economic Models for Australia and Japan Program Australia Program Japan
98
Differential Models and Neutral Systems
CANADA 1.
2.
3.
Definition of Economic Variables and Terms, p. 3 82. In this section the economic variables extracted from the inter national Financial Statistic Yearbook are defined by the symbols. The data pp. 381-382. Displayed here are data extracted from the International Finan cial Statistic Yearbook 1994, UN Financial 1974, UN National Accounts Statistics. Equations and Formulae postulated for economic variables in the body of the book are now identified, pp. 382-385.
ML = L-M L / X T G Z *(') />(') B = Balance of payment E = Cumulative balance of payment y = National income
p. 382 p. 381 (1.2) (1.4) p. 381 (1.1) p. 382 (1.6) p. 381 (1.3) p. 381 (1.7) p. 381 (1.8), (1.10), (1.11), (1.2) (1.20), (1.21), (1.22) (1.32), (138) p. 384 (1.39) (1.45) p. 384
D = deliveries of new equipment
(1.49) p. 3 85
— f ^ = flow of capital
(1.53), (1.57)
L = employment y = income Gy = income government Xy = income export
(1.60) (1.52) p. 384 (l .50) p. 384 (1.50) p. 384
c
4. 5. 6. 7.
MATLAB Regression Programs and plots pp. 383-385. Model Dynamics and Coefficient Identification pp. 386-394. Rank condition for controllability p. 393. Graphs, Diagrams for Canada Economic Indicators pp. 483-486.
Model Programs
op
Figure CAl Canada Investment, Government Consumption, p. 483 Figure CA2 Income/Consumption, Income/Investment, p. 483 Figure CA3 Canada - Income/Government, Canada - Income/Export, p. 484 Figure CA4 Canada - Balance of Payment/Canada-log(Income), p. 484 Figure CA5 Canada-Increase in Stock, p. 485 Figure CA6 Canada-Private Consumption, Export, p. 485 Figure CA7 Canada - Money demand, Aggregate demand, p. 486 Figure CA8 Canada - Consumer Prices, Income, p. 486
GERMANY 1.
2.
3.
Definition of Economic Variables and Terms, pp. 394-397. In this section the economic variables extracted from the inter national Financial Statistic Yearbook are defined by Symbols. The data pp. 394-397. Displayed here are data extracted from the International Finan cial Statistic Yearbook 1994, UN Financial 1974, UN National Accounts Statistics. Formulae postulated for economic variables in the body of the book are now identified, pp. 398-400.
ML = L-M L I C X T G Z R(t)
(1.2X1.4) (1.1) (1.9)4 (1.3) (1.7) (1.8), (1.10), (1.11) (1.20), (1.21), (1.22)
Differential Models and Neutral Systems
100
Pit) B = Balance of payment E = Cumulative balance of payment y = National income D = deliveries of new equipment
(1.32), inflation (1.38) (1.39) (1.45) (1.49)
—— = flow of capital dt L = employment y = income Gy = income government Xy = income export
(1.53), (1.57)
4. 5. 6. 7.
(1.60) (1.52) (1.50) (1.50)
MATLAB Regression Programs and plots pp. 398-401. Model Dynamics and Coefficient identification pp.403-408. Rank condition for controllability p. 402. Graphs, Diagrams for German Economic Indicators Figures pp. 487-489.
Figure G1
Germany - Private Consumption, Export, p. 487
Figure G2
Germany - Investment, Government Consumption, p. 487
Figure G3
Consumer Price, Income, p. 488
Figure G4
Germany - Income/Consumption, Income/Investment, p. 488
Figure G5
Germany - Increase in Stock, p. 489
Figure G6
Germany - Money demand, Aggregate demand, p. 489
GERMD.M
Generated data pp. 407-408
INDIA Program India2.M 1.
Definition of Economic Variables and Terms, pp. 409-411. In this section the economic variables extracted from the inter national Financial Statistic Yearbook are defined by the symbols.
101
Model Programs
2.
3.
The data pp. 409-410. Displayed here are data extracted from the International Finan cial Statistic Yearbook 1994, UN Financial 1974, UN National Accounts Statistics. Equations and Formulae postulated for economic variables in the body of the book are now identified, pp. 409-411.
ML = L - M L I C X T G Z R(t) Pit) B = Balance of payment E = Cumulative balance of payment y = National income D = deliveries of new equipment —— = flow of capital dt L = employment y = income Gy = income government Xy = income export
(1.2) (1.4) (1.14 (1.9) (1.3) (1.7) (1.8),(1.10),(1.11) (1.20), (1.21), (1.22) (1.32), inflation (1.38) (1.39) (1.45) (1.49) (1.53), (1.57) (1.60) (1.52) (1.50) (1.50)
4. 5. 6.
MATLAB Regression Programs and plots pp. 411-414. Model Dynamics and Coefficient identification pp. 415-425. Rank condition for controllability pp.415-416.
7.
Graphs, Diagrams for India Economic Indicators
Figure IN 1
India - Private Consumption, Exports, p. 490
Figure IN2 Figure IN3
India - Investment, Government Consumption, p. 490 India Money demand, Aggregate demand, p. 491
102
Differential Models and Neutral Systems
Figure IN4
India -■ Consumer prices/Income, p. 491
Figure IN5
India ■■ Income/Consumption, Income/investment, p. 492
Figure IN6
India -• Income/Government, Income/Export, p. 492
Figure IN7
India -• Balance of Payment, log (income), p. 493
Figure IN8 India ■■ Increase in stock, p. 493
AUSTRALIA Program Australia2.M 1.
2.
3.
Definition of Economic Variables and Terms, pp. 450-455. In this section the economic variables extracted from the inter national Financial Statistic Yearbook are defined by the symbols. The Australian data pp. 450-452. Displayed here are data extracted from the International Finan cial Statistic Yearbook 1994, UN Financial 1974, UN National Accounts Statistics. Equations and Formulae postulated for economic variables in the body of the book are now identified, pp. 452-460.
ML = L-M L I C X T G Z
ho B = Balance of payment E = Cumulative Balance of payment y = National Income D = deliveries of new equipment
(1.2) (1.1) (1.9) (1.3) (1.7) (1.8),(1.10),(1.11) (1.20), (!.21), (1.22) (1.32), inflation (1.38) (1.39) (1.45) (1.49)
Model Programs
103
^ - = flow of capital dt L = employment y = income Gy = income government Xy = income export 4. 5. 6.
(1.53), (1.57) (1.60) (1.52) (1.50) (1.50)
MATLAB Regression Programs for Economic Variables pp. 450460. MATLAB Plot, Subplot programs pp. 453-454. Identification of economic dynamics x(t)- /L.xx{t -h)= AQX{I) + Axx(t -h) + B*«(r)
7.
with coefficients A.\, AQ, [B\, B2]=B, and given in pp. 461-464. Diagrams and plots pp. 505-508. Controllability pp.461-464.
8.
Standard Deviation p. 461.
Figure AU1 - Private Consumption, Exports, p. 505 Figure AU2 - Investment, Government Consumption, p. 505 Figure AU 3 - Consumer Prices, Income, p. 506 Figure AU4 - Money Demand, Aggregate demand, p. 506 Figure AU5 - Income/Consumption, Income/Investment, p. 507 Figure AU 6 - Income/Government, Income/Export, p. 507 Figure AU7 - Balance of Payment, log(income), p. 508 Figure AU8 - Increase in Stock, Australian Growth rate, p. 508
104
Differential Models and Neutral Systems
JAPAN Program Japan2.M
2.
Definition of Economic Variables and Terms, pp. 465-470. In this section the economic variables extracted from the inter national Financial Statistic Yearbook are defined by the symbols. The Japan data pp. 465-467. Displaced here are data extracted from the International Finan cial Statistic Yearbook 1994, UN Financial 1974, UN National Accounts Statistics. Equations and Formulae postulated for economic variables in the body of the book are now identified, pp. 467-470.
ML = L-M L I C X T G Z R(t) p(t) B = Balance of payment E = Cumulative balance of payment y = National income D = deliveries of new equipment dk(t) - flow of capital dt L = employment y = income Gy = income government Xy = income export
5. 6.
1.2) 1.1) 1.9) 1.3) 1.7) 1.8), (1.10), (1.11) 1.20), (1.21), (1.22) 1.32), inflation 1.38) 1.39) 1.45) 1.49) 1.53), (1.57) 1.60) 1.52) 1.50) 1.50)
MATLAB Regression Programs for Economic Variables pp. 468470. MATLAB Plot, Subplot programs pp. 470-471. Identification of economic dynamics
Model Programs
105 x(0 - A_\x(t -h) = AQXQ) + A\x(t -h) + Bu(t)
7.
with coefficients A. \, AQ, A \, B = [B\, B2], given in pp. 471 -472. Diagrams and plots Fig. Japan. 1 (Japan.8).
8.
Controllability p. 472.
Figure JA1 Japan - Private Consumption, Exports, p. 501 Figure JA2 Japan - Investment, Government Consumption, p. 501 Figure JA3 Japan - Money demand, Aggregate demand, p. 502 Figure JA4 Japan - Consumer prices, Income, p. 502 Figure JA5 Japan - Income, Consumption; Income/Investment, p. 503 Figure JA6 Japan - Income/Government, Income/Export, p. 503 Figure JA7 Japan - Balance of Payment, log (income), p. 504 Figure JA8 Japan - Increase in Stock, p. 504
10. Optimal Control of Volterra Integral Neutral Equations and of Linear Neutral Equations
10.1 Introduction In this chapter we use a maximum principle developed by Carlson [12] and [13] generalized by Burnp and Kazemi [10] to deduce optimal control strategies of linear Volterra integrodifferential dynamics of neutral type. First we consider a variation of parameter version of
dt
x(t)-X
\A(t-s)x(s)ds = A0x(t) + X JAx(t-s)x(s)-Bu(t)
(lo.l)
—°°
namely, x(t) = £/(/)[*(0) - g_!(0)] + g_!(r) + p(t
- s)g_xds + jU(t - s)[gl(s) - Bu(s)]ds
0
0 (10.2)
where 0 I JA_\(t - s)x(s)ds s= g_i(r), -oo
(10.3) 0 X
JAi(t-s)x(s)ds^gi(t)
107
108
Differential Models and Neutral Systems
and U is an n x n continuous differentiable matrix function which is the solution of the resolvent equation. d_ dt
t
U(t)-lA-.\(t-s)U(s)ds
= AQU(1)+ \AIO-
0
s)U(s)ds,
(10.4)
0
with U(0) = I, the identity matrix. A more general version of (10.2) can be identified as follows: Let g(0 = t/(0M0)-g-i(0)]+g_i(0, h(t, s, x(s)) = U(t - s)g_l(s) + U(t -
s)gi(s)
k(t, s) U(t -s) = G(t, s, x(t)) f(s,x(s),x(o(s)),u(s))
= - Bu(s).
(10.5)
Hence, t
*(0 = S(0 + \W, s, x(s)) + k{t, s)f(s, x(s), x(a(s), u(s)))]ds
(10.6)
0
tel *(0 =
/e(-oo,0],
[a(0),0]
y = a + l,...,p.
Here u = u(f) is control and x = x(u) is the corresponding state of the system and the control constraint. u(t)eWa,e, 0
(10.7)
We assume that W is compact and convex with 0 e Int W. In particular, W is an n-dimensional cube
Optimal Control
109
W = {ueEn :\UJ \
(10.8)
Assumptions Let g, G,f, Q>j, 1 <j < q, satisfy the general hypotheses: fory = 0, 1,2, ..., q the functions g En -» EX are continuously differentiable; g:[0,T\ ->• En is continuous; /J:[0, T] x [0, 7] x £" -> f72 is continuous with continuous partial derivatives with respect to x e £ " ; G : [ 0 J ] x [ 0 J ] x £ " - > £ n x ' is a continuous n x / matrix where entries (Gy) have first partial derivatives with respect tox; and f:[0, T]x E" xU-+ E1 is continuous, with continuous first partial derivatives with respect to x, the second variable. Also for every compact set H c En there exist kf, m/ such that s < t, \f(t,s,u)\<mf \Mt,s,u)\
(/,jt,M)e[0, T]xHxW
,
where fx denotes the matrix of the first partial derivatives with respect to /, x. Theorem 10.1. Let the general assumptions 10.1 prevail. Let f° : M^>EX be a given continuous function which satisfies the same conditions a s / , if {xo, HO} is an optimal solution of the optimal control problem which consists of minimizing T jf°(t,x(t),u(t))dt,
(10.9)
0
overall pairs of functions {x, u) satisfying
x(t)=g(t)+ j[h(t,s,x(s))ds + G(t,s,x(s))f{s,x(slu(s))ds 0
on[0,7L
(10.10)
110
Differential Models and Neutral Systems
with terminal constraints
j=l,2,...,p
j = p + l,p + 2,...,q,
(10.11)
and the control constraint u(t)eW a.e. 0
(10.12)
There exist constants X,, 0 <j: < q and a function p:[Q, 7] -> En, such that: P (i) rf(X) = - 2 > ; < D y x(x0(T)), j=0
(k0,Xh...,Xp)*0
=
(0,0,0,...,0)
Kj < 0, 0 < j < a, Xjj(xo(T)) = 0
l<j
The functionp:[0, T]-> En \s such that (ii) Pi0 = -d(\)»
Dx[HT, t,x0(0) + G(T, t, x0(t))f(t, x0(t), «<)(/))]
T + IpMD^K^tiXQW+G&^xoitW^xonuoWys / (iii) For almost all t e [0, 7], T d(\)G(T, t, x(t)) - J(G(s, t, x0(t)))p(S)ds • / ( / , x0(t), uQ(0)
.
(10.13)
Optimal Control
HI
= max d(X)G{T, t, *o(0) - \(G(s, t, xQ(t)))p(s)dsf(t, x 0 (0, v)
(10.14)
Thus the optimal control is of the form v°(t)=s&i[U(t-s)p(s)B(t)l
t<,s
(10.15)
Remark on (10.15) The theorem states that the required optimal control is bang-bang. Of course, if u e W,as defined in (10.8), the components of the optimal control are± a , j = 1, ..., m: That is withdraw ay(-a^) from the system or invest (a,-) into the system. If the component is taxation, impose ay taxes or subsidize by ay, etc. If V (/) is a positive scalar, then V° = 1. This implies that if U(t - s)p(s)B(t) > 0, and u = p - q, and p - q < 0 effective private initiative is weaker than public strategy. On the other hand, if p - q > 0, effective private initiative is stronger than solidarity (government intervention). Optimal Control of Linear Neutral Systems We now consider a related neutral system and state its optimal control policy both in Euclidean and function spaces [22]. Consider the linear control system N
i(0-i4_ii(r-A) = 4o*(0 + 5]*(/-*y) + ««(0 t
x0=*.
(10.16)
7=1
where - w(t) = Bu(t) e W(t). We could consider N
m-A-lx(t-h)
= x(t) + ^Ajx(t-hj) >1
+ q(t)-p(t),
(10.17)
112
Differential Models and Neutral Systems
where q(i) e Q, p(t) e P and W(t) = P + ker U(th t) *Q, ( / i s the fundamental matrix solution of N x(t) - A_xx(t -h) = x(t) = £ Ajx(t -hj)
+ q(t) - p(t) .
(10.18)
We assume Q = {qeET :\qj,\Sq0, P={peEn:\pj\Zl,
j=\,...,n}, j=l,...,n}.
Then W(t) =P+ kerU(tu t)*Q = {w:\wj \£l+ko-q0}3
(10.19)
where ko is the bound of elements of ker U{t\, t). If det A-\ * 0, then ker U(ti,t) = 0, so that W = {w:\Wj\Zl-q0\.
(10.20)
If we also assume that |^Q| < 1, then there is a "winning strategy", a control defined by J(q, t) = w(t) + ^ where w is a control which steers (10.16) to the target within the control system x(t) - A_xx(t) =Lc, + (1 + A0 - qo)p(0,
(10.21)
with p(t) e />. We rewrite (10.21) as x(t) - A_xx{t) = Lx,+ Bu(t), and consider the problem of optimality when the target is Euclidean.
(10.22)
Optimal Control
113
Minimum "Investment" Control Consider N
Mf) - A_xx{t) = AQxit) + £ x ( f ~ hi) + Bu(t),
(10.23)
t=\
where 0 < h\ < hi <... < h^ = h, A{ / = 0,..., N are n x n constant matrices and B is an n x m matrix. The controls are bounded measurable functions. Find a u (subject to some constraint, i.e., u <= W) that minimizes an "investment" function E(u(t\)) subject to (10.23), where % =§,x(t\,a,§,u)=x\
e£".
(10.24)
Here x = x(-,a, <> | , w) is the solution of (10.23) with XQ = <j>. We identify the following investment functions: t
£0(«(1))= \uT(t)R(t)u(t)dt,
(10.25)
0
where R(f) is a continuous positive definite m x m matrix. When R(f) = I, the identity matrix, then t
Eo(u(n))=$\u(t)\2dt. 0
Another effort function is defined by £l("('l))= max sup | My (01, \<j<m
(10.26)
Q
where ueW = {ueEn,u
measurable] Uj(t)\
j = \,...,m
a
114
Differential Models and Neutral Systems
In (10.26), E(u(t\)) describes the maximum thrust available to the system. We define investment energy function,
£2(«('I)) =
]Y)uj{t)\p dt
K||„,
(10.28)
,0 7=1
where p> 1, and ueU = {ueE?,u measurable || u \\p = E2 (u(t\)) < 1} .
(10.29)
If/7 = 2 in (10.28), then £2(M('l))=ll Mll2> represents the investment energy or power of the system, and this is to be minimized. Another investment energy is £3 hM
E3(u(ti))= J S M / ' ) | P * = I«|, •
(10.30)
o;=i This is cumulative economic stimulus. assume the constraint,
In (10.30), we may sometimes
U<EW = {U measurable, u e Em, | uj (t) | < 1}.
(10.31)
For the solution of the minimum investment problem with investment defined by E\(t) in (10.26), set yit) = x\-x{t,o,if,Q),
(10.32)
and call it the reachable state. Let githc) = cTY(tht) = cTU(tht)B,
(10.33)
where c is an n-dimensional vector. Here U(t\,t) is the fundamental matrix solution of
Optimal Control
// j N x(t) - A_xx{t -h) = AQX(t) + £ Ajjxit -hj).
(10.34)
jt=\
Note that g is an m-vector. Suppose m t\
fl(c,n)=Zjl«/0.c)|df.
(10.35)
y=oo
Let
ejk = Z ^ 0 * - i ( * - ^ ) + ^ i e 4 ( * - A ) , *=1,2,...,ii-i,
te[o.n],
[B
s = hj
n
,.
00=
[0
otherwise,
Theorem 10.2. System (10.23) is Euclidean controllable if rankQn(tO = n,
(10.36)
where Qn={QoW>-,Qn-i(s)
s
e[(Wi]}.
(10.37)
Theorem 10.3. In (10.23) assume that: (i) Equation (10.36) holds. (ii) The system (10.34) is uniformly asymptotically stable. (iii) System (10.34) is complete; i.e., the map T{t, o):C^En defined by r(r,o)$ = x(/,a,t,0), where x(t, a, <|>,0), is a solution of (10.34) and satisfies
116
Differential Models and Neutral Systems
T(t,ayc = En.
(10.38)
(iv) The system (10.23) is normal, and this holds if for eachy = 1, ..., m, the matrix Qnj = {Q0j(s),.-,Qn-ij(s),
se(o,
(10.39)
has rank n, where Qy is defined by N Qkj(s) = S AiQk-\j(s ~ h) + A-lQg(s ~h),
k = 1, 2,..., n -1,
ss[o,/i],
i=0
\bi for
and B =
s = h,
(bi,...,bj,...,bm).
Then there exists a minimum investment control u*(t) such that £!(«*(/!))££!(«(/!)),
Vwe^,
with W defined in (10.27) subject to (10.23) and (10.24) with *i=0. Furthermore, if y(t\)*0, the minimum investment £imin =E\(u*(t\)) is given by l
— = minF1(c,
£] min
c6
p
ft,
(10.41)
T
where P is the plane c y(t\) = 1. The optimal control w*(0 is unique almost everywhere and is given by u*(i) = Ex min sgn g(t, c*)
(10.42)
where c* is any vector in P for which the minimum in (10.41) is attained. If X l ) = 0, the control u*(t) = 0 is the minimum-effort control. Theorem 10.4. In (10.23) assume that:
Optimal Control
117
(i) Equation (10.23) is Euclidean controllable. (ii) Equation (10.23) is uniformly asymptotically stable. (iii) Equation (10.23) is normal. (iv) System (10.23) is complete. If W^ =Z.oo([0,fi], Cm), t* is the minimum time, and it* is the time-optimal control, then w* is uniquely determined by uj (t, c) = sgfllc1 U(Tt\, t)bj (0],
a < t< f
(10.43)
where gLt,c) =
sBnc1U(f*,tW),
(10.44)
^-/p
f m
(10.45)
K= V0y=l
Theorem 10.5. Let the prevailing assumptions ((i)-(iv)) hold for system (10.23), and let system (10.34) be complete. The optimal control u* that steers <j) e C to 0 in minimum time t* while minimizing E\{u{t*)) is given by «*(0=sgn[g(f,c*)],
a
(10.46)
where c* is the vector in P that minimizes a = min F(t*, c), ceP
(10.47)
t* m
J\«*,c)= jY,\S(t,c)\dt
(10.48)
07=1
and g(f,c) = c'a(fV)fl(0.
(10.49)
118
Differential Models and Neutral Systems
The optimal strategy which is time-optimal and minimizes Ei(u(t*)) is u* with component K\glit,<*)\«/PsBtigj(t,c*),
Uj(t) =
(10.50)
where -i/p K=
(10.51)
fEl*/(',C*)l*«ft
and where c* is the minimizing vector in a = min /*2(/ * c)
(10.52)
ceP
with -\lq
F2(t*,c) =
(10.53)
The following fundamental principle is now obvious. In our dynamics (10.23), the time-optimal control is also the control that minimizes the investment function. The question posed by this report is now answered. Subject to the hypotheses of Theorem 10.5, system (10.23) can be steered from any initial function to zero as fast as possible while minimizing E. Our strings of theorems are proved in the graduate text [22] for the delay case and below for neutral system. The solution of (10.16) in the state space En is given by the variation of parameter x(t, a, 4, u) = x(t, a, <j>, 0) + ju(t, s)B(s)u(s)ds , where U(t, s) is the fundamental matrix solution of
(10.54)
Optimal Control
119
N x(t) - A.xx(f -h) = ^ Q ( / ) * ( 0 + ]►>(;)*(/ - h), 7=1
Xa =
U(t, s)=0
s > t.
In (10.54), set Y(t,s) = U(t,s)B(s). This is an n x m matrix function which, because B is analytic, is piecewise analytic in /, s, [54] and at least measurable in /, s [33, p. 145], and continuous in / for / > s for each fixed s. We now state the solution of the minimum-effort problems for the various efforts. Theorem 10.6. Assume that (i)
System x(t) - A_\x{t -h) = AQx(t) + Ai(t)x(t -h)+Bu is Euclidean controllable on [a, t\], and this holds if rankQn(tx) = n,
(10.55)
where fi„(
sB[o,tx%
(10.56)
and Qk(s) is defined by the n x n matrix function defined by
120
Differential Models and Neutral Systems
Qk(s) = 4)fit-l(*) + AQk-l(s -h) + A-\Qk(* -h)
00(0) = /» (ii)
Qfc(O = 0i/
k = 0,1, 2
i
(10.57)
Let h W = ]Y(ths)R-\s)[Y(ths)f
ds .
(10.58)
a The control u* is defined by u*(t) = R-\t)(Y(tht)TWq~l,
te[a,H],
(10.59)
where g = [*i(0-*(4,*4»,0)]
(10.60)
is the optimal control that minimizes Eo(u(t)), i.e., £0("*(>i))<£o("('l))> Proof. Since (10.55) holds, W u*(i) in (10.52), we obtain
VM.
exists and u*{t) is well defined. If we use
n x(fi,a, b «*) = *(>1, a, <(>, 0) + fan, s)R-\s)(Y(tz, s))T W~Xqdt a = x(t\, a,$,Q) + q = x\(t\). Thus, indeed u* transfers to x\ in t\. That w* minimizes EQ follows the standard arguments. Indeed, let u be any other control that transfers § to * 1 , we have the equality
Optimal Control
121 'l
'1
JUQI,S)B(S)U*
a
(s)ds= ju(th s)B(s)Ii(s)ds . a
Using the inner product on both sides of this equality, we obtain
JY(tx,s)(U(S)-u*(s))ds, Wq~X
= 0.
Using (10.59) and the properties of the inner product, we obtain
\(u(s)-u*(s),
u*(s))ds = 0
We now use this equality to derive h h £o(" * 0l)) = fM *(s)R(s)u *(s)ds < {u(s)R(s)U(s)ds = Efjifa)).
This completes the proof. Remark. We can easily show that - 11. E0(u*(tl)) = (q,Wq)
Observe that there are no constraints on u except that it is measurable and integrable. The controllability assumption enables one to infer that § is steered to x\ in time t\. The rank condition is lucidly proved by Ukwu [56, Chapter 6]. If the controls are constrained to lie on a bounded set U, then some stability conditions on (10.23) are required. For the solution of the minimum-effort problem with effort defined by E\(t) in (10.26), set ><0 = x(0-x(f,cj,(|),0) J
(10.61)
122
Differential Models and Neutral Systems
and call it the reachable state. Let g(thc) = cTY(fh t) = cTU(thtW)
,
(10.62)
where c is an w-dimensional vector. Note that g is an m-vector. Suppose m t\
^ > ' l ) = Z \\sit,c)\dt.
(10.63)
j=\a
Theorem 10.7. In (10.53) assume: (i) (ii)
That (10.55) holds, The systems (10.53) is uniformly asymptotically stable.
(iv)
Also (10.53) is complete, i.e., the map T(t, CJ)C = En defined by T(t,o)b = x(t,a,
(iv)
(10.64)
The system (10.53) is normal and this holds if for eachy = 1,..., m the matrix Qnj(t\) = {QoMt\)~Qn-\j{s,t\),
se[o,tx}}
(10.65a)
has rank n where Qy is defined by Qkj(s) = A-\Qkj(s ~h)+ AoQk-lj(s) + 4Qk-lj(s - h), £ = 0, 1,2, ...,s = 0,h,2h Q0j(s) = bj B
s = hi=0
= (*1> *2> - . bj,...,
otherwise. b„).
(10.65b)
Optimal Control
123
Then there exists a minimum-effort control u*{t) such that £i(«*(/l))££l(ii(/l)),
V«e(/,
with £/ defined in (10.27) subject to (10.53) and (10.52) with ;q=0. Furthermore, if >
(10.66)
ceP
where /> is the plane c y(t\) = 1. The optimal control u*(t) is unique almost everywhere and is given by «*(0 = £iminsgn«(f,c*),
(10.67)
where c* is any vector in P for which the minimum in (10.66) is attained. If y(t\) = 0, the control u*(t) = 0 is the minimum effort control. Theorem 10.8. If the effort function E2(u(ti)) is defined as in (10.28), define
^('1.^) =
X
j\8j0,c)fdt
(10.68)
where — +— = 1. For (10.23) assume conditions (i)-(iv) °f Theorem 10.6. P <7 Then for each <> ) eC, 0=x\ eEn, and some t\, there exists an optimal control u*(f) that minimizes E2(u(t\)), i.e., £ 2 ( " * ( ' I ) ) : £ £ 2 ( K ( ' I ) ) for all M e [/defined in (10.29) subject (10.23) and (10.24). Furthermore, if )in)*0, the minimum-effort £2min = £i(" * CO) is given by 1 £
lmin
min F2(t\,c), ceP
(10.69)
124
Differential Models and Neutral Systems
where P= {ce.En \c X'l) = l}everywhere and is given by
The optimal control u* is unique almost
u*
sgn gj(t,c*),
(10.70)
where
»= ElminWh
c*)Tq/p,
and c* eEn is any vector in P where the minimum is attained. If yit\) = 0 the minimum effort control is u*(t) s 0. The solution of the minimum effort problem when E2(u(t\)) is as defined in (10.30) (and it is not constrained) does not exist among integrable functions. If impulsive functions, the so-called Dirac functions, are admissible, then an optimal solution exists. These observations are contained in the next theorem. Theorem 10.9. Consider the minimum effort problem with effort function E3(u(n)) defined in (10.30), where u eU = {u:\\u\\\ <1} is defined in (10.31). Assume that for (10.23), the following conditions exist: (i)
(i)-(iii) of Theorem 10.5 Assume Metanormality for (10.23), i.e., rankQn+\j=n, j = 1, ..., m where Qn+ij ={QoJis,tl)...Qnj(s,ti)
for each
se[a,ti]}
with
Qy defined as in (10.65). Then there is no optimal solution with w an integrable function that steers <|) (unless x(t\, cy, <j>, 0) = 0) to 0 in some time t\, while minimizing £3 (u(t)). But if impulsive controls are admissible and F3(thc)=
max sup \gj(t,c)\,
(10.71)
\<j<m Q
then there exists a minimum effort control u*(t) if X'l) *0. The minimum effort is given by £3 (u * (t\)) = £3 m i n and
Optimal Control
125
min F3 (^, c), ii . J
(10.72)
ceP
min
where p= {c&En :c y(t\) = 1}. The optimal control given by u*, where N,
(Nj Emin
uAt)=
•C;=S<
C,
J=l
1 <j < m.
(10.73)
Here 8(r, - ijj) is the so-called Dirac delta function. The suprema (10.71) may occur at multipley and at multiple instances of time TJJ, i= 1,2, ..., Nj where Nj equals zero if gj does not contain this suprema. Thus, Zjh e [a, t\] are the finite number of times at which \gj(t\, c)\ = F^{t\, c*). In Theorem 10.9, the components of the controls are not bounded. If U={u measurable u(t)eEn\uj(t)\<\,
j = \,...,m
||u||i
then the optimal controls are "bang-off-bang". Theorem 10.10. Assume in (10.23) the following: (i)
Conditions (i) and (ii) of Theorem 10.9. Suppose the problem is to minimize ||u||i subject to u e Uand (10.23) and (10.24). Then there exists a unique minimum fuel control u (t). This control is "bang-off-bang" in the sense of having only the values ±1, and 0, with no switches +1 and -1 or back (- 1 and 1) (however, 1, 0, 1 is possible) unless a = mt\ andy(t\) e dG&t\) where i * . ( ' ! )
= ■
jU(t,s)B(s)u(s)ds: H|co
Optimal control is given by u where
(10.74)
/ 26
Differential Models and Neutral Systems
«Un=\Tgj(f,c) J
if 8j(t c)Ur]> u
[ :
\Q
-
cio.75)
otherwise
where r\ > 0 is some constant. To prove the above theorems on minimization of effort, we recall the variation of parameter in (10.54) and Y in (10.54), and define the function t
S,(u)=lY(t,s)u(s)ds,
(10.76)
which maps the control space L into the state space En: Sf. L -> En. This map is continuous and linear with S(£L) = 0. If U c L is control constraint set, then the reachable set is
{Sl(u):ueU}=' JY(t,s)u(s)as:
u&U
(10.77)
(a
Thus if y(t) is a reachable state defined in (10.61) i.e.,y(t) = x\ - x(t, a , ((», 0), the coincidence y(t) = xl(t)-x(t,<j,hu)
= Sl(u),
(10.78)
for some u' e U, implies that y(t) e
(10.79)
The time-optimal control u* e f/ is such that j>(/*) = S,*(u*). The minimum effort control is admissible control u e (/such that St*(u*) =y(t\) with £(«*(/!)) <£ 2 («('l)).
Vuell.
In what follows assume L is either L^ orLp,l<,p< oo. In this case, the map S,: L->E" as defined in (10.76), its adjoint as S{ :E" -» L, represented by
Optimal Control
127
STV) =
0, nt,xfcTt
a.e. te[(,d], a.,.e[0,<].
< 10 - 8 °)
If L = Lao, S* maps En into L\([0, ( i ] , F ) c A » so that
|s*(c r )| = j | | n ' i , * ) r c7]! ds,
(10.81)
c e En, where ||-||i is the L\ norm in Em. If L = Lp, then 5T is still given by (10.80) with
\i \py\- J K ^ T * Va
<7
(10.82)
J
for c G En. We now impose some conditions on S,: L -> E" and then show what conditions on the system's coefficients ensure that the assumptions hold. Prevailing Assumptions: I.
The reachable set *(/) = {S,(u):ueU}
II.
is closed. With Uin (10.27) or (10.29), the closure of
III.
transformations from L into En. The function y.[o,tl]-*EH
128
Differential Models and Neutral Systems
defined by y(t)=x\{t)-x(t,o,$,0), in (10.61) is continuous. Here x\(t) is continuous point target. In the next assumption we assume that it is constant. IV. y:[o, t\] —> EP is constant and not zero: y(t) =y\ for all / e [a, V.
VI.
*ll For each c e En, c * 0, the function t -> | \S (c )| | is strictly in creasing. This condition is guaranteed by the following condition: For each x\, x2 e [a, t\], cT U(t\, t)B(t) = 0, V r e [xi, T 2 ], if and only ifc = 0. This condition (10.83) is equivalent to Euclidean controllabil ity. See Manitius [44, pp. 77-86]. In terms of the system's coeffi cients, Euclidean controllability is assured by the rank condition (10.55). The system (10.23) is normal in the following sense S( (c ) is not identically zero for / e [a, t\], and c * 0.
In view of (10.80), we have that system (10.23) is normal on [a, /]] if for each c e En, and eachy = 1,..., m the set {t>a,cTU{t\,t)bj{t)mQ,
/e[a,/i]}
has measure zero. In this case, US, (x )|| > 0 in (10.80) or (10.81), for each c # 0 , / > a . Conditions on the systems' coefficients for normality are given in (10.65). We state and prove this for the autonomous simple system i(t) + /!_!*(/ - h) = AQXU) + AYx(t -h) + Bu(t),
(10.83)
where the "determining equations" are given by Qkj(s) = 4)Qk-l(s) + 4Qk-l(s - h) + A-iQkis- h), k= 1,2,3,...,5 6(-oo,oo),
Optimal Control
129 \bi,
s=0
(1084)
a^'Ho, ,*o. Set Qnj(ti) = {Qoj(s),Qij(s),...,Qn^j(s),
se[0,tfl.
(10.85)
Theorem 10.11 The system (10.83) is normal on [0, t\] if and only if for each/' = 1,..., m, rank Qnj(tl) = n. Proof: We note that s -> U(t, s) is the fundamental solution to the adjoint equation: | - £/(«i, s) = | - U(th s + h)A.x - U(ti, s)Ao - U(tx, s + h)A\ OS
OS
o<s
y=o, i, ...
subject to \t
s=t
[0
s>t.
By Tadmore [54, p. 80] s -> U(t\, s) is analytic on (t-(j+ \)h, t -jh),j 1,... and 5 —► U(t\, s) is C^ on this interval. Hence the function
= 0,
gj(s,c) = cTU(ths)bj the j-th component of index of the control system, has the following properties: s -> gj{s, c) is defined on [0, oo); it vanishes on (t, oo) and is piecewise analytic in (0, oo). The isolated exceptional points are at points s = t\, t\ -h,t\- 2h...t\ - hi where t\ -hi>0 (See Tadmore [54]). Define Agj(f,c) = g * ( f - 0 , c ) - gj(t+0,c)
fe(0,oo),
and we have designated gj(t-0, c), gj(t + 0, c) as the left- (respectively
130
Differential Models and Neutral Systems
right) hand side limit of the k-th derivative of gj at s = t k = 0, 1, 2, ... . Clearly Ag*(*Xc, n - ih) = (-if cTQkJ(ih)
i = /, - ih > 0,
where Ag°{c,ti-ih) kg{j\c,t\-ih)=-cTQl(jh)bj
= cTA'_]bj, forall
k=\,j:t\-ih>Q.
Thus Ag*(*XCl -ih) = (-l)kCTQk(jh)bi
j:tx -jh>0
A = 0,1,... /=1
n,
on [0, fi]. Now *(/I,T)S0
(10.86)
cTX(tx, i)bi= 0 for all t e[0, oo).
(10.87)
Jt^^itxJx-jhyji^Q,
(10.88)
for all x e (t\, oo). Therefore,
Consequently,
for k = 0, 1, 2, ... and j : t\ - jh > 0. Now cTAS^kXt\, t\ - jh)bi =(-l)k cTQk{jh)bi, for k = 0, 1, ...;y: /j -yV? > 0. From (10.87), we deduce that cTQk<Jh)Bi = Q, i = \,...,m,
(10.89)
for some c e £ " , c * 0 and for all j:t\ - jh>0; k =0,1,2,... (10.89) implies that the nonzero vector c is orthogonal to all columns of Qay(ft) and consequently orthogonal to all columns of Qnj(t\). Thus Qnj(t\) does not
Optimal Control
131
have full rank. This proves that Qnj(t\) < n, which in turn proves the contrapositive statement. Therefore, if rank Qnj(t\) = n, then (10.83) is normal on [0, t\]. Assume that rank Qnj(t\) = n , then (10.83) is not normal on 0, t\]. Then there is a c *■ 0 c e En such that for somey = 0, I, ...; m gj (s, c) = 0 on [0, t\]. Because of this gj(s, c) = 0 on [0, oo), so that on differentiating 0 = cTAgk (f, - in), tx-ih>0 = (-1)* c r ^ (//>), for k= 0,1,2,..., * = 0,1,2,..., /, -ih>0. We deduce that c e En is orthogonal to all the vectors of Qnj(t\), which is a contradiction. We have proved normality. We now prove the necessity for this. Necessity. Suppose that ^ybo('i)
jh > 0. / = \,...,m .
(10.90)
But (-l)kcTQk(Jh)bi =Ag{k\c,n-jh)
= ^k\th(t{
-jh)~)
-V*(/i,('l-yA) + )=0
(10.91)
g
(10.92)
by (10.90). Hence
for * = 0, 1, ... andy':/i -jh > 0. In particular, if/ = 0 then (10.92) yields i|/(*)(c,/J")=vi/(*)(c,r*). Now
Differential Models and Neutral Systems
132
(10.93) TT->'l
t\<1
cTU{k){c,
x)bi
XT—>t\
t\<x
lim
U{k\t\,i)bi
TT-W]
t\
(10.94) because U(k)(thx) = 0 for T > / I .
(10.95)
Therefore gik)(c,t-)
= g(k\c,tf)
=0
(10.96)
for k = 0, 1, 2, ... . Now £/(/i,fj~) = £/(/],/j) because £/(/], x) is left continuous at x = t\. So g(c, tf) = g(c, t^) = g(c,t\) = 0. By virtue of the fact that x -> g(c, x) is analytic for x e(t\-(j+ \)h,t\-jh);j such that : t\ - (j + \)h > 0, the theorem below is needed for the rest of the proof. Taylor's Theorem [55, pp. 214-220] and [30 pp. 686-688]. Let/be a realvalued function on [a - h, a] such thatj^x) is analytic for every x e ((a - h), a). ThenXx) = £ J-—K-—i- (T - af for T e ((a - h), a). Now set a = t\, a k=0
k\
- h = t\-h. Then each component of the m-vector function \\i(c, t) satisfies the hypotheses of Taylor's Theorem on [t\ - h, t\] because x -> g(c, x) is analytic on (t\ - (j' + \)h, t\ -jh). Let g> '(c, T) denote the /-th component of g(*)(c, x), / = 1,2,..., m. Then,
Optimal Control
133
, T, V
~n
for t e ((/i - h), t\). Therefore gl(c,
T)= 0 by (3.3.13), / = 1, 2,.... m .
(10.97)
But g(c, ?i) = g(c, rj") = 0. Therefore, gl(c,x)=0 for all
xe(fi-h,ti].
Now, set a = t\ - h, a - h = t\ - 2h and apply Taylor's Theorem on the interval (t\ - 2h, t\ - h) to get
Butg\k\c,(tl-h)-) 0 by (10.97).
= g(ik\cy(ti-h)+) by (10.91). Also g\k\c, (/, - h)+) = Therefore gi(c,x) = 0, i = 1,2,..., m. Now gt(c,t\-h)
= gi(c, fa - h)~) = 0.
Hence g\(c, x) = 0 for all T e (/1; - 2/i, fj - A) • The
process is continued until g\(c, x) = 0, x e(0, /?]. But g\{c, 0) = gi(c, 0 + ) = 0. Hence g(c, x)=0 for all T €[0, * I ] . Thus, there exists c e En, c * 0 such that for i = 1,..., m, U{t\, i)bj = 0 on [0, t\]. We conclude that (10.83) is not normal on [0, t\\. This proves that if (10.83) is normal on [0, t\], then fory = 1, ..., m rankQcaj{t\) = n. But rank QaaQi) = rank Qn(t\) as can be proved by the method of Ukwu [56]. This completes the proof. The next prevailing assumption on (10.23) is that of metanormality. The notion was introduced by Hajek [35, p. 416].
/ 34
Differential Models and Neutral Systems
VII.
The system (10.23) is metanormal on [a, t\] if and only if every index g(t,c) = cTU{tx,t)B{t) with c * 0 has each component gj{t, c) constant only on sets of measure zero. The set {t>o:cTU(tut)bjit)
= a}
has measure zero for each column bj of B, constant a e E c ^ O in En. Though metanormality is a condition on S( , we characterize it as the full rank of some of the system parameters. We restrict our discussion to (10.83). Lemma 10.1. The system (10.83) is metanormal if and only if eachy = \,...,m rank{Q\j(s),...,Qnj(s),s e[0,t\)} =n where Q/y is as defined in (10.65b). Proof. Assumey'-th co-ordinate gj(t,c) = cTU(t],t)bj=a a a constant on a set of positive measure. Then t -> gj(t, c)-a = M(t) = 0 on a set of positive measure. Since it is piecewise analytic except at the points s = t\, t\ - 2h,...,t\ - ih where / is such that t\ - ih > 0, the function M(t) = 0 on [0, oo). Hence it follows that 0=AMk(t\-ih), = (-\)k cTQ/g(ih)
t]-ih>0 (10.98)
k = 1,2, ..., n i = 0, 1, ... t\ - ih > 0. Hence c is orthogonal to all vectors Qlj(s),...Qnj(s) s e[0,/i J and the assertion rankQ^j = n means that there are n linearly independent columns in the sequence
Optimal Control
135 {Qkj(s),
se[0,ti),
k=\,2,...}.
Suppose this is false. Then there is a c * 0 c = En such that cTQk/{s) = 0, k = \,2,... Since A.\,AQ,A\,
se[0,ti).
(10.99)
B are constant, the function t->gj(t,c)
= cTU(ti,t)bj
is piecewise analytic except at isolated points of [0, t\], which are seen to be t\,t\-
h, t\ - 2h, etc. But gj(t, c) vanishes for t> t\, hence M(t) = gjit, c) -
a s - a for t > t\. It follows that h^k\t\
+ 0 - Mk\t
- 0) - AK% * 0), / e
(0, oo), we deduce that A#)(/i - 0) = gy (t\ - 0, c) = 0, k = 1,2. Because gj(t, c) is piecewise analytic on [0, t\\. M(t) = 0 on [ri - 2h, t\ - h], this contradicts metanormality. To complete the proof it can be shown that rankQoj = n implies rankQ„ = n where Qnj=[Qlj(s),...,Qnj(s)
i6[0,(il.
10.2 Proof of Minimum-Effort Theorems With the six general assumptions I - VI stated, and condition for their validity in terms of the system's coefficients deduced, we are now prepared to state three preliminary results on which the solution of the problem of the minimum effort control strategies are based. Theorem 10.12. In (10.23), let t e [a, t\], and consider W in (10.29) or (10.31). Then there exists an admissible control u e fFsuch that St(u) = )it)=xl(t)-x(t,
a, 4», 0),
(10.100)
if and only if c r J <0<||S*(c r )||,
Vce£\
(10.101)
136
Differential Models and Neutral Systems *
nT
where St is the adjoint of St, a map of E to L. Proof. It is assumed that there is a u e W such that sfcu) = yii). It follows that cTy(t) = cT(St(u)) = S,V(w) < || S*(cT) || || u | | S , V ) ) || . Therefore (10.101) is valid. To prove the converse, we recall that the Euclidean reachable set 4&t) is closed. It is also convex, being a linear image of the convex set W. If there is no u e W such that S((u) = yii), then yif) € 3{(0- Because 4&t) is a closed and convex subset of En, the Separation theorem [60, p. 33] asserts that there is a hyper-plane that separates 4t£t) and yit): This means there exists a c e En, such that cr><0>sup{cr(S,(K)):w eW) = sup{5*(cT)(u):u
eW}.
This invalidates (10.101). The assumption that there exists u e Wha statement on the constrained controllability of (10.101) at some t. The optimal (minimum) time t* for hitting the target is defined as t* = M{t e [a,/! ]:$ (u)=y(t) for some ueW).
(10.102)
The admissible control u* e W that ensures the coincidence St*(u*) = y(t*), is the time-optimal control. For the minimum effort problem, the optimal strategy u* that ensures that Stx (u*)= y(t\), while minimizing E(u(t\)) is the (minimum) optimal control. Inspired by the ideas of Hajek and Krabs [38], we propose the following. Theorem 10.13. In (10.100) assume that point target x\(t) e En is continuous. Then there exists a c e En with ||c|| = 1 such that cTy{t*) = \\S*,(cT)\\,
(10.103)
S*(cT(u*)) = cT(S,*(u*)) = cTy(t*),
(10.104)
so that
Optimal Control
137
where w* is the time-optimal control, and II «* 11 = 1,
(10.105)
if the system is normal. Remark 10.1. Becausex\(t) is continuous, K/)=XI(/)-*(/,CT,*,0)
is continuous. Since the next results link the time-optimal control and the minimum fuel strategy, it is described by Hajek and Krabs [38] in another setting [38] as the Duality Theorem. It is simple and fundamental. Theorem 10.14. Assume null controllability with constraints in (10.16). This is satisfied if (10.34) is uniformly asymptotically stable and (10.16) Euclidean controllable. If/* is the minimum time, then / * = max{/ e(0, /i]such that cTy(t) =\\S*(cT^\ for some czEn: \\c\\ = 1}. (10.106) Proof: Since (10.16) is null controllable with constraints, we set x\(t) = 0 for each non-trivial <> ) eC, )(t)= x\(t)-x(t, a, <J>, 0) becomes XO = - x(t, a, <j>, 0) = y[, V/>a then (IV) is satisfied. Because of Euclidean controllability, assumption (V) is satisfied. Since Theorem 10.13 is valid, the minimum time /* is a point over which the maximum in (10.106) is assumed. Suppose there is / > t* such that cTyi=\\S*(cT)\\ for some c eEn with ||c||=l. Then c r ^^||5*(/)i|<||S'*(c r )||. The first inequality follows from Theorem 10.11, the second from assump tion V. The obvious contradiction proves our assertion. We now designate U to be as in (10.29) or (10.31), and derive from Theorems 10.12-10.14 optimal control for minimizing effort and time.
Differential Models and Neutral Systems
138
Theorem 10.15. In (10.16), assume: (i) (ii) (iii) (iv)
(10.23) is Euclidean controllable. (10.34) is uniformly asymptotically stable. (10.23) is normal. System (10.34) is complete. If U^ = A*>([0, t\lCm), minimum time, and u* is uniquely determined by uj(/,c)
= sgn[c U(n,t)bj(t)},
t* is the
c
(10.107)
1 1 for some c * 0 and eachy = \,...,m. If U„ c L„([a, t\],E ), p > 1, — + - = 1 p
q
such that u e U implies \\u\\p < 1, then the time-optimal controls are uniquely determined by u*(t) =
k\gj(t,c)fPs&>(gj(t,c)),
g(t,c) = ft* I* M
k=
c'U(t*,t)B{t)
c)|9
(10.108) (10.109)
%
{IXC- *
(10.110)
Proof: From Theorem 10.14, if u* is a time-optimal control and /* the minimum time, then S*,(cT)(u*) = cT(St*(u*)) = cTyit*) = | | £ ( c r ) | | . But then u* e Uoo is such that cTyit*) = |c r [/(/*, t)B(t)u*{t)dt = cT Jt/(/*, t)B(t)u*(t)dt
Optimal Control
139 \\\cTU(t*,t)B(t)\\\dt-
This implies that u* is of the form a.e. uj {t)s&[cTU{t*, 06/(0],
o
T
when c U(t*, t)bj(t) * 0, for c * 0 , andy = 1, ..., m, which is true since the system is normal and (10.34) complete. For Up, we obtain from (10.103) in Theorem 10.13 that cT)
= \\\cTU(t*,t)B(t)\\q dt)XI1
1
1
(10.111)
T
where - + - = 1. Since g(t, c) = c' £/(/♦, t)B(t), P <7 cTy(t*)= \Y.gj{.t,c)Uj{t)dt< a J'=l (
i
m
\Y)gj{t,c)uj(t)dt\ a 7=1
> \lq (
)
t* ( m
\ \lq (
I *Z\gj(t,ctf U=i
\ 1/?
dt
cr V / = l
a
m
J
Vv'=l
J ^l\IP
m
^UjWfdt
U=i
J
Differential Models and Neutral Systems
140 (
t*
^'q
n,
YY}zj^c^q
dt
V a 7=1 But then (10.111) is valid, i.e., \*4
T
q
c *n = j£\gj(t,c)\ dt and so we have equality everywhere in the above estimate. The control u* that gives the equality is (by inspection) j l ' 1« Sgn(gy(/,C)), j = 1, ..., i Uj(t) = k\gj(t, Cf" ,m
VA/ where k = !I.\gjO,cyiqds Voy=l
(10.112)
^," . This is the time-optimal control, and as j
observed before, it is uniquely determined when the system is normal. The proof is complete. Proof of Theorem 10.13: Because of the Euclidean controllability and the stability assumption, there is indeed a t\ such that the solution x of (10.23) satisfies %(-,CT,
x(t\,G,if,u) = Q.
We observe that in this case yit) defined in (10.61), y(t) = x\(t) - x(t, a, <j>, 0) = -x(tho,$,0) = yi 5*0 and ^(r1)e4J.(/1). Observe that u* in (10.107) is a boundary control in the sense that if i
z(/l,c)=
ju((i,t)B(t)u*(t,c)dt,
then z(t\, c) is on the boundary of the reachable set <$£t), so that
Optimal Control
141
cTz(t\,c)
m h = £ ]\gj(t, c)\dt = F(c, /l) = | s * ( c r ) | | ,
and cT z(thc)>
JyVy
&QL(.t\),
y±z(thc).
With y(t\ ) = y\ eQL(n), w e c a n extend this to reach the boundary as follows. Let a = max{p: ( 3 ^ ) 6 «{.(/!)}. (10.113) Since y(t\) * 0, a can be assumed to be positive and obviously ay(t\) is a boundary point of 4&t). This means that ay(t\) = z{t\,c) for some c, where cTy{tx)=\=-cTx{tx,a,$,Q).
(10.114)
It is easy to verify that the control jj(/)=«!iL£) a
(10.115)
steers <j) to 0 in time t\ while minimizing E\(u(t\)). Also 1 a
1 = min £I(H(?I)), M(tx)
(10.116)
where a = min{Fi(t,c): ce P= {ce En: cTyx = I}}.
(10.117)
Details of the verification are the same as in the case of ordinary linear differential equations (see Neustadt [38]). We conclude that
142
Differential Models and Neutral Systems
-, x u*(t,c)
u*(t)
(10.118)
is the minimum energy control, where c* e E" is the vector P on which the minimum in (10.117) is attained. Because «*(/) = sgn(g(/, c)), we deduce that g(/)=
'8n^.^)}>
(10.119)
where c* is the minimizing vector (10.117). Normality ensures that u is uniquely determined. If y{t\) = y\ = 0, then the choice u s 0 is appropriate. This completes the proof of Theorem 10.13. Proof of Theorem 10.14: In this case Up in (10.29) is used to define the reachable set i
*(fl)=i \u(n,t)B(t)u(t)df.
u:\\u\\p
which, as we have noted earlier, is closed. Just as in the proof of Theorem 7.5.2, [22] the time-optimal control «*(/, c) in (10.118) is a boundary control that is uniquely defined. Thus if i
z(thc)= ju(tut)B(t)u*(t,c)dt,
z(thc)ed^(ti).
With a as defined in (10.113), it is easy to verify that the minimum effort control is given by -/
_*x
U*(t,C*)
u(t,c*) = — ^ - ^ ,
(10.120)
where 1 a
1 = min£ 2 ("('l)), A/(/,)
(10.121)
Optimal Control
143
and a=
min
ceP={ceEnc'yi
(10.122)
F(t, c), = \}
and ^ ( f j , c) is as given in (10.62): Mq
m M f2(t\,c)
=
X ]\8jif,cf dt
The vector c* is the one that minimizes the function in (10.122). Since «*(/, c*) in (10.120) is given by (10.108), the minimum effort strategy is given by *g/qc*)' ? / p sgn(g / (r,c>*(/,c) «/(',**) = a
(10.123)
where N-l/p
'<* M
k=
c)! 9
Through Theorem 10.13 and the general ideas of Hajek and Krabs [38], we can link up the time-optimal controls and the minimum effort controls. In some situations we see that they are the same. We observe that \\S( (c )|| is given by (10.111) and it is to be minimized in (10.117) and (10.122) over the hyperplane P. We are led to the following definition. For each / e [0,t\] let a = inf{||5*(cr)| \:ceP} where P= {ce En:cTyi
= l}.
(10.124)
Theorem 10.16. Let the prevailing assumptions I-V hold for (10.23). Then for each t e [0,t\], we have that if/* is the minimum time, then
144
Differential Models and Neutral Systems
> 1
^^~~ ' = •
«(0
< 1<-W =
<
(10.125)
/*.
>
Remark 10.2. Note that 1 is the norm bound of the control set W, and t\ is defined in the minimum effort problem in (10.102). Proof. Immediately from (10.124), one has that crH^||$V)ll,
Vce£".
(10.126)
From an elementary approximation theory arguments we can verify that for each / e [0, t\] there exists some c(t) e P such that
HS,V(0)ll = a(0>0,
(10.127)
Also there exists a »/ e I such that <S"/(w;) = y\ and ||«/|| =
. From <x(0
(10.127) we argue that there exists a c(i) e En such that c(0^i = l = ^l|S*(c r (r))||. Invoke Theorems 10.12 and 10.13 to validate (10.125). Theorem 10.17. Let the prevailing assumptions I-VI hold for system (10.23) in which (10.34) is complete. The optimal control u* that steers <j) e C to 0 in minimum time t* while minimizing E(u(t*)) is u* with component «*(0 = sgn[g(f,c*)],
a
(10.128)
where c* is a vector in P that minimizes (10.117), i.e., oc = min F(t*, ceP
and
c*),
(10.129)
Optimal Control
145
F\(t*,c)=Ydj\gj(t,c)[dt,
(10.130)
7 = la g(t,c) = c U(t*, »*j ( 0 = k\gj(t, c)f/p
t)B(t), sgn(g/(r, c*)).
(10.131) (10.132)
Here -\iP in
k =
j*Z\gj(',c*yiq dt
(10.133)
with c* the minimizing vector in a = min F\(t*, c),
(10.134)
ceP
and ft*
\i/g
(10.135)
F(t*,c) = a 7=1
Proof. By assumption, the feasible t\ of (10.24) in the minimum effort problem is the minimum time t*. But then a ( / * ) = i n f {||S,,(c')||} = l , ceP
by (10.115) in Theorem 10.16. Since the minimum fuel controls are the functions
« ' ) - ^ - ( ' . ^
Differential Models and Neutral Systems
146
by (10.118) or (10.120), the corresponding expressions in (10.107) and (10.30) for the time-optimal controls of Theorem 10.10 prove that (10.107) and (10.108) are correct. The following fundamental principle is now obvious. In our dynamics (10.23), the time-optimal control is also the control that minimizes the effort function.
10.3 Optimal Absolute Fuel Function The solutions of the minimum time/minimum fuel problems contained in Theorems 10.6, 10.7, 10.8, and 10.15 depend on the closure of the reachable sets. Since the reachable sets are also convex, optimal controls are boundary controls in the sense that they generate points on the boundary of ^(/]). But if the effort function is defined by E^(u(t\)) in (10.30), as the absolute fuel function '1 m
£3(«('i)) = INIi = J]£l«/(OI
(10.136)
0 j=\
and if W is defined by W = {umeasurable\\u\\\<\},
(10.137)
then the reachable set
*(/l) = j \U(tht)B(t)u(t)dt:u e\v\
(10.138)
is not closed, but open. Since the reachable set is open, its boundary points can only be "reached" by convex combination of delta or Dirac functions, which are impulsive in nature. If we admit such functions as controls in absolute fuel minimization problems, optimal control exist. If we rule them out and
Optimal Control
147
Mf) + A_{i(t -h) = AQX(1) + A]X(t -h) + Bu(t).
(10.139)
Lemma 10.2. Suppose (10.139) is metanormal, i.e., fory = 1,..., m, rank[Qf,...Q^,
s e[0, /,]]=»,
where Qkj is defined in (10.84)
yi = \lJ{t\,t)Bm(t)dt a
(10.140)
is a boundary point. Let c * 0 be an outer normal to (the closure of) 4&t) at y\. With this c, define the index of (10.139) g(/, c) = cTU(t\, t)B. Obviously, «o is a control that maximizes 'l
'i
jg(t, c)u(t)dt < jg(t, c)uo(s)ds whenever 11«| |i < 1. a a
(10.141)
'1
But the mapping M( ) -» $g(t,c)u(t)dt is a linear functional on L\([c,ty]) a
with norm ll£lloo= max
max |g,-(/,c)|.
\£j<,m te[a,t\]
The inequality on (10.141) implies that the value UgJIoo is attained at the element MQ of the unit ball L\. Therefore
148
Differential Models and Neutral Systems
llglloo = jg(f,c)uo(t)dt < )\gj\\uoj\
1
nt
= llgllooll«Olll^ll«lloo.
This shows that we have equality throughout, so that 'l M
JXllslUH^C^IlKOyCOI^O. aj=\
It follows that fllslloo -\gj(t,c)\y\uojit)\
= 0 a.e.foreach j = 1, ...m,
t e [a, q ] .
Because the system is metanormal, \gj\ is constant (= ||g||oo) only on a set of measure zero. Hence, MO = 0 a.e. on [a, t\]. But with wo = 0, our boundary point isjvi = 0. This contradicts the following containment: (l)
«.a('l)c: Atf*p(/i), M l /0X.0C1) =1 ■« I * p .
(10.142)
whenever 0 < a < p < mfi, which is an easy consequence of metanormality and completeness as can be proved by the methods of Hajek [35, p. 432]. Recall that (in Hajek's notation) 'l m
I Nil = \y]\uj(t)\dt, CT
y=l
INloo = max esssup|wy(0|,
Optimal Control
149 i
*a(0 = \u{t\,t)Bu{t)dt: |M]|OO < 1, ||«l||
(10.143)
Thus the reachable set
*.('!)= U"*-« = ju(tht)Bu{t)dt: INIooSl, |Mli0 where — u = v is an open set. a We conclude that if the controls u are measurable with ||w|| < k, then the reachable set is k<Sit\) for k > 0. Since this open, the minimal k can never be attained unless y\ = -x(t\, a, <j>, 0) = 0. Continuing, if g is the index, i.e., g(/) = g(t, c) = cTU(tu t)B, then 'l
cTy\ =cTy(t\)= jgit,c)u(t)dt.
(10.145)
a
The control that realizes a boundary point of 3{(/i) definitely maximizes 'l
'l
\g(s)u(s)< jg{s)u0(s), a
(10.146)
a
whenever ||w||i < 1, i.e., over u e W. We have that '1 m
'1 m
T
c M)= jX«/(0«,-(0<*£ |5j«/ll«/l
max |g/(c,/)| = |gll<x>
(10.147)
150
Differential Models and Neutral Systems
If t* is a minimum time for the time-optimal control problem with u e U, then c r X'*) = ll£(c r )lloo,
(10.148)
where \\sUcT)\\o0=
max max \gj(c,t)\.
(10.149)
\<,j<mo
If equality holds in (10.147) then impulse functions applied at the points where gj is the largest that maximize (10.147). The maximum values in (10.149) occur at multipley and at multiple instances Ty/, / = 1,2, ...Nj, where Nj is taken to be zero if gj does not contain the maximum. Because of these, the time-optimal controls (which are "boundary" controls) are u* NJ * uj {f, c) = Xsgntey(V/ ,c)n<-
m
I Vi) / £ Nj,
\<j<m.
(10.150)
For the minimum-fuel problem we deduce as before that the optimal control is u*(t,c*)^ a
(10.151)
where
- = -J---min£ 3 («(/i)), a
(10.152)
M(/])
and a(/i) = minf(/i,c), ceP F(/,,c)= max
/»= {c eEn: CTyitx) = 1}, sup |^/C>I =11 ^lloo •
(10.153) (10.154)
Optimal Control
151
In (10.151) c* is the minimizing vector in (10.152). The proof is complete. Remark 10.3. If W in (10.137) is replaced by '1
n W = u measurable«(/) e E : \\ Uj(t) \dt<\,
j = 1,..., m
(10.155)
then h m
m
cTy(tO=\j^gj(t,c)uj(t)dt
a
7=1
The maximum in (10.156) occurs as before at multiple instances of time iy, / = 1, ..., Mi, where M, > 1. The maximizing impulsive controls that approximate reachable points on the boundary of R(t) are Mj
»y-(',c)=^-|-sgn(gy(r(/,cMr-r(,-),
i<j<m.
(10.157)
Therefore, with M
F«hc)=Y
mzx \gj(t,c)\,
(10.158)
a(/i) = minF(ri,c)= F(c*), ceP the optimal control that minimizes the absolute fuel is ■»(',c»)
j7(/)="*^), a(/,) ' where c* and a are determined by (10.158). Proof of Theorem 10.11. Recall the following definitions:
(10.159)
152
Differential Models and Neutral Systems i
*.(
«.a = *.('! ) = \u(ti,t)Bu(t)dt:\\u\\co
11M||I < a
(10.160)
(10.161)
where a > 0. These sets are non-void, convex, and symmetric about 0. Clearly 3{.a
y= ju(tht)Bu(t)dt,
MMIOO
<1-
But then '1 m
\\u\\x =
'1 m
\Yt\uj(t\)dt\<\Yd»>h,
a 7=1
a 7=1
this shows that y eQLmt] c gfo. We also observe that 0 < a < P, *.ac*.p,
a'^Dp
The first is obvious from the definition. following containment:
1
^.
(10.162)
The second follows from the
A*.y + ( l - X K 5 c ^ y + ( 1 _ X ) g , for all y, 8 > 0, 0 < A. < 1. If 5 > 0, y = P, and X = cc/p, then the second containment follows. From (10.162) we deduce that <*.a=>(a//n/i)<*.(fi),
0
Optimal Control
153
If (10.139) is controllable, then 9^t[) has a non-void interior, and this forces QLa to have non-void interior for each a > 0. From the usual weak-star compactness argument we can prove that Q(£t\) is compact. Other properties ofQ&t\) are contained in the next lemma. Lemma 10.3. For each 0: x(f\, a,
(10.163)
where
( 10164 )
*«l)=LKa£0
It is clear that there is a sequence of admissible controls «( ), each steering <> j + to 0 at time t\ with ||w||i -> 0 . The usual weak compactness argument pp. 164 and 165 yields an optimal control u with 0 = \\u \\\ = £3(u(/i)) and £3(7i(/1))<£3(U(f1)),
V«.
To see this, interpret admissible controls as points in l2-space, i.e., L2([o, t\),En).
Thus the conditions INIooSi,
||«||,<e+e
determine a convex set that is bounded in L2 norm. It is weakly closed since, if a sequence converges weakly, then a sequence of convex combination converges strongly in L2, and as a result a subsequence converges poinrwise a.e. Thus x(t\, a,
154
Differential Models and Neutral Systems
x(t\, a, <)), 0) e Int G(Q. This implies that for sufficiently small A. - 1 > 0, kx(t\, a, <)>, 0) e 9Q. But if 0 < a < 9, then by what was proved before
«tec(e/a)*fo). Let a = Q/X, then \x(t\,a,$,0)e\9La
x(/i,a,<|>,0)6<*a
even though a < 9 and 9 is minimal. If 9 = 0, 3{.= 0. The proof is complete. The next lemma is the maximum protoprinciple of Hajek, which corresponds to our system (10.4). Lemma 10.4. If <) e C is such that x(t\, a, <}>, 0) e d$Q, and c is an exterior normal to <SQ &tx(t\, a, <> | , 0), and if UQ() is any admissible control steering <> f toO at time t\, then 'i
'i
\git)u(t)dt< \g(t)u0{t)dt, a 0
(10.165)
Vw(-) with |M|OO < 1, ||«||i < a, where g is the index of the control system: g(t) = JU(tUt)B. It is not necessary that |w||l < a. Conversely if c ? 0 and ]|w|oo < 1, ||u||i < a, and x(t\, a, <}>, 0) e d%Q for some <}> e C, at which c is an external normal. Proof. Let <J) € C be point for which x(t\, a, <j), 0) is on the boundary of 3fo with c an external normal. If c i- 0, then this is equivalent to c^y(t\) < cTy(t\, a,
x(tl,c,$,0)=
\g(tu a
and
c)u0(t)dt,
Optimal Control
155 l\
X'l)= jg(t, c)u(t)dt. a
The proof is complete. Corollary 10.1. Assume that the boundary control MQ satisfies ll«olll SoThen each co-ordinate UQJ of MO satisfies gj(t,c)uoj(t)>0a.e
[a,/,].
(10.166)
Proof. Define a control u with co-ordinates Uj =(Sffigj)-\UQj
|.
This control satisfies the assumptions. Since (10.165) is valid, 'I
m
'l
'l
Jgwo = j Xsy'"0 - j s " a
a 7=1
a
'i =
Jl«/I"l"07la
Because of this, '1 m
f£(W/-IS/«0;l)*0, a 7=1
so that gjUQj =
\gjUoj\>Q,
a.e. since the summands are positive. We know from the lemma that optimal controls exist as boundary control of QQ. We obtain more information by applying further extension of Pontryagin's maximum principle reported by Manitius [37, p. 98], Define the Hamiltonian
156
Differential Models and Neutral Systems N
H = y{t) AOx(t) + Y, AJx(t ~hj) + Bu{t) - T] X 7=1
uj
(10.167)
7=1
for some constant r| > 0, where the adjoint equation may be written as N
y(t) - y(t + /0/L, = - y(t)Aox(t) - ^y(t
- hj)AjX(t - h),
7=1
a.e. in [a, n], >) = 0, t>t\.
(10.168)
The optimal control that maximizes H is the u(f), which maximizes the expression M
y{t)Bu{t)-r\
I
(10.169)
7=1
ButXO = cTV{t\, t) is the solution of the adjoint equation [33, pp. 147-149] w i t h ^ i ) = cT. Thus with the index of the control system g(t,c)^y(t)B
= cTU(tut)B,
we desire that u that maximizes M
Y,^j(t,c)uj-r]\uj\)
(10.170)
7=1
overall m-vector u whose co-ordinates satisfy \u/\ < 1. If r\ = 0, then the optimal control would coincide with that for the time-optimal problem and we should therefore have to assume r\ > 0. In this case we maximize each summand in (10.170) separately:
Optimal Control
157 Uj =
Sfflgj(t,c), 0
if I g y (/, C ) I T)<1 otherwise,
(ioi?i)
provides that gj ■£ r\. The co-ordinates of u have values ± 1 and 0 only. As t varies, there is no switch from 1 to - 1 or vice versa. Just as in ordinary differential systems studied by Hajek, optimal controls either always use all the available capacity or are completely dormant. The expression (10.171) uniquely determines optimal controls provided gj ± r\ on set of positive measures, i.e., provided (10.139) is metanormal, which is assumed in the theorem. The expression for optimal control depends on a careful choice of r\. The following construction follows very closely those of Hajek for ordinary linear systems. First, choose any n > 0, such that (10.171) holds and hunt for some u: 11«||oo ^ 1- But h m
m
INIl = { 2 > ; l = 2>eas{b,|>Ti}. We select some suitable r| for which ||u||i = a. Indeed, since (10.139) is metanormal, gj{t, c) is non-constant a.e. and the mapping m(r\): n-> meas{t e [o\/i } \gj(t, c)\ > n.} is continuous, strictly decreasing, 0 < m(r\) < t\. Because 0 < a < mt\, there exists a unique value of n > 0 such that m ^meas{\gj\>r)}=a. 7=1
With this r\ set Ej = {te[a, t\]:\gj(t, c^>^}, so that
Fj = [a,/i ]/£y,
Differential Models and Neutral Systems
158 m
£measEj =a\gj(t,
c)\>r\
onEj,
\ gj(t, c)\>r\
on Fj
With this, define the control «() as follows
ujity
sgngj(t,c),
on Ej ,
0
on Fj.
This u has the following properties: IMhc
for all controls «(•) with N|oo
-s)x(s) = ^0^(0+ )A\(t-s)x(s)+
Bu(t),
can be obtained as in the treatment above. The variation of parameter solution is given by i
x(t,ty,o,u)= g(t)+
$U(t-s)Bu(s)ds,
Optimal Control
159
where g(t) = U(t)[x(0) - g_,(0)] + g_,(/) + Jt/(/ - s)g_x(s)ds. 0
We consider the following problem: Find u (subject to some constraints, i.e., u e W) that minimizes an effort function E(u(t\)) subject to (8.1) in place of (10.139) where xa = <(>, x(t, a, <J>, u) e E". Set Y(t,s)=U(t,s)B(s). The solution of the minimum effort problems for the various efforts are parallel to the investigations above for (10.139) where x{t, a, <(>, 0) = g(t). The controllability, normality, and metanormality criteria can be formulated and proved. Details will be supplied elsewhere. We note that if the optimal control strategy of government is q = - qop, then the optimal strategy of firm is p(i). It is reasonable to assume that government has to decide on a policy before the firm makes a decision, i.e., government chooses q(t) in (1.82) before firms choose pit) in (1.82). The best results are achieved when government and the firm co-operate with a common objective of "full employment" as soon as possible or attainment of some growth target as soon as possible with minimal investment. It is conjectured that the best value of ^o = 0.618. We have seen that the optimal control game is equivalent to the optimal control system. The latter problem is solved by adapting a very recent theory of Angell and Kirsh [4] and Chukwu [22]. It is more appropriate to work in function space. For example in July 1992, China proposed to move the national GNP from current growth trend V (0 = —- t + c to a target growth trend of \\i (t) = — t + c. The initial state and the target are both functions. The following problem is appropriate. Problem 10.1. Minimize t\ subject to the constraints: x(t) - A_\x(t -h) = LXi + Bu(t) on [0, /j]
160
Differential Models and Neutral Systems
=v,-jt(Dy)eC\[-h,0],En),
xh
u(t)eWae
on [0,t\],
(10.172)
where fV = {ueEn:\uj\
j=\,...,m).
Theorem 10.18. [22, p. 468]. Assume that the system x(t)-A_xx{t-h)
= LXt +Bu(t) onfO,/!],
x0=0
(10.173)
with attainable set ji={xtl(u)eC([-h,0],En),
Dx,v
eC\[-h,OlEn):ueU},
where W = {ueLo0([0, h),En):,
ut], eC([-h,0],
En)}
is such that A = f ^ C ( [ - A , 0], En), Dy, ec\[-h,
- ] , En)}.
(This condition implies that (10.173) is a function space controllable with controls in W, i.e., given ^ , f € w^ \[-h, 0],En), there exists a e JFsuch that the solution x of (10.173) satisfies XQ = $,xt] = ij/.) Then there exists a triple (a, v, q): azLoo({0,t\\,En),vsNBV([-h,txlEn) {a, v, q) * (0, 0, 0) such that
and
q*EH,
Optimal Control
161 1
'1
a(t) = - q - a(t + h)A^ - jr\(s)a(s)ds + jr)(s)dv(s -t\), t
(10.174)
t
for all f e [0, t\], and 'i
'i
fat)Bu*Q)dt-
]dv(t - t\)Bu(t)
t
l\-h
'l
'I
3 JO(O0H*(/)4/
\dv(t-t\)Bu*{t)
(10.175)
t\-h
for all M e Uad, where Uad = {ueU:u(t)€W
on [0,/,]}.
Remark 10.5. The theorem asserts that optimal control is «* = v(f), / e [ 0 , n = w(i),
-h],
te[t\ -h,t\],
(10.176)
v(/) = sgn[a(/)S].
(10.177)
where
The control w(l) on [t\ - h, t\] is computed from i(t) - A_xx(t) = LXi +Bu(t) on [<,_/,,/,], xn-h If 5 is invertible, then
= x{t,v),xn
=v
on [/i_fc,fi].
(10.178)
Differential Models and Neutral Systems
162 lr.:
w(t) = B '[v(/)-i<-i\j/(/)-Ii|/]
= B~
^(t)-A_MO- jdwQMQ)- p9Ti(eMe,<(.,v)
(10.179)
t-h
The proof of Theorem 6.1 is contained in [22, p. 469]. The function a is computed from (10.174) by method of steps. The construction of optimal control u on [0, t\ - h] is similar to that in Euclidean space. The delay model is treated in Chukwu [22, Chapter 7]. Example. Let y be national income, R interest rate, D aggregate demand, Ml money supply, S1 = y aggregate supply, C consumption, and / investment. Assume that C = cy I = -aR L(y) = ky
(0
money demand for transaction purposes. Let s= 1 - c . Assuming the market principle dy dt
= k](D -y) = -sy-aR
(Aj = 1, s, d > 0)
^-=k2(L(y)-Ml) dt = ky-M\
(k2 = 1 , A > 0 ) .
Differentiating the first equation and substituting the second into it, we have d y dy ... —i- + s — + aky = aM\. dt dt'
Optimal Control
163
This equation is a very naive and simple description of the "growth" of gross national product. It will illustrate the principle of economic stimulus. Let y(P) = yo,
y(0) = yo,
yo is the initial value and yo is the initial velocity imparted by the external impact of Mj by the central bank. Thus the dynamics of the gross national product GNP, y is given by dly 1
dt
dy
+ s — + aky = aM\, at
y(0) = y0,
y(0) = y0.
(10.180)
Our aim is to damp out the oscillatory behavior of y(t) by using money supply to bring it to rest (0,0) = (y(t*), y(t*)) in minimum time /* or minimizes J->,u(T)
J2u(T)= ji«(0|
where the set of admissible controls is given by W = \u: u(t)e E, ju(t)dt < 1 Assume the solution is such that g(t, c) = De^' sin(P/ + 5) where
D
c\
I P
a + c2 -
P
(10.181)
164
Differential Models and Neutral Systems
- q x C20.
F(c*,T)=
•^min
o?P
l
8= tan
max 0
g{c,T)
=minF(c,r). ceP
The maximum occurs at 11
x
—- 71 - 8 T = '
2 P
(approximately) (see Redmond and Silverberg [61]) F(c, T) = DeaT I sin(pt + q) \ F(c, T) is minimized over H by letting C2 = 0 so J_ •^min
_ ! _ ax VTOC
0 e
,
in which 1 = — . Optimal strategy is u*(t) = fix^e"0* sgn(sinpx)8(/ - T). Figures 5.1A-5.1D allow the following observation to be made. Impulse control-or money supply economic stimulus allows for a period of free oscillation during which the natural damping present in the system removes energy from the system. Then at last instant, when the growth is identically zero, an impulse of magnitude equal to the system's momentum is applied. This instantaneous change in velocity abruptly transfers the system to the origin at time r. The timing of the stimulus is extremely important. The stimulus is applied when the potential energy is minimum and the kinetic energy is a local maximum. This observation is of importance in the development of optimal control laws of a full-blown economic system. If the cumulative money supply in propulsive (stimulative) system is defined by
Optimal Control
165 T 0
where u(t) = Ml(t) represents the Central Bank thrust and Isp the specific impulsive. This can be set to 1. There is a large saving in the use of money as a control (and therefore of inflation) if money stimuli (impulse controls) are used. It is illustrated in Table 5.1. Remark 10.6. We recall that the control u in our analysis belongs to W, the Pontryagin difference of sets. Thus define absolute economic fuel T fuel = Eu = \\u(t)\ dt. 0 Absolute economic private fuel, T E(p)=\\p{t)\dt 0 and absolute economic solidarity or government fuel to be T £(<7)= |k(0l<* • 0
This remark on when to apply economic stimulus (impulsive control) is now clear. The U.S.A. situation in 1990 is displayed on the next page. / economic private fuel = private fuel = E(u)=
11 p(t )\ dt, 0
and economic solidarity or government fuel
166
Differential Models and Neutral Systems
Optimal Control
167
£() = \\q(t)\dt, 0 Pontryagin economic fuel 'l
Fu(tx)=\\u(0\dt
ueP*Q.
0
The following optimization problem which is a consequence of Theorem 10.12 may have a solution which throws some light on how efficient and effective economic policies are. It can also be used to compare different administrations and their policies. Optimization problem. Let (yo, RQ, LQ, KQ, PQ, EQ) = XQ be the optimal (ideal) economic path and
% = Flo* So, eo> xo, ^o. M\o> ^io> /]>
the optimal government and private policies. Our aim is to minimize 2: u*P!Q ]{\AO-yo]l + (*(')-«o(0)L+W/)-eo(0)L +(*(/)-*o(0) p
y
L
+ ( £ ( 0 - EoO))lE + («(')- " o ( ' ) ) V ,
where ueW = {u:u + Qci P} = P1Q subject to
dt
x(t)-
\A-i(t-s)x(s)ds = AQX(() + X JAi (/ - s)x(s) - u(t)
Differential Models and Neutral Systems
168
when QczInt(P + terU(t\-t)) and U is the fundamental matrix. When the system is linear without delay, x(t) = A0x(t) + Bu(t) and the controls are u=a +g g = g(G, T, m, e) a = o(ZQJ, T 0 ),
Gandolfo and Petit presented a solution with Italian data. This can be tested using least square optimization MATLAB technique [64]. We now describe some result from the Italian solution. We want to see whedier the old government policy and the firms reaction could have been improved upon to yield better outcomes. Gandolfo and Petit performed some control exercises to evaluate the dynamic properties of their model and to analyze the optimal policy responses to different targets and different instruments. They consider the rate of inflation, the rate of growth output and the rate of growth of international reserves. The ideal target is EEC average rate of inflation, EEC average rate of growth output and EEC average rate of growth of reserves. Gandolfo and Petit choose public expenditure, g, taxes, T; and money supply, M; as control instruments. They discover that the "best" set of tools is (G, m). See the table. The three targets (higher output growth, lower inflation and slightly growing reserve) are met entirely through optimal control policies. It seems therefore that the poor behavior of the Italian economy as described by the solution of the model (base run) in that period, could have been improved upon by adequate policies. They write: "Our optimal control exercises show in fact that with an adequate (optimal) policy mix, the rate of inflation could have been lowered to a yearly average rate of 8.4%, while the growth output could have been pushed up to 8%, at the same time, reserves would have been growing at more than 22% per "annum". This conclusion is consistent with other researchers, (Perkins [1985]). Despite this conclusion Gandolfo and Petit also do not believe that policy makers should determine economic
Optimal Control
169
policy on the basis of optimal control results only. But the experiments do test the effectiveness of different optimal policies. See Figures 1-11.
Figure 1: Output
Figure 4: Public expenditure
-0.100
Figure 2: Price level
Figure 5: Rate of Growth of Money Supply
10 60
Figure 3: Reserves
Figure 6: Output
170
Differential Models and Neutral Systems
-0.076
Figure 10: Rate of growth of money supply
H7
Figure 7: Price level 10.76
Figure 11: Exchange rate
Figure 8: Reserves
Note: The symbols with star indicate the optimal trajectories. The non-starred symbols indicate the base run. Figure 9: Public expenditure
We consider another example - the Rigid Body Maneuver. mx(t) = u(t). F(c, T) = sup 0<7"
Xntn
m
Optimal Control
171
= nun sup •^min
XQ/M
c2 Oit
m
Considering all three possible ranges of argument (positive, negative, and sign change) the minimum is attained at
2x M
/jmin
0
This minimum occurs both at x i = 0, and 12 = T. From (10.181) with m = 2, the open-loop optimal control law is XnM
«*(/) = - ^ r sgn(f2 - am
+ Ht - T)}.
This control consists of one initial impulse to impart a velocity to the system. Then the system drifts until the desired time T, when a final impulse is applied to terminate the motion at rest. See Figures 5.1 A, 5.IB, 5.1 C, and 5.1D. Redmond and Silverberg have determined that if fuel consumption in propulsive systems is defined by
Fu=-^ sp
T \\u(t)\dt,
o
where u(t) represents the thrust and Isp the specific impulsive, which is set to 1, there are large savings in fuel if impulsive controls are used. The result is illustrated in the table below. Continuous controls are those of Theorem 5.4.1; bang-bang controls represent Theorem 5.2.1 in [22]. Table 5.1: Fuel consumption Bang-bang Oscillator 1.168 Maneuver 4.0
Continuous 0.921 3.0
Impulse 0.595 2.0
172
Differential Models and Neutral Systems I 1t
I
"I
1
1
1
—
* - t
-* W)
A
7 !I -0.2
20
1
L
0
0.2
25
1 .... 1 0.4
Q&
1 OJ
L_ 1
U
OJ
1
U
Tim*
Figure 12c Figure 12a
-15
-1
-0.5
0 X{t)
Figure 12b
5
1
li
-02
0
0.2
0.4 0.S X(t)
Figure 12d
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Optimal
Control
173
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Differential Models and Neutral Systems
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Optimal Control
175
39. O. Hajek, "Geometric Theory of Time Optimal Control," SIAM J. Control 9 (1971), pp. 338-350. 40. N. Kaldor, "Capital Accumulation and Economic growth," in The Theory of Capital (F. A. Lutz, Eds.) St. Martin's Press, New York, (1961) pp. 177-222. 41. M. Kaleki, "A Macrodynamic Theory of Business Cycle," Econmetrica, 3 (1935), pp. 327-344. 42. L. V. Kantorovich and G. P. Akilov, Functional Analysis in Normed Spaces, Macmillan Company, New York (1972). 43. B. S. Lalli and B. G. Zhang, "Oscillation and No-Oscillation of Some Neutral Differential Equations of Odd Order," Internal J. Math. Sci. 15 pp. 509-515. 44. A. Manitius, "Optimal Control of Hereditary Systems," in Control Theory and Topic in Functional Analysis, Vol. Ill, International Center for Theoretical Physics Trieste International Atomic Energy Agency, Vienna (1976). 45. A. Manitius and H. Tran, "Numerical Simulation of a Nonlinear Feedback Controller for a Wind Tunnel Model Involving a Time Delay," Optimal Control Applications and Methods 7 (1986), pp. 19-36. 46. E. J. McShane and R. B. Warfield, "On Filippov's Implicit Function Lemma," Proc. Amer. Math. Soc. 18 (1967), pp. 41-47. 47. M. McElory, The Macroeconomy: Private Actions, Public Choices and Aggregate Outcomes, Prentice Hall, Upper Saddle River, NJ, 07458, 1996. 48. A. W. Mullineux, The Business Cycle After Keynes: A Contemporary Analysis, Barnes and Noble Books, New Jersey, 1984. 49. S. Nakagiri, "On the Fundamental Solution of Delay-Differential Equations in Banach Spaces," J. of Differential Equations 41 (1981), pp. 349-368. 50. L. W. Neustadt, Minimum Effort Control Systems," SIAM J. Control 1 (1962), pp. 16-31. 50a. W. Rudin, Real and Complex Analysis, McGraw-Hill, New York (1974). 51. D. Salamon, Control and Observation of Neutral Systems, Pitman Advanced Publishing Program, Boston (1984). 52. P. A. Samuelson, "A Universal Cycle?" Oper. Res. Verfahren 3 (1967) 307-320. 53. H. J. Sussman, "Small-Time Local Controllability and Continuity of the Optimal Time Function of linear Systems," J. Optim. Theory Appl. 53 (1987), pp. 281-296. 54. G. Tadmor, "Functional Differential Equations of Retarded and Neutral Type: Analytic Solutions and Piecewise Continuous Controls," J. Differential Equations, 51(1984), pp. 151 -181. 55. A. E. Taylor and W. R. Mann, Advanced Calculus, 2nd edition, John Wiley and Sons, Inc., New York.
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56. C. Ukwu, Euclidean Controllability and Core of Euclidean Targets for Differential Systems, Msc. Thesis 1992, Department of Mathematics, NCSU, Raleigh, NC 27695-8205. 57. Lu Wudu, "The Asymptotic and Oscillatory Behaviour of the Solutions of Higher Order Neutral Equations, J. Math. Anal. Appl. 148 (1990), pp. 378-389. 58. D. S. Yeung, "Synthesis of Time-Optimal Control," Case Western Reserve University, Ph.D. Thesis (1974). 59. D. S. Yeung, "Time-Optimal Feedback Control," J. Optim. Theory Appl. 21 (1977), pp. 71-82. 60. H. Hermes and J. P. LaSalle, Functional Analysis and Time Optimal Control, Academic Press, 1969. 61. J. Redmond and L. Silverberg, "Fuel Consumption in Optimal Control," AIAA J. of Guidance and Control Dynamics. 62. Pierre N. V. Tu, Dynamical Systems, Springer-Verlag, 1994. 63. R. Goldberg, Methods of Real Analysis, Blaisdell Publishing Co., New York, Nov. 1963. 64. Andrew Grace, Optimization Toolbox for Use with Matlab, The Math Works, Inc., 1992. 65. G. Gandolfo and M. L. Petit, "Optimization in Continuous Time and Policy Design in Italian Economy," Annales D'Economie et DE Stalistique NO 6/7-1987, pp. 311-333. 66. W. H. Kwon, A. Kim and Co., Time-Delay Systems Toolbox for Use with MATLAB Users Guide, Engineering Research Center for Advanced Control and Instrumentation, Seoul National University, Seoul, Korea, January 1999.
11.
Nonlinear Neutral Systems
11.1 Introduction This chapter introduces the problem of reaching a continuously moving target z by a trajectory of the control system described by the nonlinear functional differential equations of neutral type, Jt[D(t)xt] = f{t,x„u(t)),
in minimum time. The state space is either E", the Euclidean ^-dimensional vector space; the space C = C([-h, 0], En) of continuous functions from [-h, 0] into E" with the sup norm, or the Sobolev space W^> = W^\[-h, 0], E") of functions [-h, 0] -> En whose derivatives are Lp integrable.
The
m
admissible controls are measurable functions u:[t, <x>] -» E whose values u(t) e U, form a compact convex set. The existence theory in C is established in 11.3; the corresponding constrained controllability questions are answered in Chapter 12. The necessary condition for time-optimal control, the maximum principle, is stated in 11.4. It is very desirable for nations to have a high level of growing gross national product, low interest rate, very low unemployment, or full employment, good value of capital stock, low inflation and low cumulative balance of payment. The problem of immense practical importance is to determine whether the economic state can be driven to this state of "paradise" using the private firms control instruments and government controls. In our dynamics government intervenes, the firms react and the resultant control u is the control in our nonlinear systems. One is interested 177
Differential Models and Neutral Systems
178
in driving fluctuations of economic state to the state of 'paradise' as articulated by the country as rapidly as possible. This is the time-optimal problem. It is old, very important, and continues to be interesting even for linear ordinary differential systems (see [22]). Our aim here is to present a comprehensive theory that will be needed for the construction of an optimal feedback control similar to the development in [23]. We consider the problem of reaching, in minimum time, a continuously moving target z/, in function space, by a trajectory of the control system described by the nonlinear functional differential equation of neutral type, ^([D(t)xt} = At,x„u(t)\
t>0,
(11.1)
In (11.1), D is a continuous function D():[x, oo) x C -> E" given as D(t)xt=x«)-g(t,xt),
(11.2)
and f.[x, oo) x C x Em -» En is a continuous function. Here x is a real number. The target z may be taken as a point of En, or of C or of wy \ 1 < p < oo, where Wr-*' is the Sobolev space of all absolutely continuous functions dx x:[-h, 0] -> E" whose derivative x(t) = — belongs to the/?-integrable space Lp([-h, 0], En). The admissible controls are measurable functions u:[x, oo] -> E" with w(0 e U(t, x{), where U:[x, oo) x C -> 2E" is a set-valued map that is nonempty and compact. We can also consider the set of admissible controls that is a closed and bounded subset of Lp([a, oo), En) with zero in its interior, when the state space is WT '. The time-optimal problem is to determine an admissible control u* such that the solution x(v, q>, u*) of (11.1) hits a continuously moving target z (in the appropriate space) in minimum time /* > a. Such a control is called time-optimal, and /* is the optimal time. This problem can be divided into three parts: (i)
Does there exist an admissible control u such that
Nonlinear Neutral Systems
179
xT(a, cp, u) = zT ;
for some x?
(11.3)
This is the problem of controllability. With the optimal time TO defined by T 0 =inf{x:x such that (11.3) holds}, (ii)
(11.4)
does there exist an optimal control u such that XT0(CT,(P,M) = Z T ( ) .
(U.5)
Finally: (iii) what are the form, uniqueness, and general properties of the opti mal control if it exists. Part three of the problem is inferred from the necessary condition for an optimal control, the so-called maximum principle. Though a very large body of research is available on the control of neutral systems, most are concerned with optimal control of systems with quadratic cost functions, [1-2]. The time-optimal problem was implicitly touched upon in [1], as a consequence of a result on minimizing a general cost function. Here a necessary condition was formulated. For linear systems with unrestrained controls, controllability questions were investigated by Gabasov and Kirillova [3], Rodas and Langenhop [4], and Salamon [5] and more recently in [7] for linear systems. The present treatment gives a comprehensive theory for the nonlinear system (11.1). In Section 11.2, we establish the existence and uniqueness and some regularity properties of solutions of the differential equations (11.1). We introduce some conditions that will prevent finite escape times of trajectories. This will enable us to restrict our attention to a closed and bounded set of the (f, ;t/)-space. If x(t, a, u) is a solution of (11.1) and ^lAv>") i s the Frechet derivative o f / o n E x C x Em with respect to rth variable, then the linear approximation of (11.1) about x{t, a, w) is Jt[D(t)yt]=L(t,y!)
+
B{tHt),
(11.6)
180
Differential Models and Neutral Systems
where L(t, yt) = D2f(t, xt, u)yt, B(() = 1^/(1, x„u). Some of the properties of the solution map of 11.6 is outlined in 11.2. In Section 11.3, we prove the closure of the attainable sets of (11.1). Under the constrained controllability assumption, we prove the existence of a time-optimal control. Sufficient condition for controllability of (11.1) is discussed in Chapter 12. For completeness we include the necessary condition of an optimal control, a maximum principle in Section 11.4. There the theory is applied to linear systems.
11.2 Existence, Uniqueness, and Continuity of Solutions of Neutral Systems In (11.2), assume that g{t, ■) is a bounded linear operator from C into En for each / e (x, oo), g(t, cp) is continuous for (t,
I g(t, cp) | <; k(t) ||q>||,
(11.7)
for some non-negative function k e C((x, °o),is), and \i(t, •) is an n x n matrix function of bounded variation on [-h, 0]. We assume that g is uniformly nonatomic at zero; that is, there exists a continuous, non-negative, nondecreasing function L(s) for 5 e [0, h] such that L(0) = 0,
for all t e
(T, OO),
J [ ^ ( r , e)](p(6)
(11.8)
We require that D in (11.2) be uniformly stable in the following sense: Definition 11.1: The operator D is uniformly stable if there are constants, a, P > 0 such that for every a e [a, oo),
Nonlinear Neutral Systems
181
homogeneous difference equation D(t)xt=0
t>a, (11.9)
%=cp,
£>(a) = 0 ,
satisfies ||x,(a,
'>0.
(11.10)
In (11.1) we assume that /:[T,oo)xCx£ m ->£" is continuously differentiable and is C 1 . We now establish the existence of a solution of (11.1) for each initial data (a, (p) e E x C([-h, 0], O), where O c £ " is an open convex set containing the origin, and where / : E x C([- A, 0], O) x £ m -> £",
g: E x C([- /i, 0], 0} -> £" ,
are continuous and g satisfies (11.7) and (11.8). The existence result of Cruz and Hale [8] does not quite cover the situation here. One can use the ideas of Melvin [9] to prove existence and uniqueness with initial data (a, cp) e Ex W^\ and this is done by Chukwu and Simpson [24]. Theorem 11.1 Suppose in (11.1), (i) /L;;-):E x C([-h, 0], 0)xEm-+ (ii)
En is continuously differentiable.
For each compact convex set K c O there exists an integrable function M\ :E -» [0, °o) and integrable functions M\:E -» [0, oo), i = 2, 3, such that II D2f(t, cp, w) || < Mx{t) + M2(t) || w ||,
|| D^f{t, cp, w) || < M 3 (0 (11.11)
182
Differential Models and Neutral Systems
for all /, w, and q> C([-h, 0], K) where D,/(-, •, •) is the Freshet de rivative of/with respect to the /7-h variable. (iii) / ( / , 0 , 0 ) = 0,
V/.
(iv) If L(t, •) = D2f(t, 0, 0), 5(0 = D?f(t, 0, 0) where 0
Z(/,cp)= \[dQr\(t, e)]cp(9),
|/;(/,q>)l = M(OII
(H.12)
-h (t, cp) e (x, 00) x C
for some M e LJ 0C ((T, 00), £), and some n x n matrix r|(x, 6) of bounded variation in 6 e [-//, 0]. (v)
The function g in (11.2) and (11.7) satisfies (11.7) and (11.8). Then there exists an open neighborhood OQ, of the origin in C, and an open neighborhood OJJ of the origin in Z,oo([o% 00), Em) such that for each ( p e O f and each u e OJJ, (11.1.1) has a unique solution that is continuously differentiable.
Proof: Let Cf = Cji[a-h, T], En), and define the function G:E by f0,
if Q -h
[gti, xt)-g{o,y),
if a
G{x){t)=\
Define H.CT*
XCT^CT
(11.13)
Ioo([a, T], Em) -> Cfby 0,
H(x,u)(t) = \'e jf(s, xs> y(s))ds,
if a - h < t < a, (11.14) if
a<(
183
Nonlinear Neutral Systems
Finally, define r.Cf-> Cj f(p(/-a),
if a -h
M0 = '
[(p(0),
if
a
Written in integral form, Eq. (11.1) is equivalent to xa
(11.16)
=*[-h,0],
x(t) = g(t,x,)- g(a, (p) +
t2c.
Using this fact and the operators G, H, and /, we see that x satisfies (11.1) if and only if (11.17)
x = Gx + H(x, u) + Iy
for x e CjIt is easy to see that (11.16) is well defined, since/-,-,) is assumed to be continuous and by the mean value theorem (we use the convexity of K), || /(/, q>, w) || < | /(/, 0,0) | £"+W1(0l|q»|| + A/3(0l|w||,
(11.18)
for all / € [a, t\], (p e C([-h, 0], K), w e LooNote condition (ii). We need two lemmas. Lemma 11.1 Let H:C([o-h, T], 0) x L w -> Cj be as defined in (11.14), G be as defined in (11.13). Then H is continuously differentiable and 0, ( A t f (0, 0)x)(0 = o JD2/(5, 0, 0)xsds,
a - h
Differential Models and Neutral Systems
184
CT-h
0,
(£»3//(0,0)«XO =
(11.20) \D2f{s, 0, 0)xsds,
a
for all x<=CT,u<= ^([a, T\,Em), t e [a-h, T\. G is also continuously differential and for any x e Cj([a-h, t\], En), (DGx)x = Gx.
(11.21)
Proof: By [12, p. 177],
{L^Hix, u)x){t) = \D2f(s,
xs, U(s))xsds,
(11.22)
a t
(D2H(x, «)w)(0 = JDsfis,, xs, u(s))u(s)ds,
(11.23)
where t e [a-h, T\, x e C([a-h, T],0)xeCr= C([o-h, 7], En), u, u e £»([<*, 7], Em). The results follow quickly from these. Also, because of the linearity of g(t, 9) in (11.7), (11.21) follows at once. Lemma 11.2. Define K: C([CT - h, T], En) -► C([o - h, T], En) by Kx = DG(0)x+DlH(0,0)x.
(11.24)
Then (1 - K)'^ exists as a bounded linear map. Let q be any function in C([x, 00), En). Consider
Nonlinear Neutral Systems
185
Jt WO - gff, xt) - q(t)] = Dif{t, 0, 0)x, where *a=(P = <7oo-
(11.25)
4 [£>(')*,-<7(')1 = £(',*,)•
(11.26)
This is the same as
at
By assumptions (iv) and (v) and Theorem 2.1 of Hale and Cruz [10, p. 333], there exists a function x(a, (p, q)(t) with initial value (p at a uniquely defined and continuous on [a-h, oo) and satisfying (11.6). Furthermore, for any fixed a and / < a, x(a, •, 0X0 is a continuous linear operator from C into £". The integrated form of (11.26) is
x(t) = g(t,xt)-
g((J,(p) + q(t) + cp(0) + J i ( s , X S ) A . a
But this is *(/) = DG(0)x(t) +
186
Differential Models and Neutral Systems
that its solution £(cp, u) e Cj is necessarily unique for any pair of cp, w such that the solution exists. Define M(x, u,
Cj([o,h,T\,En)xLn([o,T},Em) such that M(£(cp, u), u, (p) = 0 for all (cp, u) e N. Furthermore, x = £,(cp, u) satisfies (11.17) or (11.1). We now choose 0QT ,Oy so that OQ * Oy czN to complete the proof. It is clear from Theorem 11.1 that the solution x(a, cp, u) of (11.1) is continuously differentiable for each (a, cp) e E x C and each u s Zoo([cr, 00), Em). Corresponding to the point (/, a, 9, u) e E x E x C x Lao, the mapping x:E xExCxL^-^C defined by x(a, cp, «)(/) = xfa, (p) represents a point in C. We now give some very useful properties of this mapping. Lemma 11.3. Let (/, a, q>, u) e E x E x C x L^. Assume all the conditions of Theorem 11.1. Let Dx(t, a, cp, u) denote the partial derivative of x(t, a,
Nonlinear Neutral Systems
187
d - [D(t)yt] = D2f(l, xt(o, cp,«), u(t))yt + D}f(t, x,(o, cp, u), w)v) at
*,=¥•
(11.27)
Also for v G Z,oo([cr, oo), Em) we have D^x{t, a, (p, «XV) = X'.CT>9' "> v ) where the mapping / -> >>(/, a, cp, M, V) of E into £M is the unique solution of (11.27) satisfying ya(o, cp, w, v) = 0. Proof: For each (a, ( ( i ) e £ x C , the unique solution of (11.1) with initial data (a, cp) is given in (11.16) by xa = cp in [- h, 0], x(a, cp, w)(0 = x(/, a, cp, M) = g(t, x, (a, cp, u)) - g(a, cp) + cp(0)
+ jf(s,xs(a,
t>a.
Let £>4Jt(/, a,
D4x(/, a, cp, w) = JZ^/O. *5(a, cp, u)), u(s)Duxs(a, cp, w)
+ JD3/(s,xs(a,
+ £>2g('> *f(o\cp, "))"^J (°> 'P' ")• Thus, by the same reasoning in (11.21), we have dx, ( dx, Dig{t, x,iq, cp, «)—*- (a,cp, u) = gl / — (a, cp, u)
188
Differential Models and Neutral Systems
Thus, D4x(t, a, cp, u) - D2g\ t, xt(p,
t CT
= p V C * . **,(<*>
On differentiating with respect to /, d — [Dux(t, a, (p, u)v - Digit, xt(o,
f
^ic
+ / + Difis, xs (a, cp, w), u(s)) —^ (a, cp,«) ds J da* d
189
Nonlinear Neutral Systems
D4jc(r, CT, cp, u) = jD2/(s, XS(O, cp, u), u(s))Duxs{a, cp, u)ds
+ Jz>3/(s, xs,(c, cp, u), u(s))ds + g(/, D u x,(o, ip,«)).
Thus £>jr(f, CT,
1
V I " «(<"»») Djf C ■••)
' dx + y + JD2f{s, xs(o, cp,«), u(s)) —*- (a, cp, u)yds
+ JDif(s, x,(a, (p, «), if(5))Duxf(<J, cp, u)vds
+
[DIAS,
xs(a, cp, u), u(s))vds + g(t, Duxt(a, cp, u)v)
o
Now take the t derivative to obtain
dt
dx(t,a, cp, «X
We have used the linearity of g. Note that
Ip + D u X.s(0, Cp, u)v
190
Differential Models and Neutral Systems Dx a (a,
This concludes the proof. We require conditions that will prevent finite escape times of trajectories of (11.1). It is given in the next lemma. Lemma 11.4. In (11.1), assume: (i)
D is uniformly stable.
(ii) (D(t)xt,Mxt,u))
(11.28)
for some constant k > 0, for all / >CT,x,eC, u{t)e U(t, x,). Then there exist an M> 0 and anN> 0 such that every solution x(a, cp, u) of (11.1) satisfies \\xt(<3,iv,u)\\<MeN(t-°\ so that in any compact interval [CT, T], ||jf/(a,(p,«)||sA/eJV<'-a).
Proof: Let x be a solution of (11.1). Let V{x(t)) = (Dx,,Dxt) = \Dxt\2. Then y V(x{Q) = 2(Dxt,f(t, x„ «(/))) <2K(1 +1 Dx, | 2 ) , at by condition (ii). Thus ^\Dxt\2<2K{\+\Dxt\2). at It follows that
Nonlinear Neutral Systems
191
| Dxt | 2 < (1 + | Dtp|2)exp 2kt = g(t). Since D is uniformly stable [13, Lemma 3.4], there exist some constants a, b, c, d such that | x , ( a , ( p , u ) | | < e ' -a(T-cr) A||cp|| + c sup \g(u) + d sup a
\g(u)\.
Since g(t) = (1 + |D(p|2)exp 2ki, we obtain || xt(a, (p, K)|| < e'a{'~a)[b\\
3rt? ao , we have \\xt(a,ip,u)\\<MeNl.
Remark: Once a value T > a is chosen T < co, then x(a, cp, M) is bounded. We work in the region that is a closed and bounded subset of E x C([-h, 0],
NT-,
M = {(/,x / ):o
(11.29)
Remark 11.1: If q>, the initial point, lies on a certain compact initial subset of C and u(t) e U(t, xf), then the bound MeN^\s independent of the controls. In the region M, when this uniform bound is in force, we shall examine the behavior of the attainable set Ji of (11.1). This is done in the next section.
Differential Models and Neutral Systems
192
11.3 Existence of Optimal Controls of Neutral Systems Let M be the closed and bounded subset of E x C that was introduced in (11.29). In order to study the existence of a time-optimal control of -[Dit)x,} = f(t, x„ «(/)), xa=y,(t,x,)eM
t>c,
,
we introduce the associated contingent equation,
{im>,UF«,*,).
(1]3])
xa=(f>,(t,x,)eM , where the set-valued map
F:ExC-^2t is given by F(t,
U:ExC^2L is said to be upper semicontinuous with respect to inclusion in t, cp if for any e > 0 there is a 8 > 0 such that
Nonlinear Neutral Systems
193
£/(/],
Dx( is absolutely continuous and has a continuous derivative on [o\7],
(ii)
(11.32)
—(Dxt) satisfies Eq. (11.31), dt (iii) xa = cp, (/, xt) G M.
Clearly, any solution of (11.31) gives rise to a solution of the orientor problem (11.32). By standard measurable selection arguments of [14], we know that every solution of the relation (11.32) can be viewed as a trajectory of the control system (11.31). It is summarized in the next lemma. Lemma 11.5: Let F(t, cp) be convex for each (/, q>) G M. Then a function x G C([a-h, 7], En) is a solution of (11.32) if and only if x is a solution of (11.31) for some admissible control u, «(/) e U(t, xt). Definition 11.4: The attainable set JUJ) of (11.31) at time / > a is a subset of C = C([-h, 0], E") defined by Ji{t) = {x, €C ,x is a solution of (11.31) for some u(t) <=U(t,xt),{t,xt)eM). By Lemma 11.5, this is the same as: A(0 = {x, e C, x is a solution of (11.3.2), i.e., — dt xo=
[D(t)xt]sF(t,xt),
(t,xt)eM).
We assume the conditions of Theorem 11.1, which ensure the existence and uniqueness of solutions. Subject to these conditions, Ji(t) is nonempty. We now prove that the attainable set is closed as well.
/ 94
Differential Models and Neutral Systems
Theorem 11.2. In (11.31) assume that: (i) f.E x C([-h, 0], En) x Em) -> En is continuously differentiable. (ii) D is uniformly stable and satisfies (11.7) and (11.8). (iii) For any measurable yif) satisfying y(t) e F(t, X(), we have \y(t)\ < m(l\ a.e., m e L\([o, T\, E). (iv) F(t, (p) is compact and convex for each /, (p. (v) U(t, q>) is upper semicontinuous with respect to inclusion. Then the attainable seM(f) of (11.31) is closed. Proof: To prove the closure of the attainable set, let x" e Mt) n = 1, 2, ... . Let x" -> X( as n -> oo. We prove JC/ e Ji(t). Since x" e j?(/) for each n, ^-[D(t)x?]eF(t,x?), at
tel.
By condition (iii),
\l,^
<m(t),
where m e L\(I, E). From the above inequality, we deduce that / / | D(t, x?) - D(a, cp) | < jm(s)ds, | D(t, x?) - D{t)x? | < jm(s)ds, 0 / so that [D(s,x")ds->0,
/-»<»,
uniformly with respect to n for each decreasing sequence {£/}, £/ c / with void intersection. Therefore, by [15, p. 292] there is a sequence (we retain
Nonlinear Neutral
Systems
195
the same notation) weakly convergent in L\(I, E") to a function ^ e L\(I, En)). Then for each t e I, t t D(t)xt = lim [£>(/)*"] = "m 0(a>p+ \D(s)(x?)ds = D(a>p+ fe(.s)
/i->oo
J
J
CT
O
It now follows from p. 422 of [15] that there is a sequence {^} of convex combinations of the functions {D(t,xf)D(t,xf+')...}
converging in L\(I,
n
E ) norm to £. From this sequence (£jfc) select a subsequence that converges to £ a.e. Thus, almost everywhere on / 00
£(0ef)co *=1
\
00
sflco
\jb{t)x? \n=k
J
*=1
f l F ^ x " ) cF{t,xt), \n=k
(11.33)
J
where co(M) is the closed convex hull of M e E". Hence
Hence J?(/) is closed, since also (/, */) e M from the closure of M. This concludes the proof. Note that we have used the upper semicontinuity of F in (11.33). The so-called property Q of Cesari, a much milder condition, could have replaced upper semicontinuity [see 16, p. 7]. Condition (iv) could be replaced by the closure and convexity of F{t, (p). The existence of an optimal control for (11.31) requires a controllability assumption. This concept is defined as follows: Definition 11.5: Let zt e C([-h, 0], En) = C be a target point function that is time varying. Suppose z-p e MX) for some T > o\ then the system is controllable to the target. Thus for each y e C there exists a ! > o and an admissible control u{t) e U(t,xt), t e [a, T], such that the solution of (11.31) satisfies xda, (p, u) = (p, xj(o, cp, u) = zj. In this case we also say that system (11.31) is function space z-controllable with constraints.
196
Differential Models and Neutral Systems
Definition 11.6: System (11.31) is null controllable with constraints if for each (p G C, there exists a t\ < <x> an admissible control u(t) G U(t, xt), t G [cr, t\ ] such that the solution of (11.31) satisfies %(CJ, cp, u) = cp,
xtx (a, (p,u) = 0 .
The main result of this section is now stated. Theorem 11.3. In (11.31), assume that: (i) f.E x C([-h, 0], E")xEm^> E" is continuously differentiate. (ii) D is uniformly stable and satisfies (11.7) and (11.8). (iii) For each measurable yif) satisfying y(f) G F(t, xt), we have \y(t)\ < m(f) a.e, m G L\([a, 7], E\. (iv) F(t, cp) is closed and convex for each /, cp. (v) U(t, cp) is upper semicontinuous with respect to inclusion. (vi) System (11.31) is function space z-controllable with constraints. Then there exists time-optimal control for (11.31). Proof: By assumption, there exists some t\ < 7/such that z,x
=xheA(tx)
where Mt\) is the attainable set of (11.31) at time t\. Let t* = inf{t:zt<=A(t)}. It follows thatCT< t* < t\ < T. There is a sequence of nonincreasing times /„ G [a, fi] converging to t* and a sequence un of admissible controls, un(t) e U(t, x"), such that z =x tn tn(a>
Let jc(a, cp, M") = x". Then
Nonlinear Neutral Systems
Ar dt
n
197
[x Vn) -gUtn,x,
)]eF{tn, x, )*a = 9, (tn, x't' ) e M .
Since Zf is continuous and tn -> t* as n -> oo, we have Z; —» ztif. Also x" —> xtt as « -> oo. By condition (iii), k [*"('«) - g('n, *? )1 * «(4i) a.e. where w e ^([o, 7] £). Let
y(n0 = *n(0-g(',*f)The set H = {yn.yi{t) = JCW(0 - g(t, *")} is an equicontinuous family. Indeed, for every measurable subset E of [a, 7] we have
Let e > 0. By integrability of TM we conclude that there is a 5 > 0 such that if meas(.E) < 8, then \Em{t)dt < e. For this E we have ! ' " « > dt
198
Differential Models and Neutral Systems
6 C([CT, 7], En), that is absolutely continuous on [a, 7]. By condition (iii), we deduce | yn(t) - yn(a) | < £m(s)ds ,\yn{t)-y{t)[<
]\m(s)ds, so that
f d n I ~7 [y (s)]ds -> 0 as n -> <x> uniformly with respect to each decreasing sequence {Ej}, E\ c [o% 7] = 7 with void intersection. Therefore [see 15, p. 292] there is a sequence >'" (we retain the same notation) weakly convergent in L\(J, E") to a function 4 e Zi(7, £"). Since the functions y* converge uniformly on [a, 7] to y, certainly they converge pointwise almost everywhere to y and hence by absolute continuity of these functions we have y(t) = 4(0 a.e. Thus, for tn
eI,t„-> t*, *('•) - *('. .**,)= I™ [*"(/„) - g(fB, x" )]
lim [xn(o) - g(a, 4)] + \^-[yn(s)]ds yt—L
J dt at <7
=
We note x£ = q> for each w, so that lim„^.oo *a
=
*P- Because M is closed,
(tn, x" ) -> (/*, xf) e Mas « -> oo. It now follows from [15, p. 422] that there is a sequence {£,„} of convex combinations of {yn,yn ,■■■} that converges in L\(I, En) norm to 4- From this sequence {£,„}, select a subsequence which converges a.e. to 4Thus, almost everywhere on I,
Nonlinear Neutral Systems
199
n=\
\k=n
cf)c0 Q^.*i) fi=l
£F((„i,t)
(11.34)
U=*
where co(N) is the closed convex hull of N in E". Hence ^[*0*)-g('«,*/,)]efO*,*/,). We have already seen that xa =
This completes the proof. We observe that we used the upper semicontinuity of F in (11.34). It could be replaced by using the weakened version of Cesari's property Q. SeeAngell[16,p. 7].
11.4 Optimal Control of Neutral Systems in Function Space In this section we present a maximum principle for optimal control of nonlinear systems of neutral type with function space initial and terminal conditions. In our setting we guarantee the existence of regular nontrivial multipliers when the controls are constrained to lie on a unit m-dimensional cube. This problem was broached in [2] and [26], but not completely resolved. In [26] the nontriviality of the multipliers could not be guaranteed and pointwise control constraints were ruled out. This section continues the exciting recent work of Angell and Kirsch [25] on delay equations. We maintain the basic definitions and notation of the corresponding treatment in [25], and consider the following problem: Find a control u that minimizes
200
Differential Models and Neutral Systems T J(x,u)=jf°(t,x„u{0)dt,
(11.35)
0
subject to the constraints N
i(t) - £ A-U(')*(' - hi) = /(/, xt, u(t)),
*0 =
a.e. on
(11.36)
(11.37) [0,7],
(11.38)
j=\,...,m),
(11.39)
where Cm={ueEr":\uJ\
i=\,...,p,
te[0,T\,
(11.40)
and N
xzC((-h,T),
En),
^0-£^l/(0i(<-^)eAx,([0)r])£"), i=l
u e M t O , 7], C"). We assume further that the initial data § and the terminal function VJ/ satisfy <>| G C([-A, 0], E"),
M/ G C([-A, 0], E"),
with D(7)v G C ! ( R , 0], £").
(11.41)
Nonlinear Neutral Systems
201
We observe that if the admissible control u is such that uj is continuous, N
then by Eq. (11.4.2) * ( 0 - £ ^y (')■*('-*/) is continuous on (T-h, T), since 7=1
we have assumed the following properties of/ °,/,/*: The mappings /°:[0, 7] x C x Em -> £, /:[0,
T\xCxEm-+E»,
/HO,T\*C-+EP, are continuous; / / " are Frechet differentiable with respect to the second argument and continuously differentiable with respect to its third argument, the derivatives being assumed continuous with respect to all arguments. Also,/*:[0, 7] x C-> EP is continuously Frechet differentiable with respect to its second argument. We associate with (11.36) the linear equation N
x(f)-^ji(t-hj) ;=i
= Lit,xt) + B{t)u(f),
*0=4>,
(11.42)
where we U,x eX\; and these subspaces are defined as follows: X\ = {x e C([-h, 7], EP):D{T)XT e C\[0, 7], # " ) } ,
(11.43)
t/= {u € Zoo([0, 7], £ W ) : „ r 6 C([-h, 0], £ " %
(11.44)
17=C([0, 7],£P),
(11.45)
K2 = {(z, u, (3) e Zoo([0, 7], £") x C([-fc, 0], E") x E":ZT e C([-h, 0], £»)}. In (11.42),
(11.46)
202
Differential Models and Neutral Systems
L(t,xt) =
D2Kt,x;,u\t))xt, (11.47)
B(t)v =
D?fit,x;,u*(t))v,
where Djf (t, x, , u ) is the Frechet derivative with respect to the /th argument at (/, x{ , u (t)) and x , u (/) are the optimal trajectory and optimal control respectively. We introduce the following maps: g°X\ x U->E, gl-JC\xU-+Y\, g2:X\
xU->Y2,
which are defined as follows:
g°(x,u)=lf°(t,xtMO)dt,
(11.48)
g 1 (*,")=/(•, *(•)).
(11.49)
N
N
gz(x,u) = *(•) - Z AJ <•)*<• - hj) - /(•• *(•)> «(•» - (v(0) - X ^y (H v(-Ay-)) 7=1
7=1 N
^
+ x(T) - X Aj(T)x(T - hj), x(T) - y(T) 7=1
Observe that if g*(x, u) = 0, then
(11.50)
Nonlinear Neutral Systems
203
N
* ( ) - X ^ ( ) * 0 - A y ) = /(•-*(•)>"(•)), 7=1 N
N
x{T)-YJAj(T)x{T-hj)
= y(fi)-Y,AjV)V<<-hj)>
7=1
x
(11.51)
7=1
Because of our previous assumptions o n / / 0 , / l , the functions g°, g1, g 2 are continuously differentiable at each (x ,u ) e X\ x U. Indeed, T
Dig°(x*, «*) = J/>2/°(/, **, « * ('))*A
* e *,,
(11.52)
0
r D 2 gV.«*)«=J^/V**,«*(0«(0'*,
fllgW^/W.*,*)* D2g\x\u*)
ueU,
^C,
= 0.
(11.53)
(11.54) (11.55)
Also TV
£>1 g V , u*)x = i(.) - £ ^ ()i(- - hj) - D2f(; *(.), » * (■))*(.) , 7
N x(T) - £ Aj(T)x(T - Ay),
x(7),
where XB Xu
(11.56)
7=1
Z)^**, M*M/) = W , JC/, «(/))v(0, v € [/. (11.57) Due to the validity of the Riesz Representation Theorem, there exist
204
Differential Models and Neutral Systems
r, i(/, ■) € NBVpxril-h,
0]),
no(/, 0 e NBVnxn([-h, 0]),
y](t,-)eNBVnxn([-h,0]), such that o
Io(0* = D2f°(t, x*,u* (0) = jdmB(t, 6)<|)(e), -h
(11.58)
0
4(0*=D2f\t, x*, u * (/))♦ = periiC e)<j>(e),
(l 1.59)
-h
o
I(/)4> = Ihf(t, x*, u * (/))<(. = p9Ti(/, 0>K6).
(11.60)
-A
In all these representations, r\,r\i, i = 0, 1 are measurable. We extend these functions by defining r|(/,6) = 0
for
t>T.
To match up our notation in the statement of the multiplier rule in [28, Theorem 7.11.2], we set X=X\ x U,
W= {(*, u) e X:xo = $},
V={(x,u)e
W:U<E
£/ad},
U ad = {u e C/:w(0 e CW a.e. on [0, 7]}, where C«={« e JE w »:|«y|^l,
y=l,...,«}.
Note that £/ad has a nonempty interior relative to U.
(11.61)
Nonlinear Neutral Systems
205
We now state a local maximum principle. Theorem 11.4: Let u be the optimal solution of (11.35) - (11.41) and x* 0 < t < T the corresponding optimal solution. Assume that Dg2(x , u ) = D\g\x*,u*) + &2Sp-{x , u*) has a closed range in Yi- Then there exists (X, a, p,v,q)zEx
Loo([0, T\) xNBVp([0, T\) x NBV„([0, T\) x E»,
(X, a, p, v, q) * (0, 0, 0, 0, 0) such that X £ 0,
p = (p 1,..., pp), pj is nondecreasing in [0, 7]
(11.62)
and pj is constant on every interval where /j-(/,x* ) < 0 ;
(11.63)
r r
N
T+
- £ a ( f + AfcM_U(/ + />*) + JTI_I(6, / - 9)
t
-
fn(6, / - 6)a(Q)dQ + fn(9, / - 9)^(9 - T) for all / e [0, T\. t
t
(11.64) Also T T T - X \l30(t)u(t)dt + \a(t)B(t)u(t)dt - jdv(t - h)B(t)u{t) 0
t
T-h
206
Differential Models and Neutral Systems T
<-X JB0(t)u*(t)dt + \a{t)B(t)u*(t)dt-
jdv(t-h)B(t)u*(t),
(11.65)
T-h
for all u e CadCorollary 11.1: In addition to all the conditions of Theorem 11.4, assume that the mapping Dgix*,u*):(W-(x*,u*))^Y2 is surjective. Then we can take the multiplier A, = 1. Proof: Carefully note that the functions g°, g 1 , g 2 of the Multiplier Rule of Theorem 7.11.2 in [28] satisfy the same assumptions of the mappings of (11.48) - (11.50) and the spaces (11.43) - (11.46). We are guaranteed the existence of the multipliers. Thus if we denote the space L by L = {x e Zoo([0, T\, E"):xT e C([-h, 0], E")}, and its dual by £*, we have the existence of I e £*, v e NBVn([-h, 0]), q e E", p e NBVp([0, 7]), and X > 0, (X, e, v, q, p) * (0, 0, 0, 0, 0) such that p is non-decreasing and
jdp(t)f\t,x*(t))
T X \LQ(t)xtdt + |dp(t)Li(t)x t
= 0,
(11.66)
N +1
*(•)-Z ^y 0*0-£()*(•)
N
J dv(t~T)) m-Y,Ajit)X*(t) T-h
for all x e X\,
XQ
y'=i
= 0; and
+ qx(T) = 0,
(11.67)
Nonlinear Neutral Systems
207
T
X Jflb(0«(/)df + ([- B(-X«0 - « * (•))] * 0,
(11.68)
0
for all u e f/ad- Recall the definition of r|, r|j and their extension outside their intervals of definition, and extend the definition of v by constancy and continuity outside its original interval of definition. We need an expression for the linear functional £. It is contained in the next lemma. Lemma 11.6: The linear functional £ has the form
£(z)=^a(t)z(t)dt-
\a\{t-T)z{t),
(11.69)
T-h
0
for all z e £ and a e £«,([(), T\, En). Proof: Consider (11.67). Let z e £ and consider the equation N
m-Y,A_Xj(t)x(t-hj)-L(t)xt=z(t)
in [0,7-],
x0=0.
(11.70)
The variation of the constant formula of Hale and Meyer [27] gives the solution as
jc(/,z)=j>(/,s)z(s)*,
'e[0,/],
0
where X{t, s) e Loo([0, 7], En2) is the fundamental matrix defined by *u, s) = — r — 95
(a) 0W-, *) = <).
a.e in 5.
(11.71)
208
Differential Models and Neutral Systems N
t
(b) W(t,s) = YJA(tW(t-s-hj)+ 7=1
[L(X,Wk(;s))dk-Q-s)I,0<s
With this expression, (11.67) takes the form T
T
X JLQ(t)xt(;
0
Z)dt + jdpiOmt)^;
T z) + I(Z) +
0
jdv(t
~
T)z(t)
T-h
T + jdv(t-T)L(t)tl(;z) T-h
+ gx(T,z) = 0
(11.72)
for all z e L. But then Z,n, L\, L, are as given in (11.58) - (11.60), so that (11.67) yields
t(z) = -XJ
> jdsx]Q(t,s)x(t + s,z) dt
T 0 - p p ( 0 Jd s m(t, s)x(t + s,z)- jdv(t - T)z(t) 0 -h T-h
-
| dv(t- T) ysn(t, T-h -h
s)x(t + s,z)- qx(T) .
(11.73)
We now substitute the expression x(t; z) in (11.71) into (11.73), and change the order of integration to deduce (11.69), where a e L depends on X, q, X, v, "Ho, T|i, T|. With (11.69) established, we rewrite (11.72) as follows:
x Jio(/)V+pP(OA(0*,
Nonlinear Neutral Systems
209
T
N
+ ja(t)[x(t) - YjA-ijiW 0
-
- hj) - L(t)xt]dt
7=1
T N | dr{t- T)[x(t) - £ A_Xj (t)x(t -hj)T-h
7=1
T
N
+ j dr(i -TXxiO-^A-XjiOUt T-h
L(t)xt ]
- hj)] + qx(T) = 0,
;=i
for all x\ e X\. Once again we use the expressions for r|o, t|i, r| to deduce that T
t
T t
^ { J dQVoit, 0 - t)x(Q)dt + | 0 t-h
jdp(t)dQm(t, 0 - t)x(6)
0 t-h T
N
t
+ Ja(/)[x(0 - £ X_,,(t)x(t -hj)0
7=1
T t = f \dv(t-T)dQ^t,Q-t)x(Q) T-h t-h
Jd0Ti(/, 0 - t)x(0)]dt t-h
+ qx(T) = 0,
for all x e X\ with *o = 0. We consider each of the first four terms above, beginning with r t
x\
peT1o(/,0-o*(eM,
0 t-h
and ending with
210
Differential Models and Neutral Systems T
t
T-h
t-h
and integrate by parts: T
T
t
- X JTIOC*. - h)(t - h)dt - X | JTI0(/, S - t)x(s)dsdt 0 t-h
0
- Jrfp(/)Tii(/, - A)*(r -h)- jdp(f)iii(/ *,-/)*(*)«&
W
/ * ) i ( / ) - £ / L I y ( r ) i ( / - A y ) <* + Ja(0n(>, - h)xQt - h)dt 7=1 N
- \
a(t)
m-^A^ijiOxit-hj)
T + qx(T)-
dt+
J T-h
jdv(t-T)T](t,-h)x(t-h) T-h
7=1 t jdv(t-T)T](t,s-t)x(s)ds
= 0,
t-h
for all x e X\ with XQ = 0. As in Angell and Kirsch [25], use the following abbreviation:
- fa(s)ds, u(0 =
0 <, t < T - h,
t - v(t -T)-
T \a(s)ds,
T
-h
Nonlinear Neutral Systems
211
For any y e L that is extended by zero, set
x(t) = \y(s)as
for
te E .
0
Use this above and change the order of integration:
T T-h T s+h - * { f ilo(e + h, - h)ddy(s)ds = X J JTI 0 (8, S - Q)dQy(s)ds 0
S
0
5
T T-s T s+h - J pP(6)Tli(e + h, - h)y(s)ds - J pp(e)n.i(e, s - Q)d0y(x)ds 0
s
0 /
T T s+h jd\i(eM
0
5
T T-h + J U i ( 8 + h)T](8 + h,- h)y(s)ds 0
5
T + q^y(s)ds+ 0 for all y e
T-hk N J a(t)^A_lk(t)x(t -hk
+ hk)dt = 0
*=•
L. Note that
N T-hk N ]T J a{t)A_xk(t)x{t -hk)dt-JT
T h
~k ]a(s + hk)Ak(s + hk)y(s)ds.
Since the integrand above must vanish pointwise, we have for s e [0, T],
212
Differential Models and Neutral Systems T-s
-X
s+h
f r)0(Q+ h,-h)dQ-\ s
{r\0{0,s-B)dd 0
T-h
s+h
J rfp(9)ru(9+/*,-/*)- jdP(Q)m(e,s-e) 0 s+h
T-h
+ a(s) + f 4I(9)TI(9, s - 9) + JdWG + /J)TI(9 + h,-h) + q 0
jfc=l
which yields T
T
a(s) = A JTI 0 (9, * - 9)d9 + pp(9)TH(9, j - 9) s
s
T
T
- Ja(9)Ti(9, s-Q)dQ-
pv(9)ti(9, s - 9)
AT
- <7 - £
a
* C*+ A* )y4-!* C*+ A* ) •
k=l
We have proved that (11.64) holds. To prove (11.65), we insert £(z) in (11.69) into (11.68):
X JB0(t)[u(t)
- u * (t)]dt + ja(t)[-
B(t)(u(t) - u * (t))dt]
Nonlinear Neutral Systems
213 T
- jdv(t - T)[- B(t)(u(t) - u * (f))] > 0 0
for all u e £/ac|. The result follows at once, since p is monotonic. Note that (X, a, p, v, q) do not vanish simultaneously, since otherwise (A., (., v, q, p) = (0, 0, 0, 0, 0). The proof of Corollary 11.1 and Theorem 11.2 follows as in [25]. Remark: The properties of the range of Dg^ are conjectured as follows: Closure: Proposition 1.1 of Section 12.1 of [28]. Surjectivity: Controllability of the linear system N
i{t) - X A} (0*0 -hj) = L(t, xt) + S(0"(0
in W<J). See for example Theorem 10.8.4 of [28]. We now formulate the necessary conditions of the time-optimal control problem. Theorem 11.5: Consider the following problem: Minimize T subject to the constraints N
m - £ A_u (/)*(/ -*,-) = /(/, x,,«(/)),
x0 = *elfM{[-h,0\,En), *r=V,
DxTyeCl&-h,
uiOeCf
(11.36)
(11.37) 01 En),
a.e. on [0, T],
(11.38)
where Cm={ueEm:\uj\<\,
j=\,m}.
(11.39)
214
Differential Models and Neutral Systems
(i)
We assume that/is continuous, and is Frechet differentiable with respect to its second argument and continuously differentiable with respect to its third argument, the derivative being continuous with respect to all arguments. Consider the linear approximation (11.40) of (11.36), and assume that: This system
(ii)
N
x(t)-^Ajx(t-hj)
= L(t,x,) + B(t)u(t),
XQ=0,
7=1
with attainable set Jl defined by A= {xj{u) e C([-h, 0], EP) DXTe C([-h, 0], E»):u e V}, where V={ue
Zoo([0, 7], £M):uT e C([-h, 0], £")}
is such that A= {V e C([-h, 0]):Z)H/ e C([-h, 0], E")}. Then there exists (a, v, q) e Zoo([0, 7], E») x NBVn([0, 7]) x EP (a,v,g)
* (0,0,0)
such that N a(0 = -g-^a(t k=l
T + hk)A_ik(t + hk)-
jr\(s,t-s)a(s)ds
,
(11.40)
Nonlinear Neutral Systems
215
T jr\(s,l-s)dv{s-T), t
forall/e[0, T], and T T \a{t)B(t)u(t)dt - \dv{t - T)B{t)u(t) 0 T-h T T < ja(t)B(t)u * (/) - jdv(t - T)B(t)u * (/) 0 T-h for all u € £/adProof: We need to prove that the attainable set Jl is all of
= Y2.
Suppose that A= W e C([-fc, 0]):Dv e C{[-h, 0])}, and fix a point (z, v,/») e J^- We shall prove that there exists a pair (x, w) e A^ x 1Jsuch that if x =x-x* and u =u-u*, then A'
JKO -
Z ^ - i ; ( W - hj) - !(/, *,) - Bu(t) = 2{l),
DxT =v
and
x(T) = p.
Now define y e C([-/J, 0], £") with Dy e C'([r - h, 7], £") by vj/(/) = p - J v(s)ds T- h < t < T. By assumption, there exists a control Z such that
216
Differential Models and Neutral Systems T x(t;0,u) = \|/(/)- [U(t,s)z(s)ds, 0
T-h<>t
It follows from the variation of constant formula in Proposition 2.3.3 that t x(t; z, u) = x(t, 0, u) + \U(t, s)z(s)dt. 0 The required choice is the triplet x = (x; z, u), u(t)=u(t). To see that the converse is also valid, we note that if \y e C([-h, 0], En), with Ehy e C'([Th, 7], En), then the fact that Dg is surjective implies there exists a pair (x, u) that is the preimage of the triple (0, \\>, v}/(7)). We conclude that (ii) holds if and only if the required map Dig is surjective. But this is equivalent to the controllability of the linear system (11.42) with controls in 1). Theorem 11.4 and its corollary can therefore be invoked to conclude the proof. Remark 11.2: For autonomous systems, necessary and sufficient conditions for exact controllability on the interval [0, 7] are given by Salamon [5, p. 155]. There we can identify our interval to be [0, T - h] with controls u e Zoo([0, T- h], Em) and state space W^([-h, 0], En). On the interval [T- h, T\ one can use a control that is continuous. Thus it can easily be proved that in the autonomous case Salamon's conditions suffice for the surjectivity conditions.
REFERENCES 1. G. A. Kent, Optimal Control of Functional Differential Equations of Neutral Type, Ph.D. Thesis, Brown University, 1971. 2. H. T. Banks and G. A. Kent, "Control of Functional Differential Equations to Target Sets in Function Space," SI AM J. Control 10 (1972), pp. 567-593. 3. R. Gabasov and F. Kirillova, The Qualitative Theory of Optimal Processes, Marcel Dekker, New York, 1976. 4. H. R. Rodas and C. E. Langenhop, "A Sufficient Condition for Function Space Controllability of a Linear Neutral System," SI AM J. Control Optimization 16 (1978), pp. 429-435.
Nonlinear Neutral Systems
217
5. D. Salamon, Control and Observation of Neutral Systems, Pitman Advanced Publishing Program, Boston, 1984. 6. E. N. Chukwu, "The Time Optimal Control Problem of Linear Neutral Functional Systems," J. of Nigerian Mathematics Society 1 (1982), pp. 39-55. 7. E. N. Chukwu, The Time Optimal Control Theory of Linear Differential Equations of Neutral Type, Proceedings, Second Bellman Continuum, Georgia Institute of Technology, Atlanta, Georgia, June 24, 1986. 8. M. Cruz and J. K. Hale, "Existence, Uniqueness and Continuous Dependence for Hereditary Systems," Ann. Math. Pura Appl. 85 (1970), pp. 63-82. 9. W. R. Melvin, "A Class of Neutral Functional Differential Equations," J. Differential Equations 12 (1972), pp. 524-534. 10. M. A. Cruz and J. K. Hale, "Asymptotic Behavior of Neutral Functional Differential Equations," Arch. Rational Mech. and Anal. 34 (1969), pp. 331353. 11. W. Rudin, Real and Complex Analysis, McGraw-Hill, New York, 1974. 12. J. Dieudonne, Foundations of Modern Analysis, Academic Press, New York, 1969. 13. M. A. Cruz and J. H. Hale, "Stability of Functional Differential Equations of Neutral Type," J. Differential Equations 7 (1970), pp. 334-355. 14. K. Kuratowski and C. Ryll-Nardzewski, "A General Theorem on Selectors," Bull. Acad. Polon. Sci. 12 (1965), pp. 397-403. 15. N. Dunford and J. T. Schwartz, Linear Operators, Part I, General Theory, Interscience, New York, 1958. 16. T. S. Angell, "Existence Theorem for Hereditary Lagrange and Mayer Problems of Optimal Control," SIAM J. Control Optimization 14 (1976), pp. 1-18. 17. S. Lang, Analysis II, Addison-Wesley, Reading, MA, 1969. 18. E. N. Chukwu, "An Estimate for the Solutions of a Certain Functional Differential Equation of Neutral Type," Proceedings of the International Conference on Nonlinear Phenomena in Mathematical Sciences, Academic Press, 1982, edited by V. Lakshmikantham. 19. E. N. Chukwu, "Global Asymptotic Behavior of Functional Differential Equations of the Neutral Type," J. Nonlinear Anal. Theory, Method and Applications 5 (1981), pp. 853-872. 20. J. Hale, Theory of Functional Differential Equations, Springer-Verlag, New York, 1977. 21. O. Lopes, "Forced Oscillation in Nonlinear Neutral Differential Equations," SIAM J. Appl. Math. 29 (1975), pp. 196-207. 22. H. J. Sussmann, "Small-Time Local Controllability and Continuity of the Optimal Time Function for Linear Systems," J. Optimization Theory and Applications 53 (1987), pp. 281-296. 23. E. N. Chukwu and O. Hajek, "Disconjugacy and Optimal Control," J. Optimization Theory and Applications 27 (1979). 24. E. N. Chukwu and H. C. Simpson, "Perturbations of Nonlinear Systems of Neutral Type," J. Differential Equations 82 (1989), pp. 28-59.
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25. T. S. Angell and A. Kirsch, "On the Necessary Conditions for Optimal Control of Retarded Systems," Appl. Math. Optimization 22 (1990), pp. 117-145. 26. H. T. Banks and M. Q. Jacobs, "An Attainable Sets Approach to Optimal Control of Functional Differential Equations with Function Space Terminal Conditions," J. Differential Equations 13 (1973), pp. 129-149. 27. J. K. Hale and R. R. Meyer, "A Class of Functional Equations of Neutral Type," Mem. Amer. Math. Soc, No. 76, 1967. 28. E. N. Chukwu, Stability and Time Optimal Control of Hereditary Systems, Academic Press, 1992, 2nd Edition, World Paradise Press, Raleigh, North Carolina (in preparation). Obtain from Copytron, Inc. Academic Publishing Division, 100 West Franklin Street, Chapel Hill, NC 27516. Fax: 919-9332680.
12. Controllable Nonlinear Neutral Systems
12.1 Introduction Criteria for linear systems controllability and constrained controllability can be found in 10.2 and 10.3. There Euclidean and function-space targets are considered. In this chapter we treat the general nonlinear situation in fir• '.
12.2 General Nonlinear Systems We now consider the general system (12.1) where f.E x C x Em -» En is continuously differentiable in the second and third arguments, and is continuous, and where (12.1) satisfies the basic assumptions on D and/in Section 11.2. In particular, we assume that there exists an m e Z,2([cr, oo), E) such that \Wt,
(j>, M)H + U A ^ , $, «)|| < m{t),
and
D(t,xt) = x(t)-g(t,xt) Where |g(/,4»|£A(0ll o 219
Differential Models and Neutral Systems
220
for some k continuous, g(t, <> | ) is linear in (|>. We need some preliminary definitions from analysis. We work in the space W^pDefinition 12.1: Let X and Y be real Banach spaces and F a mapping from an open set S of X into Y. If for each fixed point XQ e S and every h e X, the limit lim [F(XQ + th) - F(xo)]/1 = 5F(XQH)
t->0
exists in the topology of Y, then the operator 8 .F(;co, h) is called the Gateaux differential of F at JCO in the direction of h. If for each fixed XQ e X the Gateaux differential 8 F(XQ, ■) is a bounded linear operator mapping X into Y, we write 8F(^o, h) = F(xo)h, and F(XQ) is called the Gateaux derivative of F at JCO- If F has a Gateaux derivative at XQ, we say F is G-differentiable at XQ, and F(XQ) e L(X, Y), the space of bounded linear operators from X into Y. Definition 12.2: FX -> Y is weakly G-differentiable at JCO if there exists a bounded linear map -F(JCO) e L(X, Y) such that ([F(x0+th)-F(x0)]/t-F'(x0)h,y*)^0, as t -> 0 for al\ h e X,y* e Y*. As a consequence, if F is G-differentiable, it is weakly G-differentiable. Consider •jtm,xt)]=f(t,xt,u(t)),xa=$.
(12.1)
Corresponding to the point (/, a, <|), u) e E x E x fr^ ^ x Lp, the mapping x:ExEx
VfW
xLp-^W^,
is defined by x(o,<|),MX0 = ^(cT,<|),M)e^ 1 ) .
We now give some useful properties of this mapping.
We assume
Neutral Systems
221
conditions on (12.1) are valid. Also/is x C x Em -» E" is continuous and continuously differentiable in the second and third argument. Lemma 12.1: Let {t, a, §, u) e E x E x W^ x Lp L et v e I p ([a, oo), £7") and F(u) be the G-derivative of x(t, a, <|), w) with respect to w. Assume all the conditions of existence and uniqueness of solutions of (12.1) in [5] or [11]. Then we have F(H)(V) =
Dux(t,a,ty,u)(v)= y(t,a,ty,u, v),
where the mapping t -» y(t, a, <> | , u, v) of E into En is the unique solution of -\IKi)yt\=D2f{t,xt{o,^u),u)yt at
+ Dif{t,xt{o,^u),u)V(
0 as / - > < » .
12.3 Nonlinear Interconnected Systems We now investigate the rth interconnected subsystem described by ■7[A-(/)x/] = /■(/, *{,«''(0)+*i(',*/,v''), at
i=l,...J,
(12.27)
where £, describes the action of the whole system - CXt,xt) =f(t,xt,u(t)) at
+ k(t, xt, v(/))
on its interconnected system (12.27), which when "free" and "disconnected" is given by
Neutral Systems
235 ■^lDt(t>i] = fi(t,xi,ui(t)).
In (12.27), «'' eL2(lo,tilEmi\ and v''s L2([cs,tx], Em). sometimes restrain the control w/ to lie in the set P,- ={«':«' eL2do,tx],Em
(12.28) We shall
), ||«'|| 2 < 1},
and v' e Qi where Qi={visL2([c,tl],Emi):\\vi\\2<\}. Let f/(/, ♦,') = l/i-(/, ♦,«'): a1'e P/
We now assume that 7Q(t,xt)'zMFi(t,xlt). The following result is valid. Theorem 12.5: In (12.27) assume that: (i) f,{t, 0,0) = 0, *,,<}>, 0) = 0. (ii) fi, kj, and Dj satisfy all the smoothness conditions of existence, uniqueness, and continuous dependence on initial data. (iii) Assume that the linear variational system j t [D,'(r)z,'(r)]= £,-(/,*j) + ^ ' ( / M / ) , of (12.28), where ^/,-(/,0,0)zj = L/(r,z|),
/>}>;•(/, 0,0)w= rf'Ww,
(12.29)
236
Differential Models and Neutral Systems
is controllable on [o~, t\], t\ > a + h. (iv) *),