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Examination of solving optimal control problems with delays using GPOPS-Ⅱ
1. | Applied Mathematical Analysis, 2478 SE Mirromont Pl., Issaquah, WA, 98027, USA |
2. | Department of Mathematics, North Carolina State University, Raleigh, NC, 27695-8205, USA |
There are a limited number of user-friendly, publicly available optimal control software packages that are designed to accommodate problems with delays. GPOPS-Ⅱ is a well developed MATLAB based optimal control code that was not originally designed to accommodate problems with delays. The use of GPOPS-Ⅱ on optimal control problems with delays is examined for the first time. The use of various formulations of delayed optimal control problems is also discussed. It is seen that GPOPS-Ⅱ finds a suboptimal solution when used as a direct transcription delayed optimal control problem solver but that it is often able to produce a good solution of the optimal control problem when used as a delayed boundary value solver of the necessary conditions.
References:
[1] |
Z. Bartoszewski and M. Kwapisz,
On the convergence of waveform relaxation methods for differential-functional systems of equations, J. Math. Anal. Appl., 225 (1999), 478-496.
doi: 10.1006/jmaa.1999.6380. |
[2] |
Z. Bartoszewski and M. Kwapisz,
On error estimates for waveform relaxation methods for delay-differential equations, SIAM J. Numerical Analysis, 38 (2011), 639-659.
doi: 10.1137/S003614299935591X. |
[3] |
J. T. Betts, Methods for Optimal Control and Estimation using Nonlinear Programming, SIAM, Philadelphia, 2010. Google Scholar |
[4] |
J. T. Betts, N. Biehn, S. L. Campbell and W. Huffman,
Compensating for order variation in mesh refinement for direct transcription methods Ⅱ: computational experience, J. Comp. Appl. Math., 143 (2002), 237-261.
doi: 10.1016/S0377-0427(01)00509-X. |
[5] |
J. T. Betts, S. L. Campbell and K. Thompson, Optimal control of delay partial differential equations, , in Control and Optimization with Differential-Algebraic Constraints, SIAM, (2012), 213–231. Google Scholar |
[6] |
J. T. Betts, S. L. Campbell and K. Thompson, Optimal control software for constrained nonlinear systems with delays, , Proc. IEEE Multi-Conference on Systems and Control (2011 MSC), Denver, (2011), 444–449. Google Scholar |
[7] |
J. T. Betts, S. L. Campbell and K. Thompson,
Solving optimal control problems with control delays using direct transcription, Applied Numerical Mathematics, 108 (2016), 185-203.
doi: 10.1016/j.apnum.2015.12.008. |
[8] |
N. Biehn, J. T. Betts, S. L. Campbell and W. Huffman,
Compensating for order variation in mesh refinement for direct transcription methods, J. Comp. Appl. Math., 125 (2000), 147-158.
doi: 10.1016/S0377-0427(00)00465-9. |
[9] |
G. V. Bokov, Pontryagin's maximum principle of optimal control problems with time-delay, J. Mathematical Sciences, 172 (2011), 623–634. (Russian version: Fundam. Prikl. Mat., 15 (2009), Issue 5, 3–19.)
doi: 10.1007/s10958-011-0208-y. |
[10] |
S. L. Campbell, J. T. Betts and C. Digirolamo, Comments on initial guess sensitivity when solving optimal control problems using interior point methods, Numerical Algebra, Control, and Optimization, 10 (2020), 39-41. Google Scholar |
[11] |
C. L. Darby, W. W. Hager and A. V. Rao,
An hp-adaptive pseudospectral method for solving optimal control problems, Optimal Control Applications and Methods, 32 (2011), 476-502.
doi: 10.1002/oca.957. |
[12] |
J. F. Frankena,
Optimal control problems with delay, the maximum principle and necessary conditions, J. Engineering Mathematics, 9 (1975), 53-64.
doi: 10.1007/BF01535497. |
[13] |
L. Göllmann, D. Kern and H. Maurer,
Optimal control problems with delays in state and control subject to mixed state control-state constraints, Optimal Control Applications and Methods, 30 (2009), 341-365.
doi: 10.1002/oca.843. |
[14] |
L. Göllmann and H. Maurer,
Theory and application of optimal control problems with multiple delays, J. Industrial and Management Optimization, 10 (2014), 413-441.
doi: 10.3934/jimo.2014.10.413. |
[15] |
Z. H. Gong, C. Y. Liu and Y. J. Wang,
Optimal control of switched systems with multiple time-delays and a cost on changing control, Journal of Industrial and Management Optimization, 14 (2018), 183-198.
doi: 10.3934/jimo.2017042. |
[16] |
T. Koto,
Method of lines approximation of delay differential equations, Computers & Mathematics with Applications, 48 (2004), 45-59.
doi: 10.1016/j.camwa.2004.01.003. |
[17] |
C. Y. Liu, R. Loxton, Q. Lin and K. L. Teo,
Dynamic optimization for switched time-delay systems with state-dependent switching conditions, SIAM Journal on Control and Optimization, 56 (2018), 3499-3523.
doi: 10.1137/16M1070530. |
[18] |
C. Y. Liu, Z. Gong, H. W. Lee and K. L. Teo, Robust bi-objective optimal control of 1, 3-propanediol microbial batch production process, Journal of Process Control, 78 (2019), 170-182. Google Scholar |
[19] |
C. Liu, Z. Gong, K. L. Teo, R. Loxton and E. Feng,
Bi-objective dynamic optimization of a nonlinear time-delay system in microbial batch process, Optimization Letters, 12 (2018), 1249-1264.
doi: 10.1007/s11590-016-1105-6. |
[20] |
C. Y. Liu, R. Loxton and and K. L. Teo,
A computational method for solving time-delay optimal control problems with free terminal time, Systems $ & $ Control Letters, 72 (2014), 53-60.
doi: 10.1016/j.sysconle.2014.07.001. |
[21] |
C. Y. Liu, R. Loxton and K. L. Teo,
Optimal parameter selection for nonlinear multistage systems with time-delays, Computational Optimization and Applications, 59 (2014), 285-306.
doi: 10.1007/s10589-013-9632-x. |
[22] |
C. Y. Liu, R. Loxton and K. L. Teo,
Switching time and parameter optimization in nonlinear switched systems with multiple time-delays, Journal of Optimization Theory and Applications, 63 (2014), 957-988.
doi: 10.1007/s10957-014-0533-7. |
[23] |
M. Maleki and I Hashim,
Adaptive pseudospectral methods for solving constrained linear and nonlinear time-delay optimal control problems, J. Franklin Institute, 351 (2014), 811-839.
doi: 10.1016/j.jfranklin.2013.09.027. |
[24] |
J. Mead and B. Zubik-Kowal,
An iterated pseudospectral method for delay partial differential equations, Applied Numerical Mathematics, 55 (2005), 227-250.
doi: 10.1016/j.apnum.2005.02.010. |
[25] |
M. A. Patterson and A. V. Rao,
GPOPS Ⅱ: A MATLAB software for solving multiple-phase optimal control problems using hp-adaptive Gaussian quadrature collocation methods and sparse nonlinear programming, ACM Trans. Math. Software, 41 (2014), 1-37.
doi: 10.1145/2558904. |
[26] |
H. Peng, X. Wang, S. Zhang and B. Chen,
An iterative symplectic pseudospectral method to solve nonlinear state-delayed optimal control problems, Commun. Nonlinear. Sci. Numer. Simulat., 48 (2017), 95-114.
doi: 10.1016/j.cnsns.2016.12.016. |
[27] |
A. V. Rao, D. A. Benson, C. Darby, M. A. Patterson, C. Francolin, I. Sanders and G. T. Huntington,
Algorithm 902: Gpops, a MATLAB software for solving multiple-phase optimal control problems using the Gauss pseudospectral method, ACM Transactions Mathematical Software, 37 (2010), 1-39.
doi: 10.1145/2558904. |
[28] |
L. F. Shampine and S. Thompson,
Solving DDEs in Matlab, Applied Numerical Mathematics, 37 (2001), 441-458.
doi: 10.1016/S0168-9274(00)00055-6. |
[29] |
A. Wäechter and L.T. Biegler,
On the implementation of interior-point filter line-search algorithm for large-scale nonlinear programming, Math. Prog., 106 (2006), 25-57.
doi: 10.1007/s10107-004-0559-y. |
[30] |
Z. Wang and L. Wang,
A Legendre-Gauss collocation method for nonlinear delay differential equations, Discrete and Continuous Dynamical Systems, Series B, 13 (2010), 685-708.
doi: 10.3934/dcdsb.2010.13.685. |
[31] |
D. Wu, Y. Bai and C. Yu,
A new computational approach for optimal control problems with multiple time-delay, Automatica, 101 (2019), 388-395.
doi: 10.1016/j.automatica.2018.12.036. |
[32] |
Z. Wu and W. Michiels,
Reliably computing all characteristic roots of delay equations in a given right half plane using a spectral method, J. Comp. and Appl. Math., 236 (2012), 2499-2514.
doi: 10.1016/j.cam.2011.12.009. |
[33] |
Z. Wu and W. Michiels, Reliably computing all characteristic roots of delay differential equations in a given right half plane using a spectral method, , Internal report TW 596, Department of Computer Science, K. U. Leuven, May, 2011. Available by download from http://twr.cs.kuleuven.be/research/software/delay-control/roots/+.
doi: 10.1016/j.cam.2011.12.009. |
show all references
References:
[1] |
Z. Bartoszewski and M. Kwapisz,
On the convergence of waveform relaxation methods for differential-functional systems of equations, J. Math. Anal. Appl., 225 (1999), 478-496.
doi: 10.1006/jmaa.1999.6380. |
[2] |
Z. Bartoszewski and M. Kwapisz,
On error estimates for waveform relaxation methods for delay-differential equations, SIAM J. Numerical Analysis, 38 (2011), 639-659.
doi: 10.1137/S003614299935591X. |
[3] |
J. T. Betts, Methods for Optimal Control and Estimation using Nonlinear Programming, SIAM, Philadelphia, 2010. Google Scholar |
[4] |
J. T. Betts, N. Biehn, S. L. Campbell and W. Huffman,
Compensating for order variation in mesh refinement for direct transcription methods Ⅱ: computational experience, J. Comp. Appl. Math., 143 (2002), 237-261.
doi: 10.1016/S0377-0427(01)00509-X. |
[5] |
J. T. Betts, S. L. Campbell and K. Thompson, Optimal control of delay partial differential equations, , in Control and Optimization with Differential-Algebraic Constraints, SIAM, (2012), 213–231. Google Scholar |
[6] |
J. T. Betts, S. L. Campbell and K. Thompson, Optimal control software for constrained nonlinear systems with delays, , Proc. IEEE Multi-Conference on Systems and Control (2011 MSC), Denver, (2011), 444–449. Google Scholar |
[7] |
J. T. Betts, S. L. Campbell and K. Thompson,
Solving optimal control problems with control delays using direct transcription, Applied Numerical Mathematics, 108 (2016), 185-203.
doi: 10.1016/j.apnum.2015.12.008. |
[8] |
N. Biehn, J. T. Betts, S. L. Campbell and W. Huffman,
Compensating for order variation in mesh refinement for direct transcription methods, J. Comp. Appl. Math., 125 (2000), 147-158.
doi: 10.1016/S0377-0427(00)00465-9. |
[9] |
G. V. Bokov, Pontryagin's maximum principle of optimal control problems with time-delay, J. Mathematical Sciences, 172 (2011), 623–634. (Russian version: Fundam. Prikl. Mat., 15 (2009), Issue 5, 3–19.)
doi: 10.1007/s10958-011-0208-y. |
[10] |
S. L. Campbell, J. T. Betts and C. Digirolamo, Comments on initial guess sensitivity when solving optimal control problems using interior point methods, Numerical Algebra, Control, and Optimization, 10 (2020), 39-41. Google Scholar |
[11] |
C. L. Darby, W. W. Hager and A. V. Rao,
An hp-adaptive pseudospectral method for solving optimal control problems, Optimal Control Applications and Methods, 32 (2011), 476-502.
doi: 10.1002/oca.957. |
[12] |
J. F. Frankena,
Optimal control problems with delay, the maximum principle and necessary conditions, J. Engineering Mathematics, 9 (1975), 53-64.
doi: 10.1007/BF01535497. |
[13] |
L. Göllmann, D. Kern and H. Maurer,
Optimal control problems with delays in state and control subject to mixed state control-state constraints, Optimal Control Applications and Methods, 30 (2009), 341-365.
doi: 10.1002/oca.843. |
[14] |
L. Göllmann and H. Maurer,
Theory and application of optimal control problems with multiple delays, J. Industrial and Management Optimization, 10 (2014), 413-441.
doi: 10.3934/jimo.2014.10.413. |
[15] |
Z. H. Gong, C. Y. Liu and Y. J. Wang,
Optimal control of switched systems with multiple time-delays and a cost on changing control, Journal of Industrial and Management Optimization, 14 (2018), 183-198.
doi: 10.3934/jimo.2017042. |
[16] |
T. Koto,
Method of lines approximation of delay differential equations, Computers & Mathematics with Applications, 48 (2004), 45-59.
doi: 10.1016/j.camwa.2004.01.003. |
[17] |
C. Y. Liu, R. Loxton, Q. Lin and K. L. Teo,
Dynamic optimization for switched time-delay systems with state-dependent switching conditions, SIAM Journal on Control and Optimization, 56 (2018), 3499-3523.
doi: 10.1137/16M1070530. |
[18] |
C. Y. Liu, Z. Gong, H. W. Lee and K. L. Teo, Robust bi-objective optimal control of 1, 3-propanediol microbial batch production process, Journal of Process Control, 78 (2019), 170-182. Google Scholar |
[19] |
C. Liu, Z. Gong, K. L. Teo, R. Loxton and E. Feng,
Bi-objective dynamic optimization of a nonlinear time-delay system in microbial batch process, Optimization Letters, 12 (2018), 1249-1264.
doi: 10.1007/s11590-016-1105-6. |
[20] |
C. Y. Liu, R. Loxton and and K. L. Teo,
A computational method for solving time-delay optimal control problems with free terminal time, Systems $ & $ Control Letters, 72 (2014), 53-60.
doi: 10.1016/j.sysconle.2014.07.001. |
[21] |
C. Y. Liu, R. Loxton and K. L. Teo,
Optimal parameter selection for nonlinear multistage systems with time-delays, Computational Optimization and Applications, 59 (2014), 285-306.
doi: 10.1007/s10589-013-9632-x. |
[22] |
C. Y. Liu, R. Loxton and K. L. Teo,
Switching time and parameter optimization in nonlinear switched systems with multiple time-delays, Journal of Optimization Theory and Applications, 63 (2014), 957-988.
doi: 10.1007/s10957-014-0533-7. |
[23] |
M. Maleki and I Hashim,
Adaptive pseudospectral methods for solving constrained linear and nonlinear time-delay optimal control problems, J. Franklin Institute, 351 (2014), 811-839.
doi: 10.1016/j.jfranklin.2013.09.027. |
[24] |
J. Mead and B. Zubik-Kowal,
An iterated pseudospectral method for delay partial differential equations, Applied Numerical Mathematics, 55 (2005), 227-250.
doi: 10.1016/j.apnum.2005.02.010. |
[25] |
M. A. Patterson and A. V. Rao,
GPOPS Ⅱ: A MATLAB software for solving multiple-phase optimal control problems using hp-adaptive Gaussian quadrature collocation methods and sparse nonlinear programming, ACM Trans. Math. Software, 41 (2014), 1-37.
doi: 10.1145/2558904. |
[26] |
H. Peng, X. Wang, S. Zhang and B. Chen,
An iterative symplectic pseudospectral method to solve nonlinear state-delayed optimal control problems, Commun. Nonlinear. Sci. Numer. Simulat., 48 (2017), 95-114.
doi: 10.1016/j.cnsns.2016.12.016. |
[27] |
A. V. Rao, D. A. Benson, C. Darby, M. A. Patterson, C. Francolin, I. Sanders and G. T. Huntington,
Algorithm 902: Gpops, a MATLAB software for solving multiple-phase optimal control problems using the Gauss pseudospectral method, ACM Transactions Mathematical Software, 37 (2010), 1-39.
doi: 10.1145/2558904. |
[28] |
L. F. Shampine and S. Thompson,
Solving DDEs in Matlab, Applied Numerical Mathematics, 37 (2001), 441-458.
doi: 10.1016/S0168-9274(00)00055-6. |
[29] |
A. Wäechter and L.T. Biegler,
On the implementation of interior-point filter line-search algorithm for large-scale nonlinear programming, Math. Prog., 106 (2006), 25-57.
doi: 10.1007/s10107-004-0559-y. |
[30] |
Z. Wang and L. Wang,
A Legendre-Gauss collocation method for nonlinear delay differential equations, Discrete and Continuous Dynamical Systems, Series B, 13 (2010), 685-708.
doi: 10.3934/dcdsb.2010.13.685. |
[31] |
D. Wu, Y. Bai and C. Yu,
A new computational approach for optimal control problems with multiple time-delay, Automatica, 101 (2019), 388-395.
doi: 10.1016/j.automatica.2018.12.036. |
[32] |
Z. Wu and W. Michiels,
Reliably computing all characteristic roots of delay equations in a given right half plane using a spectral method, J. Comp. and Appl. Math., 236 (2012), 2499-2514.
doi: 10.1016/j.cam.2011.12.009. |
[33] |
Z. Wu and W. Michiels, Reliably computing all characteristic roots of delay differential equations in a given right half plane using a spectral method, , Internal report TW 596, Department of Computer Science, K. U. Leuven, May, 2011. Available by download from http://twr.cs.kuleuven.be/research/software/delay-control/roots/+.
doi: 10.1016/j.cam.2011.12.009. |

















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