R ENDICONTI
del
S EMINARIO M ATEMATICO
della
U NIVERSITÀ DI P ADOVA
A LBERTO B RESSAN A NDREA M ARSON
A maximum principle for optimally controlled systems of conservation laws
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of Conservation Laws.
ALBERTO BRESSAN - ANDREA
MARSON (*)
ABSTRACT - We
study
a class ofoptimization problems
ofMayer
form, for thestrictly hyperbolic
nonlinear controlled system of conservation laws ut +[F(u)]x
= h(t, x, u, z), where z = z(t, x) is the control variable. Intro-ducing
afamily
of«generalized
cotangent vectors», we derive necessary con- ditions for a solution to beoptimal,
stated in the form of a MaximumPrinciple.
1. Introduction.
This paper is concerned with a class of
optimization problems
for astrictly hyperbolic system
of conservation laws with distributed con-trol,
in one space dimension:Here
(t, x)
E[0, T]
xR,
while u E I~m is the statevariable,
and thecontrol
z = z(t, x)
varies inside an admissible set Given asmooth function V: R x we consider the
optimization prob-
lem
where is the
family
of all measurable control functionstaking
valuesinside
Z, u(z)
is the solution of(1.1) corresponding
to the control z, and(*) Indirizzo
degli
AA.: S.I.S.S.A., Via Beirut 4, Trieste 34014,Italy.
J is a functional which
depends
on the terminal values of u:Necessary
conditions will bederived,
in order that a control function i =i(t, x )
beoptimal
for theproblem (1.1)-(1.2).
Thekey
forobtaining
such conditions is to understand how the values
u ( t, x )
of the solution of(1.1)
areaffected, if
the control z is varied in theneighborhood
of anygiven point (to , xo ).
Assuming
that theoptimal solution i
ispiecewise Lipschitz
withfinitely
many lines ofdiscontinuity,
the behavior of aslightly
per- turbed solution u ~ can be describedusing
the calculus for first ordergeneralized tangent
vectorsdeveloped
in[2].
In this paper, we intro- duce a class of«generalized cotangent
vectors» and derive anadjoint system
of linearequations
andboundary conditions, determining
howthese covectors are
transported
backward in timealong
i. We thenprove a necessary condition for the
optimality
of asufficiently regular
control
i,
stated in the form of a MaximumPrinciple.
The main technical
problem arising
in theproof
is the fact that thetransport equations
fortangent
vectors can bejustified only
under thea-priori assumption
that allperturbed
solutions u E remainpiecewise Lipschitz continuous,
with the same number ofjumps
as ic.Therefore,
when a of control variations is
constructed,
it is essential to check that thecorresponding
solutions u’ = do notdevelop
a gra- dientcatastrophe
before the terminal time T. For this reason,strong regularity assumptions
on theoptimal
control i and on theoptimal
sol-ution K will be used. We
conjecture
that theserequirements
could beconsiderably
relaxed.Our main
theorem,
stated in § 5 in the form of a MaximumPrinciple,
covers the case of an
optimal
solution withfinitely
many, non-intersect-ing
lines ofdiscontinuity.
In thelight
of theanalysis
in[2],
it isexpect-
ed that similar results should be valid also in the case of
interacting
shocks.
2. Basic
assumptions
and notations.In the
follov4ng, [ . I and ( . , . )
denote the Euclidean norm and innerproduct
onR~, respectively.
We first consider theunperturbed system
of conservation laws
under the basic
hypotheses
(H 1)
The set ,S~ c open and convex, F: S2 H is ae1
vectorfield.
The
system
isstrictly hyperbolic,
and each characteristicfield
iseither
linearly degenerate
orgenuinely
nonlinear.For the basic
theory
of discontinuous solutions of conservative sys-tems,
we refer to[5, 6, 7, 8].
We denote
by Ài (u), ri ( u ), respectively
the i-theigenvalue
and i-th
right
and lefteigenvector
of the Jacobian matrixA(u) =
=
DF(u),
normalized so thatwhere 8ij
is the Kroneckersymbol. For u,
define theaveraged
matrix
Clearly A(u, u’ ) = A(u’, u) and A(u, u)
=A(u).
For i =1,
... , m, the i-theigenvalue
andeigenvectors
ofA ( u, u ’ )
will be denotedby
~, i (u, u’ ), ri (u, u’ ), li (u, u’).
We assume that the ranges of theeigenvalues Ài
2 do notoverlap,
i.e. that there existdisjoint
intervalsL~ i , A~ ],
such thatBecause of the
regularity
ofA,
it ispossible
to chooseri, li
tobe
e1
functions of u,u’,
normalizedaccording
toIf 0
is any function defined onQ,
its directional derivativealong
ri at u is denoted
by
For the differential of the i-th
eigenvalue
of the matrix A in(2.3)
we write
A similar notation is used for the differentials of the
right
andleft
eigenvectors
of A.For each
1~ E ~ 1, ... , ~n ~, vve
assume that either the k-th characteris- tic field isgenuinely
nonlinear andfor some E1 > 0 and all u
+ , u -
e Q connectedby
an admissible shock of the k-thfamily,
or else that the k-th characteristic field islinearly
de-generate,
so that~~/c(~)
= 0 andwhenever u ’ and u - are connected
by
a contactdiscontinuity
of thek-th
family.
For every
fixed k ~ {1, ... , m 1,
thecouples
ofstates u + , U -
whichare connected
by
a shock of the k-th characteristicfamily
can be deter-mined
by
thesystem
1equations
Differentiating (2.4)
w.r.t. u+ , ~c - ,
one obtains thesystem
To express the
general
solution of(2.5),
define the sets 3 and o(incom- ing
andoutgoing)
ofsigned
indicesif the k-th characteristic field is
genuinely nonlinear,
whilein the
linearly degenerate
case. Observe that thesystem
of n - 1 scalarequations (2.7)
is linearhomogeneous w.r.t. w - , w + ,
with coefficientswhich
depend continuously
on u - , u + . one hasTherefore,
if u - and u + aresufficiently
close to eachother,
onehas
In
turn,
when the(n - 1)
x(n - 1)
determinant in(2.9)
does notvanish,
one can solve(2.5)
for the n - 1outgoing
variablesWi II
j
Here w ~ denotes the set of n + 1
incoming
i:te 3).
Weremark
that,
in the case where thek-th
characteristic field islinearly degenerate,
one hashence all functions do not
depend
on This is consistent with our definition(2.8)
ofincoming
waves.Next,
consider theperturbed system
where h is a
continuously
differentiable function of itsarguments.
Wesay that u =
u ( t, x )
is apiecewise C1
solution of(2.12)
if there existsfinitely
manye1
curvesin the
t-x-plane,
such that(i)
The function u is acontinuously
differentiable solution of(2.12)
on thecomplement
of the curves y a .(ii) Along
each curve x = xa(t),
theright
and left limitsexist and remain
uniformly
bounded.Moreover,
the usual Rankine-Hugoniot
and theentropy admissibility
conditions hold.For the
uniqueness
of solutions of(2.12)
within this class of func-tions,
we refer to[3, 4,10].
We say that u has a weakdiscontinuity along
xa if ux is discontinuous but the function u itself is continuous at each
point (t,
Xa(t)).
In the caseu(t,
Xa+ ) ~ u(t,
Xa -),
we say that u has astrong discontinuity,
or ajump,
at xa .3 - Generalized
tangent
vectors.Let be a
piecewise Lipschitz
continuous function with discontinuities atpoints
x, ... xN .Following [2],
we definethe space
Tu
ofgeneralized tangent
vectors to u as the Banach spaceL1
xR~.
On thefamily ~u
of all continuouspaths
y :[ 0,
withy(O)
= u(with
E o > 0possibly depending
ony),
consider theequiva-
lence relation - defined
by
We say that a continuous
path
y E~u generates
thetangent
vector(v, ~)
ETu
if y isequivalent
to thepath
y (v, s; u) defined asUp
tohigher
orderterms,
is thus obtained from uby adding
Evand
shifting
thepoints
xa , where the discontinuities of u occur,by
In order to derive an evolution
equation
satisfiedby
thesetangent
vec-tors,
one needs to consider moreregular paths
y Etaking
values in-side the set of all
piecewise Lipschitz
functions.DEFINITION 1. In connection with the
system (2.12),
we say that afunction u : R - is in the class PLSD of Piecewise
Lipschitz func-
tions with
Simple
Discontinuities if it satisfies thefollowing
condi-tions.
(i)
u hasfinitely
manydiscontinuities,
say at Xl x2 ... xN , and there exists a constant L such thatwhenever the interval
[x, x’ ]
does not contain anypoint
xa .(ii)
Eachjump
of u consists of a contactdiscontinuity
or of a sin-gle,
stable shock. Moreprecisely,
for everya E ~ 1, ... , N ~,
there existska E { 1, ... , m}
such thatwhere u
+ , u -
denoterespectively
theright
and left limits ofu ( x )
asx - xa.
DEFINITION 2. Let u be a PLSD function. A
path
y EI u
is aRegu-
Lar Variation
(R.V.)
for uif,
for e E[ o, £0],
all functions u £ = are inPLSD,
withjumps
atpoints xf
...depending continuously
on E.They
allsatisfy
Definition 1 with aLipschitz
constant Lindependent
of £.
For each e E
[ o,
let u E =U £ (t, x )
be apiecewise e1
solution of thesystem (2.12), with jumps
at ... Assumethat,
at someinitial time
t,
thefamily u’(t, -)
is a R.V. of), generating
the tan-gent
vector(v, ~). Then,
aslong
as the discontinuities in u E do not inter- act and theLipschitz
constants of the u ~(outside
thejumps)
remainuniformly bounded,
for t> t
thefamily u E (t, ~ )
is still a R.V. ofu ° ( t, ~ )
and
generates
atangent
vector(v(t,
.,~(t)). According
to Theorem 2.2 in[2],
this vector can be determined as theunique
broad solution with initial condition(v, ~)(t) _ (V, ~)
of the linearsystem
outside the discontinuities of u,
coupled
with theboundary
condi-tions
along
each line x = xa(t)
where u suffers adiscontinuity
in thecharacteristic
family.
We recall that a broad solution of a semilinearhy- perbolic system
is alocally integrable
function whosecomponents
sat-isfy
theappropriate integral equations along
almost all characteristics.See
[1, 6]
for details.For future
applications,
it is convenient to derive a version of(3.6)- (3.8) involving
thecomponents ux
=(li (u), = (li (u), v).
Differen-tiating
w.r.t. E theequation
one obtains
Using (3.9) together
with the relationsmultiplying (3.6)
on the leftby li
we findHere
[rj, rk]
denotes the Lie bracket of the vector fields rj, rk.Concerning
theequations (3.7)-(3.8),
for each fixed acall u - ,
u + thelimits of
u ( t, x )
as x ~ from the left and from theright, respect- ively. Similarly,
define thecomponents (~c ± ), v ± ~,
so that v + == 2 ~ ~ ~ ’ =2
ri vi .Comparing (3.7)
with(2.5), where
= it follows that if(2.9)
holdsthen,
for any fixed valuesvi± (i ±
E~)
of the in-coming components,
the linearequations (3.7)
can beuniquely
solvedfor the m - 1
outgoing components:
Observe that the
Va
are linearhomogeneous
functionsof i
and of theincoming
variables v ~ . Inturn, inserting
these values in(3.8),
one ob-tains an
expression
for the time derivatives4 - The
adjoint equations.
Let the function u : be
piecewise Lipschitz
continuous with Npoints
ofjump.
We then define the space ofgeneralized cotangent
vectors
(or adjoint vectors)
to u as the Banach spaceTu
=L°°(R)
x Elements ofTu
will be written as(v * , ~ * )
andregarded
as rowvectors.
Given a
piecewise Lipschitz
solution u =u(t, x)
of(2.12),
withjumps along
the lines x = a =1, ... , N,
we shall derive anadjoint system
of linearequations
on7~*
whose solutions(v * ( t, ~ ), ~ * ( t ))
havethe
property
that theduality product
remains constant in
time,
for every solution(v, ~)
of the linearsystem (3.6)-(3.8).
Assume that
(4.1)
holds for every solution v of(3.6)
which vanisheson a
neighborhood
of all lines x = xa(t).
Then anintegration by parts
shows
that,
away from the discontinuities of u, the function v * mustsatisfy
where,
referred to a standard basis{~i,..., em ~
ofDA(u) ux
is them x m matrix whose
( j , i ) entry
isIn order to formulate also a suitable set of
boundary conditions,
validalong
the lines x = xa(t),
it is convenient to work with thecomponents
v * _ (v * , ri (u)~.
For each fixed a, we shall write+ ))
and for the the i-th charac- teristicspeeds
to theright
and to the left of the a-thdiscontinuity,
re-spectively. Similarly,
we write== vt (xa + ), ’-- v * (Xa -)-
In thefollowing, P a
are the linearhomogeneous
functions introduced at(3.11 )-(3.12).
PROPOSITION 1. Let u be a
piecewise C1
solutionof
thehyperbolic system (2.12),
withjumps occurring along
the(nonintersecting)
linesx = Assume that the map
t H (v * ( t, ~ ), ~ * ( t ))
ET.* ,
with v * _provides
a solution to the linearsystem
outside the lines where u is
discontinuous, together
with the equa- tionsalong
each line x = xa(t). Then, for
every solution(v, ~) of (3.6)-(3.8),
the
product (4.1 )
remains constant in time.PROOF. For notational
convenience,
we setxo (t) _ - ~ ,
XN + 1 (t)
= + oo .Integrating
eachcomponent along
the corre-sponding
characteristic lines x =Ài(u),
the time derivative of(4.1)
can becomputed
asFrom
(4.3)
and(3.10),
astraightforward computation
shows thatTherefore,
all theintegrals
on theright
hand side of(4.6) equal
zero.
Next,
we observethat,
for each a, the functionsVa
in(3.11)- (3.12)
are linearhomogeneous
w.r.t. theindependent variables Ea,
vi ± ,i:t e 3.
Therefore,
we can writeFrom
(4.6), using (4.8)
andfactoring
out theterms ~ a ,
weobtain
because of
(4.4), (4.5).
This provesProposition
1.REMARK 1. The
equations (4.4)-(4.5)
determine theincoming
vari-ables I * E :1, in terms of the
outgoing
variables E n. There-fore,
theCauchy problem
for theadjoint
linearsystem (4.3)-(4.5)
is wellposed
if oneassigns
the terminal values(v * ( T, ~ ), ~ * ( T ))
and seeks asolution defined backward in time.
REMARK 2.
If,
at xa , thejump
of u consists of a contact discontinu-tity
in the characteristicfamily,
then theequations (4.5)
deter- mineonly
the m - 1incoming components
I * E :1, with 4 definedby (2.14).
In this case, theequations (4.9)
stillhold,
because the functionsdo not
depend
on vk a ± .5 - A Maximum
Principle.
Consider
again
theoptimization problem (1.2)
for thesystem (1.1).
We assume that F satisfies the basic
hypotheses (HI) in § 2
and that the functions h =h(t,
x, u,z)
and V =V(x, u)
in(1.1), (1.3)
are continuous-ly
differentiable.Let i
be anoptimal solution, corresponding
to thecontrol
i.
In order to derive necessary conditions oni,
we shall con-struct a
family
of E obtainedby changing
thevalues of i in a
neighborhood
of agiven point (to , xo).
We thenstudy
how the
corresponding
solution u ~ behaves at the terminal time T.By
the results in[2],
thechange
inK(T, .)
can be described up to first order in terms of ageneralized tangent vector, provided
that allsolutions u E remain
piecewise Lipschitz continuous,
with the samenumber of discontinuities. To ensure this
condition,
somestronger
reg-ularity assumption
on the solution i will be used.Namely
(H2)
The function i =û(t, x)
ispiecewise e1
on[0, T]
xR,
with finite-ly
many,noninteracting jumps,
say atAny
two weak discontinuities of i can interact with thesejumps only
at distinctpoints.
Otherwise
stated,
if x = xa( t )
is the location ofa jump
in i andyi ( t ), Yj (t)
denote theposition
of two weak discontinuities(where K
iscontinuous
but ûx jumps),
then there exists no time r such thatIn the
following, V.
V denotes thegradient
of V =V(x, ~c)
w.r.t. u, while thejump
of V at thepoint (T, Xa (T»
is writtenTHEOREM 1
(Maximum Principle).
In connection with theoptimiza-
tion
problem (1.1)-(1.3),
let thefunctions h,
V becontinuously differen-
tiable and let F
satisfy
the basichypotheses (Hl).
Let z =z(t, x)
be ae1 optimal control,
and assume that thecorresponding optimal
solutioni =
i(t, x ) of ( 1.1 )
is andsatisfies
the additionalregulari- ty assumptions (H2).
Define
theadjoint
vector(v * , ~ * )
as the solutionof
the linear sys- tem(4.3)-(4.5),
with terminal conditions:Then the
maximality
conditionholds at each
point (t, x)
where both v * and i are continuous.PROOF.
1)
If the conclusion of the theoremfails,
then in the t-x-plane
there exists apoint (t, n)
wherev * , û
arecontinuous,
suchthat
for some admissible control value
By continuity,
andby possibly changing
the value of 1], we can choose 6 > 0 suchthat i is e1
on aneighborhood
of thesegment
and,
inaddition,
2)
We now construct afamily
ofpiecewise e1
control variations z Eas follows. Choose a eoo function cp : R -
[ 0, 1 ]
whosesupport
isprecise- ly
the interval[ -1, 1 ].
For c > 0small,
define the open domainand the control function
Call uE the
corresponding
solution of(1.1).
3)
For each E > 0sufficiently small,
the curveis
space-like,
and crosses all characteristicstransversally.
Hence thesolution u £ is well defined and the map
x)
isd
on aneighbor-
hood of the interval
[1] - 6, n
+6]. Moreover,
asE -~ 0,
one hasin the space
L °° ([ o, r]
xR).
As a consequence, the.);
E E
[0, Co]}
isclearly
aRegular
Variation ofû(7:, .).
We claim that itgenerates
thetangent
vector(v, ~) E L1
xRN ,
with4)
Since the curves(5.6)
arespace-like,
for all E ~ 0 one hasu -’ (,r, x )
=x )
wheneverx - ~ ~ ~
3 . Thisclearly implies (5.8).
Observing
that both u ~and K
areC~
on(Dc,
we can subtract theequations
satisfiedby u’
and K one from theother,
and obtainBecause of the uniform limits
(5.7)
and the fact that u ~ = i on the lowerboundary y ~
of from(5.10)
it followswith
Together, (5.11)
and(5.12) imply
uniformly
for x E[11 - 3, q
+0].
This establishes(5.9).
5)
Theregularity assumptions (H2)
on theoptimal
solution icguarantee
that theperturbations
u e all have the same number of lines ofdiscontinuity,
and that the derivativesux
remainuniformly bounded,
for E > 0
suitably
small.By
the results in[2],
we concludethat,
for all t E[r, T]
thefamily u e (t, .)
is a R.V. ofi(t, -)
whichgenerates
atangent
vector( v, ~ ) ( t ).
This vector is determined as the
unique
broad solution of the corre-sponding
linearsystem (3.6)-(3.8). Using Proposition 1, together
with(5.8)-(5.9)
and then(5.5),
we nowcompute
6)
In order to derive acontradiction,
it now suffices tointerpret (5.14)
at thelight
of the definitions(3.1), (3.2)
and(5.2). Indeed,
the reg-ularity
of the functions V and u’implies
where
o ( E )
denotes an infinitesimal ofhigher
order w.r,t. E.By (5.14),
for E > 0sufficiently
small thequantity
in(5.15)
isstrictly
positive.
This contradicts theoptimality
ofi, proving
the theorem.REFERENCES
[1] A. BRESSAN, Lecture notes on systems
of
conservationlaws, S.I.S.S.A.,
Trieste (1993).
[2] A. BRESSAN - A. MARSON, A variational calculus
for
shock solutions to sys- temsof
conservationlaws,
to appear in Comm. P.D.E.[3] R. DI PERNA,
Entropy
and theuniqueness of
solutions tohyperbolic
conser-vation laws, in Nonlinear Evolution
Equations,
M. CrandallEd.,
Academic Press, New York (1978), pp. 1-16.[4] R. DI PERNA,
Uniqueness of
solutions tohyperbolic
conservation laws, Indi-ana Univ. Math. J., 28 (1979), pp. 244-257.
[5] LI TA-TSIEN - YU WEN-CI,
Boundary
valueproblems for quasilinear hyper-
bolic systems, Duke
University
Mathemathics Series V (1985).[6] B. ROZDESTVENSKII - N. YANENKO,
Systems of Quasi-Linear Equations,
A.M. S. Translations of Mathematical
Monographs,
Vol. 55 (1983).[7] M. SCHATZMAN, Introduction a
l’analyse
des systemeshyperboliques
de loisde conservation non-lineaires,
Equipe d’Analyse Numerique Lyon
Saint- Etienne, 37 (1985).[8] J. SMOLLER, Shock Waves and
Reaction-Diffusion Equations, Springer-Ver- lag,
New York (1983).Manoseritto pervenuto in redazione il 4 marzo 1994.