Problèmes de commande optimale stochastique généralisés

Cette thèse est divisée en deux grands chapitres, dont le premier porte sur des problèmes de commande optimale en dimension un et le deuxième sur des problèmes en dimension deux ou plus. Notons bien que, dans cette thèse, nous avons supposé que le facteur temps n'intervient pas. Dans le premier chapitre, nous calculons, au début, l'équation de programmation dynamique pour la valeur minimale F de l'espérance mathématique de la fonction de coût considérée. Ensuite, nous utilisons le théorème de Whittle qui est applicable seulement si une condition entre le bruit blanc v et les termes b et q associés à la commande est satisfaite. Sinon, nous procédons autrement. En effet, un changement de variable transforme notre équation en une équation de Riccati en G= F', mais sans conditions initiales. Dans certains cas, à partir de la symétrie des paramètres infinitésimaux et de q, nous pouvons en déduire le point x' où G(x')=0. Si ce n'est pas le cas, nous nous limitons à des bonnes approximations. Cette même démarche est toujours possible si nous sommes dans des situations particulières, par exemple, lorsque nous avons une seule barrière. Dans le deuxième chapitre, nous traitons les problèmes en dimension deux ou plus. Puisque la condition de Whittle est difficile à satisfaire dans ce cas, nous essayons de généraliser les résultats du premier chapitre. Nous utilisons alors dans quelques exemples la méthode des similitudes, qui permet de transformer le problème en dimension un. Ensuite, nous proposons une nouvelle méthode de résolution. Cette dernière linéarise l'équation de programmation dynamique qui est une équation aux dérivées partielles non linéaire. Il reste à la fin à trouver les conditions initiales pour la nouvelle fonction et aussi à vérifier que les n expressions obtenues pour F sont équivalentes.

An approximation method using approximate approximations

The aim of this paper is to extend the method of approximate approximations to boundary value problems. This method was introduced by V. Maz'ya in 1991 and has been used until now for the approximation of smooth functions defined on the whole space and for the approximation of volume potentials. In the present paper we develop an approximation procedure for the solution of the interior Dirichlet problem for the Laplace equation in two dimensions using approximate approximations. The procedure is based on potential theoretical considerations in connection with a boundary integral equations method and consists of three approximation steps as follows. In a first step the unknown source density in the potential representation of the solution is replaced by approximate approximations. In a second step the decay behavior of the generating functions is used to gain a suitable approximation for the potential kernel, and in a third step Nyström's method leads to a linear algebraic system for the approximate source density. For every step a convergence analysis is established and corresponding error estimates are given.

Quasi-Interpolation von Funktionen und Anwendungen auf Potentialprobleme

Ausgangspunkt der Dissertation ist ein von V. Maz'ya entwickeltes Verfahren, eine gegebene Funktion f : Rn ! R durch eine Linearkombination fh radialer glatter exponentiell fallender Basisfunktionen zu approximieren, die im Gegensatz zu den Splines lediglich eine näherungsweise Zerlegung der Eins bilden und somit ein für h ! 0 nicht konvergentes Verfahren definieren. Dieses Verfahren wurde unter dem Namen Approximate Approximations bekannt. Es zeigt sich jedoch, dass diese fehlende Konvergenz für die Praxis nicht relevant ist, da der Fehler zwischen f und der Approximation fh über gewisse Parameter unterhalb der Maschinengenauigkeit heutiger Rechner eingestellt werden kann. Darüber hinaus besitzt das Verfahren große Vorteile bei der numerischen Lösung von Cauchy-Problemen der Form Lu = f mit einem geeigneten linearen partiellen Differentialoperator L im Rn. Approximiert man die rechte Seite f durch fh, so lassen sich in vielen Fällen explizite Formeln für die entsprechenden approximativen Volumenpotentiale uh angeben, die nur noch eine eindimensionale Integration (z.B. die Errorfunktion) enthalten. Zur numerischen Lösung von Randwertproblemen ist das von Maz'ya entwickelte Verfahren bisher noch nicht genutzt worden, mit Ausnahme heuristischer bzw. experimenteller Betrachtungen zur sogenannten Randpunktmethode. Hier setzt die Dissertation ein. Auf der Grundlage radialer Basisfunktionen wird ein neues Approximationsverfahren entwickelt, welches die Vorzüge der von Maz'ya für Cauchy-Probleme entwickelten Methode auf die numerische Lösung von Randwertproblemen überträgt. Dabei werden stellvertretend das innere Dirichlet-Problem für die Laplace-Gleichung und für die Stokes-Gleichungen im R2 behandelt, wobei für jeden der einzelnen Approximationsschritte Konvergenzuntersuchungen durchgeführt und Fehlerabschätzungen angegeben werden.

Approximate Approximations and a Boundary Point Method for the Linearized Stokes System

The method of approximate approximations, introduced by Maz'ya [1], can also be used for the numerical solution of boundary integral equations. In this case, the matrix of the resulting algebraic system to compute an approximate source density depends only on the position of a finite number of boundary points and on the direction of the normal vector in these points (Boundary Point Method). We investigate this approach for the Stokes problem in the whole space and for the Stokes boundary value problem in a bounded convex domain G subset R^2, where the second part consists of three steps: In a first step the unknown potential density is replaced by a linear combination of exponentially decreasing basis functions concentrated near the boundary points. In a second step, integration over the boundary partial G is replaced by integration over the tangents at the boundary points such that even analytical expressions for the potential approximations can be obtained. In a third step, finally, the linear algebraic system is solved to determine an approximate density function and the resulting solution of the Stokes boundary value problem. Even not convergent the method leads to an efficient approximation of the form O(h^2) + epsilon, where epsilon can be chosen arbitrarily small.

Künstliche Randbedingungen und Algebraische Äquivalenzen in der Elastizitätstheorie

In dieser Arbeit werden zwei Aspekte bei Randwertproblemen der linearen Elastizitätstheorie untersucht: die Approximation von Lösungen auf unbeschränkten Gebieten und die Änderung von Symmetrieklassen unter speziellen Transformationen. Ausgangspunkt der Dissertation ist das von Specovius-Neugebauer und Nazarov in "Artificial boundary conditions for Petrovsky systems of second order in exterior domains and in other domains of conical type"(Math. Meth. Appl. Sci, 2004; 27) eingeführte Verfahren zur Untersuchung von Petrovsky-Systemen zweiter Ordnung in Außenraumgebieten und Gebieten mit konischen Ausgängen mit Hilfe der Methode der künstlichen Randbedingungen. Dabei werden für die Ermittlung von Lösungen der Randwertprobleme die unbeschränkten Gebiete durch das Abschneiden mit einer Kugel beschränkt, und es wird eine künstliche Randbedingung konstruiert, um die Lösung des Problems möglichst gut zu approximieren. Das Verfahren wird dahingehend verändert, dass das abschneidende Gebiet ein Polyeder ist, da es für die Lösung des Approximationsproblems mit üblichen Finite-Element-Diskretisierungen von Vorteil sei, wenn das zu triangulierende Gebiet einen polygonalen Rand besitzt. Zu Beginn der Arbeit werden die wichtigsten funktionalanalytischen Begriffe und Ergebnisse der Theorie elliptischer Differentialoperatoren vorgestellt. Danach folgt der Hauptteil der Arbeit, der sich in drei Bereiche untergliedert. Als erstes wird für abschneidende Polyedergebiete eine formale Konstruktion der künstlichen Randbedingungen angegeben. Danach folgt der Nachweis der Existenz und Eindeutigkeit der Lösung des approximativen Randwertproblems auf dem abgeschnittenen Gebiet und im Anschluss wird eine Abschätzung für den resultierenden Abschneidefehler geliefert. An die theoretischen Ausführungen schließt sich die Betrachtung von Anwendungsbereiche an. Hier werden ebene Rissprobleme und Polarisationsmatrizen dreidimensionaler Außenraumprobleme der Elastizitätstheorie erläutert. Der letzte Abschnitt behandelt den zweiten Aspekt der Arbeit, den Bereich der Algebraischen Äquivalenzen. Hier geht es um die Transformation von Symmetrieklassen, um die Kenntnis der Fundamentallösung der Elastizitätsprobleme für transversalisotrope Medien auch für Medien zu nutzen, die nicht von transversalisotroper Struktur sind. Eine allgemeine Darstellung aller Klassen konnte hier nicht geliefert werden. Als Beispiel für das Vorgehen wird eine Klasse von orthotropen Medien im dreidimensionalen Fall angegeben, die sich auf den Fall der Transversalisotropie reduzieren lässt.

A Galerkin boundary element method for high frequency scattering by convex polygons

In this paper we consider the problem of time-harmonic acoustic scattering in two dimensions by convex polygons. Standard boundary or finite element methods for acoustic scattering problems have a computational cost that grows at least linearly as a function of the frequency of the incident wave. Here we present a novel Galerkin boundary element method, which uses an approximation space consisting of the products of plane waves with piecewise polynomials supported on a graded mesh, with smaller elements closer to the corners of the polygon. We prove that the best approximation from the approximation space requires a number of degrees of freedom to achieve a prescribed level of accuracy that grows only logarithmically as a function of the frequency. Numerical results demonstrate the same logarithmic dependence on the frequency for the Galerkin method solution. Our boundary element method is a discretization of a well-known second kind combined-layer-potential integral equation. We provide a proof that this equation and its adjoint are well-posed and equivalent to the boundary value problem in a Sobolev space setting for general Lipschitz domains.

A high-wavenumber boundary-element method for an acoustic scattering problem

In this paper we show stability and convergence for a novel Galerkin boundary element method approach to the impedance boundary value problem for the Helmholtz equation in a half-plane with piecewise constant boundary data. This problem models, for example, outdoor sound propagation over inhomogeneous flat terrain. To achieve a good approximation with a relatively low number of degrees of freedom we employ a graded mesh with smaller elements adjacent to discontinuities in impedance, and a special set of basis functions for the Galerkin method so that, on each element, the approximation space consists of polynomials (of degree $\nu$) multiplied by traces of plane waves on the boundary. In the case where the impedance is constant outside an interval $[a,b]$, which only requires the discretization of $[a,b]$, we show theoretically and experimentally that the $L_2$ error in computing the acoustic field on $[a,b]$ is ${\cal O}(\log^{\nu+3/2}|k(b-a)| M^{-(\nu+1)})$, where $M$ is the number of degrees of freedom and $k$ is the wavenumber. This indicates that the proposed method is especially commendable for large intervals or a high wavenumber. In a final section we sketch how the same methodology extends to more general scattering problems.

Spectral analysis of the elliptic sine-Gordon equation in the quarter plane

We study the elliptic sine-Gordon equation in the quarter plane using a spectral transform approach. We determine the Riemann-Hilbert problem associated with well-posed boundary value problems in this domain and use it to derive a formal representation of the solution. Our analysis is based on a generalization of the usual inverse scattering transform recently introduced by Fokas for studying linear elliptic problems.

Integrable evolution equations in time-dependent domains

We discuss the implementation of a method of solving initial boundary value problems in the case of integrable evolution equations in a time-dependent domain. This method is applied to a dispersive linear evolution equation with spatial derivatives of arbitrary order and to the defocusing nonlinear Schrödinger equation, in the domain l(t)

Dynamic integrated system optimization and parameter estimation for discrete time optimal control of nonlinear systems

An algorithm for solving nonlinear discrete time optimal control problems with model-reality differences is presented. The technique uses Dynamic Integrated System Optimization and Parameter Estimation (DISOPE), which achieves the correct optimal solution in spite of deficiencies in the mathematical model employed in the optimization procedure. A version of the algorithm with a linear-quadratic model-based problem, implemented in the C+ + programming language, is developed and applied to illustrative simulation examples. An analysis of the optimality and convergence properties of the algorithm is also presented.

Optimal control of nonlinear differential algebraic equation systems

A novel iterative procedure is described for solving nonlinear optimal control problems subject to differential algebraic equations. The procedure iterates on an integrated modified linear quadratic model based problem with parameter updating in such a manner that the correct solution of the original non-linear problem is achieved. The resulting algorithm has a particular advantage in that the solution is achieved without the need to solve the differential algebraic equations . Convergence aspects are discussed and a simulation example is described which illustrates the performance of the technique. 1. Introduction When modelling industrial processes often the resulting equations consist of coupled differential and algebraic equations (DAEs). In many situations these equations are nonlinear and cannot readily be directly reduced to ordinary differential equations.

A tutorial on pseudospectral methods for computational optimal control

[English] This paper is a tutorial introduction to pseudospectral optimal control. With pseudospectral methods, a function is approximated as a linear combination of smooth basis functions, which are often chosen to be Legendre or Chebyshev polynomials. Collocation of the differential-algebraic equations is performed at orthogonal collocation points, which are selected to yield interpolation of high accuracy. Pseudospectral methods directly discretize the original optimal control problem to recast it into a nonlinear programming format. A numerical optimizer is then employed to find approximate local optimal solutions. The paper also briefly describes the functionality and implementation of PSOPT, an open source software package written in C++ that employs pseudospectral discretization methods to solve multi-phase optimal control problems. The software implements the Legendre and Chebyshev pseudospectral methods, and it has useful features such as automatic differentiation, sparsity detection, and automatic scaling. The use of pseudospectral methods is illustrated in two problems taken from the literature on computational optimal control. [Portuguese] Este artigo e um tutorial introdutorio sobre controle otimo pseudo-espectral. Em metodos pseudo-espectrais, uma funcao e aproximada como uma combinacao linear de funcoes de base suaves, tipicamente escolhidas como polinomios de Legendre ou Chebyshev. A colocacao de equacoes algebrico-diferenciais e realizada em pontos de colocacao ortogonal, que sao selecionados de modo a minimizar o erro de interpolacao. Metodos pseudoespectrais discretizam o problema de controle otimo original de modo a converte-lo em um problema de programa cao nao-linear. Um otimizador numerico e entao empregado para obter solucoes localmente otimas. Este artigo tambem descreve sucintamente a funcionalidade e a implementacao de um pacote computacional de codigo aberto escrito em C++ chamado PSOPT. Tal pacote emprega metodos de discretizacao pseudo-spectrais para resolver problemas de controle otimo com multiplas fase. O PSOPT permite a utilizacao de metodos de Legendre ou Chebyshev, e possui caractersticas uteis tais como diferenciacao automatica, deteccao de esparsidade e escalonamento automatico. O uso de metodos pseudo-espectrais e ilustrado em dois problemas retirados da literatura de controle otimo computacional.

Numerical-asymptotic boundary integral methods in high-frequency acoustic scattering

In this article we describe recent progress on the design, analysis and implementation of hybrid numerical-asymptotic boundary integral methods for boundary value problems for the Helmholtz equation that model time harmonic acoustic wave scattering in domains exterior to impenetrable obstacles. These hybrid methods combine conventional piecewise polynomial approximations with high-frequency asymptotics to build basis functions suitable for representing the oscillatory solutions. They have the potential to solve scattering problems accurately in a computation time that is (almost) independent of frequency and this has been realized for many model problems. The design and analysis of this class of methods requires new results on the analysis and numerical analysis of highly oscillatory boundary integral operators and on the high-frequency asymptotics of scattering problems. The implementation requires the development of appropriate quadrature rules for highly oscillatory integrals. This article contains a historical account of the development of this currently very active field, a detailed account of recent progress and, in addition, a number of original research results on the design, analysis and implementation of these methods.

The unsteady flow of a weakly compressible fluid in a thin porous layer II: three-dimensional theory

We consider the problem of determining the pressure and velocity fields for a weakly compressible fluid flowing in a three-dimensional layer, composed of an inhomogeneous, anisotropic porous medium, with vertical side walls and variable upper and lower boundaries, in the presence of vertical wells injecting and/or extracting fluid. Numerical solution of this three-dimensional evolution problem may be expensive, particularly in the case that the depth scale of the layer h is small compared to the horizontal length scale l, a situation which occurs frequently in the application to oil and gas reservoir recovery and which leads to significant stiffness in the numerical problem. Under the assumption that $\epsilon\propto h/l\ll 1$, we show that, to leading order in $\epsilon$, the pressure field varies only in the horizontal directions away from the wells (the outer region). We construct asymptotic expansions in $\epsilon$ in both the inner (near the wells) and outer regions and use the asymptotic matching principle to derive expressions for all significant process quantities. The only computations required are for the solution of non-stiff linear, elliptic, two-dimensional boundary-value, and eigenvalue problems. This approach, via the method of matched asymptotic expansions, takes advantage of the small aspect ratio of the layer, $\epsilon$, at precisely the stage where full numerical computations become stiff, and also reveals the detailed structure of the dynamics of the flow, both in the neighbourhood of wells and away from wells.

The unsteady flow of a weakly compressible fluid in a thin porous layer III: three-dimensional computations

We describe a novel method for determining the pressure and velocity fields for a weakly compressible fluid flowing in a thin three-dimensional layer composed of an inhomogeneous, anisotropic porous medium, with vertical side walls and variable upper and lower boundaries, in the presence of vertical wells injecting and/or extracting fluid. Our approach uses the method of matched asymptotic expansions to derive expressions for all significant process quantities, the computation of which requires only the solution of linear, elliptic, two-dimensional boundary value and eigenvalue problems. In this article, we provide full implementation details and present numerical results demonstrating the efficiency and accuracy of our scheme.