From Lagrangian mechanics to optimal control and PDE constraints

by · Sep 24, 2014 · 1 729 views ·

Martin Gander, University of Geneva, Section of Mathematics, Geneva, Switzerland The history of constrained optimization spans nearly three centuries. It goes back to a letter Johann Bernoulli sent in 1715 to Varignon, announcing a very simple rule with which the many hundreds of different problems in fluid and solid mechanics considered in detail by Varignon can be solved in the blink of an eye. Varignon then explains this rule at the end of his book, but unfortunately cites the letter of Johann Bernoulli with an incorrect date. Bernoulli’s rule, based on virtual velocities, was later carefully explained by Lagrange, and led to the discovery of the famous multiplier method of Lagrange, with which many optimization problems can be easily treated. Using so called Lagrange multipliers is however a much more far reaching concept, and we will see that one can, armed only with Lagrange multipliers, discover the important primal and dual equations in optimal control and the famous maximum principle of Pontryagin. Pontryagin himself however did not discover his maximum principle using Lagrange multipliers, he used a more geometric argument. We will finally give the complete formulation of PDE constrained optimization based on duality introduced by Lions.

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