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Asymptotic expansion of the optimal control under logarithmic penalty: worked example and open problems

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(1)Asymptotic expansion of the optimal control under logarithmic penalty: worked example and open problems Felipe Alvarez, J. Frederic Bonnans, Julien Laurent-Varin. To cite this version: Felipe Alvarez, J. Frederic Bonnans, Julien Laurent-Varin. Asymptotic expansion of the optimal control under logarithmic penalty: worked example and open problems. [Research Report] RR-6170, INRIA. 2007. �inria-00143515v2�. HAL Id: inria-00143515 https://hal.inria.fr/inria-00143515v2 Submitted on 26 Apr 2007. HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers.. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignement et de recherche français ou étrangers, des laboratoires publics ou privés..

(2) INSTITUT NATIONAL DE RECHERCHE EN INFORMATIQUE ET EN AUTOMATIQUE. Asymptotic expansion of the optimal control under logarithmic penalty: worked example and open problems Felipe Alvarez — J. Frédéric Bonnans — Julien Laurent-Varin. N° 6170 April 2007. ISSN 0249-6399. apport de recherche. ISRN INRIA/RR--6170--FR+ENG. Thème NUM.

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(36) rƒnQŒ‰z²m\Onc‚³ž‘|ƒ|ƒ‡‰‚ ¹~Žn‚³Œ‰³x‰~ · °ËŽ~Ž‘1|h‚ž‡‹~3‚ z‘‡‰~ ¹ n±Zµ4‚¶|hj ƒnQz²Onc‘| |ƒ‡|ƒjŽn‘‡‰~E|hƒ‡‹ ¹ Œ‰ƒ‚ Œš®Žžn‹·›@ z²‡5´|ƒjŽnxZnQz}|’Œš®l³‚ z²j=|ƒjŽŒš|&‘‡‹~E|ƒh‡‰ z hzƒnmmŒšŒ‰³e‚ž~n~lŽ‡‹~ll‚¶¡‰°Ë‡‹j ƒmo· ³xŒ©|4Œ&l‚³z²|hŒ‰~Ž‘n䇚°

(37) Œš|³ncŒ‹z}| cε °Ëh‡‰m ‚ž|hz®5‡‹l~Žlzc´yµ4jlnhn c > 0 ‚ z.l~l‚ž°Ë‡‰hm °Ë‡‰.Œš³ Š%‡‹~ ¹ nh¡‰nc~Žε‘nƒnQz²Ž¶|’zJŒ‰zC|ƒjl‡Ez²n4‡‹®{|hŒ‰‚ž~lnQ\‚ž~ M QŸ O5Œ‰ƒn4‚³mo5‡‹²|’Œš~E|­®Onc‘Œ‰Žzƒn4|ƒjlncx#n±yŽ³Œ‰‚ž~o|hjln4|}xy5n ‡‰mo°Jnc‘~‹‡‹|\~ Œš¹ ~Žnh ¡‰ncz²~Ž|ƒŽ‘n {x3‡‰~Ž‡šn#°4z²~ljŽnc‡‰µ¯l Œ‰¾~Žn ±{O;n Jnc‘‘|r‚žnc°Ë~‹h‡‰|\m Œš³|ƒ¡‰jl‡‰n&h‚ž|ƒ5jlncm~ŽŒšzcž´e|}x|ƒjlmon nŒš|ƒ~ŽjŽŒ‰‡yžx{zƒ·t‚³z p@m&n ¹ Žncz²²||hjl®5nn,³nczhz²zl´ŽŽ°Ël‡‰žtncmo|ƒjlnn\~E|ƒ{nQn =¹ nµ4³‡‰‚ž|ƒ j  ¡‹Œ,nmo~lnc‡‰hhŒ‰no(‘hnc‡‰zƒmollž|h³zän|h‡‰no~Z‚ž~ |ƒjl¹ nQn\z}|hh‚žŒš¡E|ƒŒ©n\|h‚ž‡š‡‹°%~7‘‡š‡‰°%~ ¹ |ƒncjlƒn¡‹nŒ‹~Žz²xy‘nmoµ%{|ƒ‡‹‡‰l|ƒ ‚ 7‘\®O®5n ncjŽ8‹Œ n¹ x‚ž‡‹|ƒt‡y‡‹‡‰³°%zr‡‰°Ël‡‰|ƒä‚³mo|ƒjŽŒ‰n\C‘Ž‡‰Œ©~Ž|hz²jŽ|ƒzch· Ž‘1KŽ|h‡‰‚ž‡‹ ~Z‚³~Ž‡‰z}°J|’Œš¡‰~Ž‡y‘‡{n‰ ´ ŽOlŒš|ƒnhl³ncz#‡‰~ |ƒjŽn¤On~ŽŒ‰¶|}x3ŽŒš’Œšmon|ƒnQ´

(38) Œ‰~Ž$zƒjl‡‰l $l Œ˜x=ŒZ‘n~E|hhŒ‰­ƒ‡‹žn¤‚ž~+Œ‰~Ex ‘‡‹molžn±{‚¶|}x ŽŒ‰~Žƒ‡‹Œš®l³x{žncz²m‚ z­z.‡‰°n ¹ |ƒjŽnc~¤nä°ËŒ‹‡‹zƒ4zƒ‡{ƒ‘nc‚ ³Œ©Œš|ƒ|ƒnQ‚ ¹oncŽžxŒ©|hzƒj ‚žmoI°Ë‡‰l³³žn‡©µ4zƒl‚³~l®O¡#‘³Œ‰Œ‹žzƒ¡‹zƒ‡‰nczh‚¶|h‡‰jl°)m‘‡‰z~Ž·)z²i(|ƒ’‡&Œš‡‰‚³~llnc¤®O‡‰nc{z²||h‚ž8ym~lŒ‰‡©µ4‘³‡‰nc~E{|h¡‹ƒn‰‡‹´‹O|ƒŽjlƒnQ‡‹z²®ln䝞ncŒšmhnrz‡‹· 5nc~ 4æ~$|hjl‚ z#~l‡‰|ƒn‹´0µn‚³ž³Žz²|ƒ’Œ©|hn|ƒjlh‡‰Ž¡‰j$Œ ncƒx3z²‚³mol³n¤n±lŒ‰m\Žžn|hjln ‘‡‰mol{|’Œ©|h‚ž‡‹~$‡š°@Œ 5Žhz²|  ‡‹hln 䌉zƒxym\l|ƒ‡š|h‚³‘än±y5Œš~Žzƒ‚ž‡‹~¤‡‰°

(39) |hjln ‡‰{|h‚žm¹ Œ‰eŽŒ©|hjŽz.‚ž~,|hnhmoz.‡‰°

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(44)  ( i. 2. i. ∞. . . . . . . . .  & #LF: U. . "! $#. &%. . (. ).    E  # #- @=DF ,+L WW D)9 )) )  ⊂ X ×E → Y  #%=  )!" DF 

(45)  #%! ))E  0 'DU!   (ˆ#x , #-ε0 @)=∈DFU -+ F (ˆ x,& ε0/)#%=';0

(46)  HI  H ) #D     A:X →Y c : R + → R+ c(β) ↓ 0 β↓0 x ∈ B(ˆ x, β) '& ; 0 x ∈ B(ˆ x, β). '. ,+. *. ,. '. *. ε ∈ B(ε0 , β). -). ). º

(47) NE». kF (x0 , ε) − F (x, ε) − A(x0 − x)k ≤ c(β)kx0 − xk.. '; )!"="F E #C '; !  'η & > 0 .. -). (x, ε). )* Q )@) #(+>C:. (ˆ x, ε0 ). ). )!"=DF E. x ¯. #D. º». ‰Œ ½ ƒ‚ + Œš®l¨{³§n jlŠ%‡‰‡‹ l~Žzc{´l‚ž|ƒl‚³~l‡‰~‚ž°Ë‡‰hº

(48) NEmo»ožxmo‚³nc~ Œ‰~Žzo· |hjŽŒ©| A = D F (ˆx, ε ) Œ‰~Ž|ƒjŽŒš| z}|hƒ‚ ‘1|¤l‚ P^nhn~E|ƒ‚ Œš®Ž‚ž³‚¶|}x ‚³~ ¹ x ε F (¯ x, ε) = 0 0/1. k¯ x − xk ≤ ηkF (x, ε)k. x. . 0. òËç0ßòôó. ).

(49)  

(50)      !" $#%'&()!* "+,! -.

(51) /)01 . § hzƒn#‡‰° A ´

(52) °Ëµ4‡‰jl@‚ Œ‰‘’žj  µn {Ân~Ž‡š|ƒn A%®yx7x |ƒBjlno´l‡‰‚I· On‹·%n~ ŒmºËOŒš‡‹Žzhlzƒ‚ž‚ž®l~Ž³¡¤x¤|h~Žjl‡‰n~l‡‹³ƒ‚žnc~Žm,ncŒš´1|ƒ»%jlmncƒŒšnolnl±{‚³~l‚ z}¡ |’z BŒ,: ®5Y‡‹l→~Ž{XnQZz²hŽ‚ž‘’¡‹j,jE| |hjŽ‚³~ Œ©¹ | ncABy =y ´lŒš~Ž y∈Y ºM•E» kBk := sup{kByk/kyk | y ∈ Y, y 6= 0} ‚ z 5Ž~l‚ž|ƒn‹· K0‚¶± β > 0 z²5‘’j¤|hjŽŒ©| ºI—‰» L := c(β)kBk < 1. ?(n| ‘‡‰~E|ƒρ‚³~yl>‡‰50z´yŒ‰µ~Žn䍾m|’ŒŒ˜8‰x¤n Œ‹xzƒzƒl∈moB(ˆ nä|ƒxjŽ,Œšρ| ) ´ ε ∈ B(ε , ρ ) .· Ax¾|h(Œ 8E‚³~l¡ ρ > 0 zƒmoŒ‰ž)nc~l‡‰l¡‹j´Œ‰z F ‚ z º E» ρ + (1 − L ) kB[F (x, ε)]k ≤ β. ?(n| ´ ´Ž®5n |hjlnz²nQ„Eln~Ž‘n {;n 5Ž~Žnc,®yx x = x Œš~Ž |hjlnºËmo‡{{*‚ 5Žncp@ncµ.|ƒ‡‹~,³7‚ 8‰nQ»z²|ƒnc {x } n ∈ N º ‹» x = x − BF (x , ε). i.jŽn~ º}–Q™‹» kx − x k = kB[F (x , ε)]k ≤ kBk kF (x , ε)k. @n Œ©|ƒ‚³‡‰~ º E»‚žmol³‚³ncz º}–‹–Q» F (x , ε) + A(x − x ) = 0. ¬ nrzƒjl‡©µ ®yx&‚ž~ŽlŽ‘1|h‚ž‡‹~o|ƒjŽŒš| {x } ƒncmoŒ‰‚ž~5zC‚ž~ B(ˆx, β) I· Ax,º ‹»´š|hjl‚³zJ‚³zC|ƒhln4‚¶° n = 0 · KŽ‡‰ n = 1 ´ µn jŽŒ ¹ näµ4‚ž|ƒj$º}–Q™‹».Œš~5=º ‹» . β. 0. 0. 0. 0. β. 0. 0. −1. 0. n. n+1. n+1. n. n. n. n. n. n. n+1. n. n. i.jŽn~,‚¶° x ∈ B(ˆx, β) ´{°Ë‡‹@Œš³ 1 ≤ i ≤ n ´(º

(53) NE»Œš~Ž º²–‰–Q»%‚³molžx. kx1 − x ˆk ≤ kx1 − x0 k + kx0 − xˆk ≤ kB[F (x0 , ε)]k + ρ0 ≤ β.. º²–QŸ‰». i. Š%‡‹m#®l‚³~l‚³~l¡oµ4‚¶|hj$º}–c™E»’´lµn ¡‰n|. kF (xn , ε)k ≤ c(β)kxn − xn−1 k.. º²–c ‹». kxn+1 − xn k ≤ Lβ kxn − xn−1 k ≤ · · · ≤ (Lβ )n kx1 − x0 k,. Œ‰~Ž jln~Ž‘n‰´lµ4‚ž|ƒj$º‹»1´. kxn+1 − x0 k ≤ (1 − Lβ )−1 kx1 − x0 k ≤ (1 − Lβ )−1 kB[F (x0 , ε)]k ≤ β − ρ0 .. v{‚ž~Ž‘n ´yµnt{nQ{Ž‘nr|ƒjŽŒš| ´lŒš~5jln~5‘n‰´E|hjlnäzƒnc„Elnc~Ž‘n hnmŒ‰‚ž~Žz ‚³~ B(ˆxkx, β)−· ¬ xˆk‚¶|h<j7ρº}–QŸ‹»0Œš~Ž,º}–Q ‹»1´‹µ%n.‡‹®{x|hŒ‰‚ž~&|ƒ∈jŽŒšB(ˆ | xx, β)‘‡‹~ ¹ nh¡‰nQz|h‡z²‡‹mon x¯ zƒŽ‘’j&|ƒjŽŒš{x| F}(¯x, ε) = 0 Œ‰~Ž k¯x − x k ≤ (1 − L ) kBkkF (x , ε)k ´{µ4jl‚ ‘’jlh‡ ¹ nczäº »µ4‚¶|hj¾‘‡‰~5z}|’Œš~E| η ¡‰‚ ¹ nc~¤®yx º}S– NE» η = (1 − L ) kBk. 0. 0. n+1. n. n. 0. β. −1. . 0. β. −1. . ß

(54) ß ÍYZQãƒâ’á.

(55) •. B !" . B  . . #%!")< ! . .

(56) . ½‚³~++º ¨{§»´Žµ4jlp@nc‡‰ƒ|ƒn n%|ƒjŽŒš‚ zr|c´šŒo‚³~®O‡‰|hjlŽn4~Ž{Œšnc®O‡ ¹ hn%‚³¡‰ljEƒ|@‡y‚ž‡‰~ °}´©nµ%’n%z²n jŽŒ‡š¹° n%‡‰®{Œ‰|’~ŽŒš ‚³~lnc|ƒjln.ncz²|ƒ‚³mŒ©|h·4nä›@º²–) NEz²‡5»´{°Ë‡‰|ƒ

(57) jŽn#|ƒjŽjyn.xy‘5‡‰‡‰~Ž|ƒz²jl|hnQŒ‰z²~E‚ z| η |hzƒjŽŽŒ©‘’j | (x,|ƒjŽŒšε)|#º‚³Ez »ƒjl‘³‡‰‡‹B zƒlnrzc·nc~l‡‰l¡‹j r‚ zzhŒ©|h‚³z5ŽnQµ4¹ jlnc~ln ¹ n Ax ∈ B(ˆLx, ρ= )c(β)kBk Œ‰~Ž ε ∈ B(ε , ρ ) µ4jlnhn ρ ‚³z  §   M'¨{§ )¿   ; ! )$)*  ; -1D: ; ) G  ' !D;  @  ) *+>&   '!"& >&( S)&     1  BS) !" &(#%)&F D:& &! +Q-1    ;#!D )   ε ε F (·, ε) xˆ x A º²– » x =x ˆ − BF (ˆ x, ε) + r(ε), 0/1. . . β. . 0. . (.. .. ). *. ; ! ) =. r(ε). ). . '. '. ε. . ε. kr(ε)k ≤ c(β)(1 − c(β)kBk)−1 kBk2 kF (ˆ x, ε)k..  ;' #(+Q. 0. . '. '. )E  ;. 0.

(58) ). ). 0. H ;!D !") &()!. 0. º}–Q•‹». §  ?n| xˆ(ε) := xˆ − BF (ˆx, ε) · ¬ n@jŽŒ ¹ n|hjŽŒ©| F (ˆx, ε) + A(ˆx(ε) − xˆ) = 0 Œš~Ž kˆx(ε) − xˆk ≤ ¬ kBkkF |hjln‡‹ƒncm(ˆx· , ε)k ·W4æ~ ¹ ‚žncµ ‡‰°¾º

(59) NE»´ kF (ˆx(ε), ε)k ≤ c(β)kBkkF (ˆx, ε)k · n7‘‡‹~Ž‘³Ž{n¾µ4‚ž|ƒj |hjln. ½ +¨{§ ›4‘‘‡‹hl‚ž~l¡¤|ƒ‡$º}–Q•‹»’´°Ë‡‰ä|ƒjlnŒ‰ll³‚³‘cŒ©|ƒ‚³‡‰~5zr‡‰°4Š%‡‰h‡‰³ ŒšhxŸl´e®5n|²|ƒnc ncz²|ƒ‚³mŒ©|ƒnQz䇉~ xy‚³n  zƒjŽŒ‰ƒOn4®O‡‰l~5lz.‡‰~,|ƒjŽn ƒncmoŒ‰‚ž~5{n.‚³~ º²– »’·­i.jln ®Oncz²|r‘‡‰~5z}|’Œš~E| c(β) ‚ z4¡‰‚ ¹ nc~¤®yx c(β) º²–˜—š» kF (x , ε) − F (x, ε) − A(x − x)k , c(β) := sup kx − xk µ4jŽnhnt|hjlnzƒllhnm#Žm ‚³z|’Œ 8‹n~,‡ ¹ n4Œ‰ž x 6= x ´l®O‡š|hj,‚³~ B(ˆx, β) ·   - 4" #" Š%‡‹~Žzƒ‚³{nc|ƒjln °Ë‡‹ž³‡©µ4‚ž~Ž¡\ncžncmon~E|hŒ‰ƒxzh‘Œ‰³Œ‰‡‹{|ƒ‚³mŒš‘‡‰~E|ƒh‡‰elh‡‰®Žžncm  Z  º²– ‹» Min (u(t) − 2t) dt + y(1) ,  y(t) ˙ = u(t); u(t) ≥ 0, t ∈ [0, 1]; y(0) = . ›4‘c‘‡‹h{‚³~l¡¤|ƒ‡,†­ƒ‡‹~E|ƒhx‹Œš¡‹l‚³~ zrmo‚ž~l‚³m#Žm lh‚ž~Ž‘‚žŽžn‹´e|ƒjlnoŒ‰zhzƒ‡y‘‚³Œš|ƒnQ 5Ž’z}| I‡‹h{nct‡‹{|ƒ‚³mŒš³‚¶|}x7‘‡‰~  l‚¶|h‚ž‡‹~,‚ z.¡‰‚ ¹ nc~ ®yx|hjln °Ë‡‰³³‡©µ4‚ž~l¡ozƒxyz²|ƒnc m β>0. *. . 0/1. . 0. 0. 0. x,x0. 0. 1. 1 2. 0. 2. 1 2. 2. 3 4.  y(t) ˙ = Hp (u(t), y(t), p(t), t), t ∈ [0, 1], y(0) = 43 ,       p(t) ˙ = −Hy (u(t), y(t), p(t), t), t ∈ [0, 1], p(1) = y(1),       u(t) ∈ Argmin H(v, y(t), p(t), t), t ∈ [0, 1].. º²– ‹». v≥0. òËç0ßòôó.

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(62) /)01. Œ‰žx nc~E‚ž|ƒ~E³|ƒxh‡{µ4{ƒŽ‚ž|²‘|h‚žn~l~¾¡Œ‰Œoz ~l‡‹~lO‡‹zƒ‚¶|h‚ ¹ n ?

(63) Œš¡‹hŒ‰~l¡‰näm#lž|ƒ‚³l³‚žncc´Ž|ƒjln  Œ‰z²|r‘‡‹~Ž{‚ž|ƒ‚³‡‰~‚³~+º}– E»%moŒ˜x ®5n#nc„El‚ ¹    H (u(t), y(t), p(t), t) + λ(t) = 0, ºIŸš™‹»  u(t) ≥ 0, λ(t) ≤ 0, λ(t)u(t) = 0. 4æ~,|ƒjŽnz²Onc‘‚ 55‘ ‘cŒ‰zƒnt‡‰°0Žƒ‡‹®lžncm2º}– ‹»J|ƒjŽn‘‡‰hhnczƒ5‡‹~Ž{‚³~l¡ tŒšmo‚³¶|h‡‰~l‚ Œš~ °Ël~Ž‘|ƒ‚³‡‰~‚³z.¡‹‚ ¹ n~,®yx A. u. i.jyŽz°Ë‡‹.|ƒjlnŒ‹˜ˆ}‡‰‚³~E|@z}|’Œ©|ƒn v{n|²|h‚ž~Ž¡. H(u, y, p, t) = 12 (u − 2t)2 + pu. p(t). µn䡋n|. −p(t) ˙ = 0, t ∈ [0, 1];. p0. p(1) = y(1) =. 3 4. +. Z. 1. u(t)dt.. ´ ´{µ%n ‡‹®{|hŒ‰‚ž~,|ƒj5Œ©|4|ƒjŽn䇋{|ƒ‚³mŒš(‘‡‰~E|ƒh‡‰^‚ z.¡‰‚ ¹ nc~ ®yx := p(1) = p(t) t ∈ [0, 1] 0. µ4jŽnhn p z²‡‹ ¹ ncz|ƒjŽn nc„EŽŒ©|h‚ž‡‹~. u0 (t) = max{2t − p0 , 0} = [2t − p0 ]+ , t ∈ [0, 1],. 0. p0 = y(1) =. µ4jŽ‡‹zƒnäŽ~l‚³„Eln zƒ‡‰³{|ƒ‚³‡‰~,‚ z4¡‰‚ ¹ nc~ ®yx i.jŽnhn°Ë‡‰hn‰´E|hjln ‡‰{|h‚žmŒ‰‘‡‰~E|hƒ‡‹e‚³z. 3 4. +. Z. ºGŸ‹Ÿ‰» ºIŸš ‹». 1. [2t − p0 ]+ dt,. 0. ºGŸl–Q». p0 = 1.. ‚¶° ºIŸNE» ž‚ ° tt ≥≤ ,. i.jŽno‘‡‰~Žz²|ƒ’Œš‚³~E|t‡‹~Z|hjln‘‡‰~E|hƒ‡‹

(64) jŽŒ‹z䇉~l³x7‡‰~Žnrˆ}l~5‘1|ƒ‚³‡‰~3O‡‰‚³~‹|Œš|ä|h‚žmon ·#i.jl‚ z ˆ}Ž~Ž‘1|h‚ž‡‹~3‚ z hn¡‰Ž³Œ‰c´e‚³~Z|hjlnzƒn~Žzƒn\|ƒjŽŒš| u˙ (t) jŽŒ‰z Œ,~l‡‹~6ncƒ‡,ž‚³mo‚¶|µ4jŽnτ~ t=↓p1/2/2·\=p@1/2 ‡š|h‚³‘no|ƒjŽŒš| ‡‹~ln jŽŒ‰z|hjln‘‡‹ƒhnczƒO‡‰~Ž{‚³~l¡&m#lž|ƒ‚³l³‚žnc  ‚ž° t ≤ , 2t − 1 ‚ž° t ≥ . λ (t) = −[1 − 2t] = 0 |¤‘·‡‹molžncmon~E|hŒ‰ƒx‹´J|hjŽŒ©|¤‚ zc´ λ (t) < 0 µ4jŽn~ u (t) = 0 ´n±l‘nl|°Ë‡‰|hjln ˆ}µ4ŽjŽ~Ž‚³‘1‘’|hj ‚ž‡‹zh~ Œ©|ƒ|h‚ ‚žzmo5Žn nczτ z²|ƒ=h‚ ‘11/2 KŽ‡‰t|ƒjl‚ zän±lŒšmol³n|hjln#°Ë‡‹ƒm&l Œ©|ƒ‚³‡‰~Z‡š°C|ƒjŽn&³‡‰¡EŒšh‚¶|hjlmo‚³‘cŒš³žx,5nc~ŽŒš³7‚ 6nc7lƒ‡‹®l³nm‚³zc´^°Ë‡‰ä¡‰‚ ¹ nc~ ´ u0 (t) = [2t − 1]+ =. . 0 2t − 1. 1 2 1 2. 0. 0. 0. 1 2 1 2. +. 0. 0. 0. ε>0.   . ß

(65) ß ÍYZQãƒâ’á. Min. 1 2. Z. 1 0. .  (u(t) − 2t)2 − ε log(u(t)) dt + 12 y(1)2 ,. y(t) ˙ = u(t), t ∈ [0, 1];. y(0) = 43 ,. 0.

(66) B !" . . B  . . . #%!")< ! 

(67) . 4µz²|hjŽŒšn|ƒn4hn&zhŒ©‚ž||ƒ‚ z‚³z 5Žnc‚³mozCŒ‰l¡‹ž‚ Œš‘‚³‚ž~ |ƒ³xZºIŸ{–˜hnc»1„E´‹lŒ‰~Ž‚³h&nc¾µ%n4|hjŽ{Œ©nc| ~lu(t) ‡š|hn4®E>x p0 °Ë‚¶‡‰|’z­ ‘ŒŽ‡‹· n‹~Ž·z}|’tŒš~E∈| ¹[0,Œš³1]ln‰·\·)i.›4jl‘‘n‡‰‘’‡‹{ƒ‚ž~Žhnc¡rzƒ|h5‡t‡‹~Ž|hjl{n4‚³~lmo¡ ‚žŒ‹~Ž˜‚žm&ˆ}‡‰l‚³~Em | Žƒ‚³~Ž‘‚³l³n‰´y|hjln ‡‰{|h‚žmŒ‰(‘‡‹~‹|hƒ‡‹G´yµ4jl‚ ‘’j,µ%n{nc~l‡š|hn ®Ex u (t) ´5zhŒ©|h‚³z5Žncz ºGŸ » u (t) > 0; u (t) − 2t + p − ε/u (t) = 0. pr‡š|h‚³‘n |hjŽŒ©|®yx+Œš~5Œš³‡‰¡‰x µ4‚ž|ƒj ºGŸ‰™‹»1´%µ%n‘Œ‰~‚³~E|ƒh‡{{Ž‘nŒš~ ƒŒšƒ|ƒ*‚ 55‘‚ Œš m&l¶|h‚žŽž‚³n ¹ Œšh‚ Œš®l³n¤®yx zƒn|ƒ|ƒ‚³~l¡ ºGŸ‰•‹» λ (t) = −ε/u (t), µ4jŽ‚³‘’j,‚³z@~ln¡EŒ©|ƒ‚ ¹ n Œš~5,zhŒ©|h‚³z 5ŽnQzJ|hjln °Ë‡‰³³‡©µ4‚ž~l¡oOnƒ|ƒlh®Onc,‘‡‰mol³nmonc~‹|’Œšhx¤‘‡‹~Ž{‚ž|ƒ‚³‡‰~ ε. ε. . ε. ε. ε. ε. . . ε. ε. i.jŽnäŽ~l‚³„Elnzƒ‡‰³{|h‚ž‡‹~ ‡‰° ºIŸ »J‚ z4¡‹‚ ¹ n~,®Ex. λε (t)uε (t) = −ε.. . °Ë‡‹ v{‚ž~Ž‘n. uε (t) = φε (2t − pε ), φε (x) := 21 (x +. p. x2 + 4ε) =. ´{µn {nc{5‘n |ƒj5Œ©| φ (−x)φ (x) = ε ε. . ε. ‚¶° x = 0, ‚¶° x 6= 0..  √  ε. [x]+ + ε/|x| + O(ε2 ). ºIŸ‹—š» ºIŸ ‹». °Ë‡‹ž³‡©4ðµ4|4‚³h~ln¡&mnQŒš„E‚³~ŽŽz%Œ©|h|ƒ‚ž‡o‡‹~¤‘‡‹°Ëm\‡‹ Žp{|ƒnä |ƒjŽn ¹ Œ‰žln p ‡š°|hjln Œ‰˜ˆ}‡‹‚ž~E|4z}|’Œ©|hn‰·­qrzƒ‚³~l¡¾ºGŸ{–˜»JŒ‰~Ž3ºGŸ‹—‰»’´{µnt¡‹n|.|ƒjln Z ºIŸ ‹» φ (2t − p )dt = + [Φ (2 − p ) − Φ (−p )] , p = + µ4jŽnhn Φ ‚ z4Œolƒ‚³mo‚¶|h‚ ¹ n ‡š° φ ´Ž~ŽŒšmon³x ºM ‹™‹» Φ (x) = Φ (x) + Φ (x). µ4jŽnhn p ºM Ž–Q» Φ (x) = x + x x + 4ε Œ‰~Ž   p ºG ‹Ÿ‰» Φ (x) = ε log x + x + 4ε . 4æ~‡‹hlne|h‡@‡‰®{|’Œš‚³~Œ@‘³‡‹zƒncä°Ë‡‹ƒm °Ë‡‰ µ%n%z²jl‡‹l  5Ž~Ž ®yxäzƒ‡‰ ‚ž~l¡&ºGŸ E»1·0q@~{°Ë‡‹²|hl~ŽŒ©|hn³x‰´ |hŒ‰jl~,‚ z­Œ‹z²|hxyhŒ‰mo~Ž{zƒ‘|h‡šn~Ž|ƒ‚ l‘änn~E±{|%ŽnQŒ‰„‹~Ž5z²Œ©‚³‡‰|ƒ‚³~,‡‰~¤‡š° ‚³zŒšl°Ë‡‰5 Œšhn~E‘|ƒžu‡E³x\z²nä(t)l|h‚ J‡ ‘Ž·C¶i(|‡\|ƒ‡\|ƒjŽz²‡‹‚³z4 ¹ ncnr~Ž{ep‚³´lƒnQµ‘1n |ƒ³{x‰n;· 55¹ 4æ~l~Žnz²|ƒnQŒ‰e´Eµnrµ4‚³že‘‡‹mol{|ƒn p ε 0  ‚ž° ε > 0,  x − − Φ (2 − x) + Φ (−x) ºG ‰ ‹» F (x, ε) = ž ‚ °  x − − [2 − x] + [−x] ε = 0, λε (t) = −ε/uε(t) = −φε (pε − 2t). ε. ε. 1. ε. ε. 3 4. ε. 3 4. ε. 0. 1 2. ε. ε. ε. ε. ε. ε. 1,ε. 1,ε. 1 2 4. 2,ε. 1 4. 2. 2. 2,ε. ε. ε. ε. 3 4. 1 2. 3 4. 1 4. 1 2. ε. 2 +. 1 4. ε. 2 +. òËç0ßòôó.

(68)  

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(70) /)01 . ‰‡µ4° jŽ(p‚³‘’j, |h0)lƒ=~5zr(1,‡‹{0)|r|h· ‡¬ ®5n nrjŽˆ}‡‰Œ ‚³¹ ~Enä|ƒ³|hxjŽŒ©‘|4‡‰~E°Ë‡‹|ƒ‚³4~yln ¹ ‡‰nc5ƒz@x Œšε~Ž≥Zz²0mo´ p‡y‡š|hzhj¾Œ©|ƒµ4‚ z‚¶5Ž|hj7ncz ƒnQz²Onc‘|r|h‡ x ‡‹~7Œ~lnc‚ž¡‹jE®O‡‰hjl‡y‡{ ºM(  NE» F (p , ε) = 0. Ä ®5z²nc ¹ n¾|ƒjŽŒš|,µn=‘cŒš~l~Ž‡š|¾Œšll³x |ƒ‡ ºM(  NE»o|hjln ‘ Œ‰zhz²‚ ‘Œ‰B 4æmol³‚³‘‚¶| KlŽ~Ž‘1|h‚ž‡‹~ i.jlnc‡‰hnm®5nQ‘Œ‰Žz²n ‚³z¤~l‡š| ‘‡‰~E|ƒ‚³~yl‡‰5z²³x l‚ P^nhn~E|ƒ‚ Œš®ŽžnZŒš| (p , 0) = (1, 0) · 4æ~ °MŒ‹‘1|Q´rŒšž|ƒjl‡‹l¡‰j (x, ε) → F (x, ε) ‚ . z ³ ‚ Ž ~ {  nnQz²mo‡y‡š|hj,Œ‰ƒ‡‹l~Ž p = 1 Œš~Ž mo‡‰hn‡ ¹ nc x → F (x, ε) ºG  » D F (p , 0) = , ‡‹~\|ƒjln4‡‰|ƒjlncCjŽŒš~Ž´š|ƒjŽn@ŽŒšƒ|ƒ‚ Œšllnh‚ ¹ Œ©|h‚ ¹ n D F (p , 0) ‚ zC~l‡‰|­µ%ncžŽl;n 5Ž~lnQo®5nQ‘Œ‰Žz²n.µn4jŽŒ ¹ n|hjŽŒ©| ºM ‹•‹» 1 1 [F (p , ε) − F (p , 0)] = F (p , ε) = log ε − + O(ε). ε ε KŽ‡‰ ‡ ¹ n’‘‡‹mo‚ž~l¡ |hjl‚ z¤|hnc‘’jl~Ž‚³‘cŒštl‚ J‘Ž¶|}x‹´rµnZµ4‚³ž ŒšlŽžx Š%‡‰h‡‰³ Œšhx Ÿ$‡‰°&vync‘|ƒ‚³‡‰~ Ÿ$|ƒ‡ ºGŸ E»1´ ‡‹onc„El‚ ¹ Œ‰žnc~E|ƒ³x‰´C|h‡ ºG  Ny»19· K0‚³hz²|c´%®yx ¹ ‚³ƒ|ƒln‡š°t|ƒjln¾{nQ‘‡‹m\O‡‹zƒ‚ž|ƒ‚³‡‰~ ºG ‰™E»’ºG ‹Ÿ‹»‡‰° Φ ´%µ%n,µ4ƒ‚ž|ƒn µ4jlncƒn F (x, ε) = F (x, ε) + F (x, ε)  ‚ž° ε > 0,  x − − Φ (2 − x) + Φ (−x) ºG E—š» F (x, ε) = ¶ ‚ °  ε = 0, x − − [2 − x] + [−x] Œ‰~Ž  ‚ž° ε > 0,  − Φ (2 − x) + Φ (−x) ºG  ‹» F (x, ε) = ¶ ‚ °  0 ε = 0. A‡‰|ƒj\°Ël~Ž‘|ƒ‚³‡‰~Žz­Œ‰ƒn@‘‡‰~E|ƒ‚³~yl‡‰5zCŒš~Žozƒm\‡y‡‰|ƒjoµ4‚¶|hjƒnQz²Onc‘|C|ƒ‡ ‡‹~Œ ~ln‚³¡‰jy®O‡‰hjl‡y‡y&‡š° (p , ε ) = ·­vyn|²|ƒ‚³~l¡ A = D F (1, 0) Œ‰~Ž A = D F (1, 0) ´ i = 1, 2x´yµ%n jŽŒ ¹ n (1, 0) ºG  ‹» A = 0, A = A = . v{‚ž~Ž‘n ‚³ztz²mo‡y‡š|hj ºË°Ë‡‰@µ4j5Œ©|4°Ë‡‰³³‡©µ@z.‚¶|tzƒ% J‘nQz ‡š°C‘ Œ‰zhz »4‡‰~¾Œo~ln‚³¡‰jy®O‡‰hjl‡y‡{¤‡‰° ´ µ5z²n#‚³~lj5¡7Œ ¹Fº}n–©—š|h»jŽŒšŒ©~5|o3º NyºG»@  Ejl»’‡‹´{³Ž|ƒjŽzrn °Ë‡‹®5 nQz}F|r‘‡‰µ4~Ž‚¶|hz²j|hŒ‰c~‹|4(β)‚ z = c βF°Ë‡‹äzƒ‡‰mon&Œ‰Cllh‡‰lh‚ Œ©|ƒn&‘‡‰~5z}|’Œš~E| c · Kl‡‰(1, F0) ´ 0. ε. ε. 0. 0. 0. ε. 0. . 3 2. 0. x. 0. 1 2. 0. 1 2. ε. 1. 2. 1. 3 4. 1 2. 3 4. 1 4. 1 2. 1 2. 1,ε. 2 +. 1,ε. 2 +. 1 4. 1 2. 2,ε. 2,ε. 2. 0. x. i. 2. 1. 1. 1. 1. 0. x i. 1. 3 2. 2. 0 1. 0 1. 2. º

(71) N‹™‹» µ4Œ‰~ŽjŽ nhnµ%|ƒjŽn n\jŽzƒŒ lln hnm&lm‚³zä‡ ¹ nc x 6= x ´e®O‡š|ƒj=‚ž~Z|ƒjln\‚³~‹|hn ¹ Œš [1 − β, 1 + β] · A{|ä°Ë‡‰ä5‡Ez²‚ž|ƒ‚ ¹ n y ¹ c2 (β) := sup x,x0. |F2 (x0 , ε) − F2 (x, ε)| , |x0 − x|. 0. z. ß

(72) ß ÍYZQãƒâ’á. p −y + y 2 + 4ε √ Φ2,ε (−y) − Φ2,ε (−z) := ε log −z + √ z 2 + 4ε z + z 2 + 4ε p = O(ε|y − z|). = ε log y + y 2 + 4ε. º

(73) NŽ–Q».

(74) –Q™. B !" . B  . . . #%!")< ! 

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(76) NE°Ë‡‰»%hjln‡‹µ³ln&z4m°Ë‡‰Œ˜ x,F|hŒ(µ48‰n‚ž|ƒjc (β) = c ε Œš~Ž 5Ž~ŽŒš³³x‰´ez²‚³~Ž‘n ε ‚ z䑒jŽ‡‹zƒn~Zzƒ‡|hjŽŒ©| ε ≤ β ´µn#‡‹®{|hŒ‰‚ž~ º

(77) NEŸ‰» c(β) = (c + c )β. i.jŽnhn°Ë‡‰hn i.jln‡‹ƒncm – Œš~Ž7Š%‡‹ƒ‡‹ž Œšhx¤ŸoŒšlŽžx‹· ¬ n mŒ˜x,‘’jl‡y‡‹zƒn ρ = ε ´5Œš~Žzƒ‚ž~Ž‘n |F (p , ε)| = ´(º ‹»‚³molž‚³ncz β = O(ε log ε) ·­i.jyŽz´{5z²‚³~l¡ZºG ‰•‹»%µn ‡‰®{|’Œš‚³~¤|hjln °Ë‡‰³ž‡©µ4‚³~l¡ohnczƒl¶| O(ε log ε) §  J ¥ M¦   '.D     ; !  * D+F! %

(78)  1 ;'0 >&!" *) )   0 2. 2. 0 1. 0 2. 0. !. ! $#. . .. 0. . '. = p0 − A−1 F (p0 , ε) + O (ε log ε)2. pε. . º

(79) N‹ ‹».  = 1 − 31 ε log ε + 13 ε + O(ε2 ) + O (ε log ε)2 ,. = 1 − 31 ε log ε + 13 ε + O((ε log ε)2 ). i.jl‚ z&‚³z|ƒ‡Z®On ‘‡‰moŽŒ‰ƒnQ=µ4‚ž|ƒj+|ƒjln,z}|’Œš~ŽlŒ‰h$‘cŒ‰zƒnZºË‡‰°rŒ7zƒm\‡y‡‰|ƒj$Onƒ|ƒlh®ŽŒ©|h‚ž‡‹~5» µ4jŽnhn|ƒjln n±{ŽŒš~Žzƒ‚³‡‰~¤µ‡‰Ž³ ®5n ‡‰°

(80) |hjln |}xy5n p + dε + O(ε ) °Ë‡‰@Œ‰~Œ‰llh‡‰lh‚ Œ©|ƒn䑇‹~Žz}|’Œš~E| d · 4nQ‘Œ‰ž^|hjŽŒ©|Q´l®yx ¹ ‚žƒ|ƒŽn䇉°ºGŸ‹—‰»Œš~Ž ºGŸ ‹»’´Žµ%n jŽŒ ¹ nr°Ë‡‹ ε > 0  √ ‚ž° t = p ,  ε º

(81) N(NE» u (t) = φ (2t − p ) = š ‡ h | l j  n h  4 µ ³ ‚ ƒ z n  , [2t − p ] + ε/|2t − p | + O(ε ) µ4jŽ‚ž³n u (t) = [2t − 1] . v{n|²|h‚ž~Ž¡ |hjln~,°Ë‡‹@Œš³ ε > 0 zƒmŒš³en~l‡‹l¡‰j t |ƒ=‡zhŒ©p|ƒ‚ z²=°Ëx t −> tε log= ε´{+µ%O(ε), n ¡‰n| 2. 0. 1 2 ε. ε. ε. ε. ε +. ε. 0. ε. 1 2 ε. +. 1 2. 1 6. ε. √. 2. 0. √. 1 2. √ ε + 31 ε log ε + O(ε) = O( ε).. h|v{jŽ‚ž~ŽŒ©‘| n °Ë‡‰ t 6= t µnjŽŒ ¹ n |u (t) − u (t)| ≤ O(ε log ε) Ž√~l‚¶°Ë‡‹ƒmo³x µ4‚ž|ƒj¾hnczƒOnc‘1|4|h‡ t ´Žµn#{nQ{Ž‘n Ä ~ |ƒjŽn ‡š|ƒjŽn4jŽŒ‰~Že´l‚ž|@‚³z.~Ž‡š|r{‚*J‘lkuž|4|ƒ−‡ ¹ uncƒk‚ž°Ëx|hjŽ=Œ©| O( ε). uε (tε ) − u0 (tε ) = ε. ε. ε − (2tε − 1) = 0. ε. æ~,°MŒ‹‘1|c´. kuε − u0 kL1 = O(ε log ε).. 4. kuε − u0 kL1 ≥. 0 L∞. Z. 1 2 0. φε (2t − pε )dt = 21 [Φε (1 − pε ) − Φε (−pε )] = − 21 ε log ε + O(ε).. òËç0ßòôó.

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(86) N » . ‚ z@z²‡‹mon䡋‚ ¹ n~ ƒn°Ënhn~Ž‘n ‘‡‰~E|ƒh‡‰I´ A ∈ R ´ B ∈ R ´ŽŒ‰~Ž n×n. n×m. m U := Rm + = {u ∈ R | u ≥ 0}.. rnhn‰´y|hjln rŒ‰m\‚³ž|ƒ‡‰~Ž‚³Œ‰~¤°Ël~5‘1|ƒ‚³‡‰~‚ z4¡‰‚ ¹ nc~ ®yx. H(u, y, p, t) =. 1 ku − r(t)k2 + p> (Ay + Bu), 2. Œ‰~Ž¤|ƒjlnŒ‹zƒzƒ‡{‘‚ Œ©|ƒnQ†)‡‰~E|hƒxEŒš¡‰Ž‚ž~ moŒš±{‚žm&lm lh‚ž~5‘‚³lžn ‚ z.  y(t) ˙ = Hp (u(t), y(t), p(t), t) = Ay(t) + Bu(t), t ∈ [0, T ],         p(t) ˙ = −Hy (u(t), y(t), p(t), t) = −A> p(t), t ∈ [0, T ],    y(0) = y 0 , p(T ) = y(T ),         H(v, y(t), p(t), t), t ∈ [0, T ],  u(t) ∈ Argmin m v∈R+. ß

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(133) Unité de recherche INRIA Futurs Parc Club Orsay Université - ZAC des Vignes 4, rue Jacques Monod - 91893 ORSAY Cedex (France) Unité de recherche INRIA Lorraine : LORIA, Technopôle de Nancy-Brabois - Campus scientifique 615, rue du Jardin Botanique - BP 101 - 54602 Villers-lès-Nancy Cedex (France) Unité de recherche INRIA Rennes : IRISA, Campus universitaire de Beaulieu - 35042 Rennes Cedex (France) Unité de recherche INRIA Rhône-Alpes : 655, avenue de l’Europe - 38334 Montbonnot Saint-Ismier (France) Unité de recherche INRIA Rocquencourt : Domaine de Voluceau - Rocquencourt - BP 105 - 78153 Le Chesnay Cedex (France) Unité de recherche INRIA Sophia Antipolis : 2004, route des Lucioles - BP 93 - 06902 Sophia Antipolis Cedex (France). Éditeur INRIA - Domaine de Voluceau - Rocquencourt, BP 105 - 78153 Le Chesnay Cedex (France).   

(134).   . ISSN 0249-6399.

(135)

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