ECE 551 LECTURE 5

Preface

Inthelastlecture,weintroducedthesubjectofthecalculusofvariations,whichisthesecondmethod
used to solve optimal control problems. We developed the mathematical concepts which support the
fundamental theorem of the calculus of variations, which lead to the EulerLagrange equation. The
solutionofthisequationisoneofourprimaryobjectivesgoingforward.Inthislecture,webeginthat
taskbysettingupandsolvingtheEulerLagrangeequationforasetofsimpleexamples.

Euler-Lagrange Equation

WebeginourdiscussionoftheEulerLagrangeequationwithasimpleprobleminvolvingafunctionalof
asinglefunction,i.e.

tf

J ( x) g ( x ( t ) , x ( t ) , t ) d t
t0
(9.1)

Where,wehavethat x isascalarfunctionintheclassoffunctionswithcontinuousfirstderivatives.We
wanttofind x thatcauses J tohavearelativeextremum.Weshallassumethat t 0 and t f arefixed,and
thattheendpoints,i.e. x 0 and x f ,arespecified.Westartwiththeincrementof J asfollows,

J ( x) J ( x x) J ( x)
tf

g x ( t ) x ( t ) , x ( t ) x ( t ) , t d t
t0
tf
(9.2)
g x ( t ) , x ( t ) , t d t
t0
tf

g x ( t ) x ( t ) , x ( t ) x ( t ) , t g x ( t ) , x ( t ) , t d t
t0

Notethat x and x arenotindependent,i.e.

x ( t )
d
x ( t ) ,andalso x ( t ) d x ( t )
dt dt

Wecanexpandtheintegrandofequation(9.2)inaTaylorseriesaboutthepoint x ( t ) , x ( t ) asfollows:

ECE 551 LECTURE 5

tf
g
J ( x) { g x ( t ) , x ( t ) , t x x ( t ) , x ( t ) , t x ( t )
t0

g
x ( t ) , x ( t ) , t x ( t )
x
1 2g
x ( t ) , x ( t ) , t ( x ( t ) ) 2
2 x 2

g2

x ( t ) , x ( t ) , t ( x ( t ) x ( t ) ) (9.3)
x x
1 2g
2 x ( t ) , x ( t ) , t ( x ( t ) )
2

2 x
higher order terms
g x ( t ) , x ( t ) , t } d t

Now,weextractthetermsin J thatarelinearin x ( t ) and x ( t ) inordertoobtainthevariationof

J ,i.e.

tf
g
J (x , x ) { x x ( t ) , x ( t ) , t x ( t )
t0
(9.4)
g
x ( t ) , x ( t ) , t x ( t ) } d t
x

Onceagain,wenotethat x ( t ) and x ( t ) arerelatedbythefollowingrelationship:

tf

x ( t ) x ( t 0 ) x ( t ) d t
t0

Consequently, selecting x ( t ) determines x ( t ) , and hence, x ( t ) is the function which

independently varies. Thus, in order to reexpress equation (9.4) only in terms of x ( t ) , we must
integratetheterminvolving x ( t ) byparts,i.e.

ECE 551 LECTURE 5

g tf
J (x , x ) x ( t ) , x ( t ) , t x ( t )
x t0

t
f
g
{ x ( t ) , x ( t ) , t (9.5)
t0 x
d g
x ( t ) , x ( t ) , t } x ( t ) d t
dt x

Note that since x ( t 0 ) and x ( t f ) are specified, all admissible curves must pass through these points.
Thus, x ( t 0 ) x ( t f ) 0 andthetermsoutsideoftheintegralinequation(9.5)mustvanish.Now,
ifweapplythefundamentaltheoremtoequation(9.5)andconsideranextremalcurve,weget

tf
g
J (x , x ) { x x

( t ) , x ( t ) , t
t0
(9.6)
d g

d t x

x ( t ) , x ( t ) , t } x ( t ) d t

Now,thefundamentallemmaofthecalculusofvariationsstatesthefollowing:

tf

If the function h is continuous and if h ( t ) x ( t ) d t 0 for every x ( t ) that is

t0

continuousintheinterval t 0 , t f ,then h iseverywherezeroin t 0 , t f .
Applyingthefundamentallemmatoequation(9.6),weobtaintheEulerLagrangeequation,i.e.

g d g
( x ( t ) , x ( t ) , t )
( x ( t ) , x ( t ) , t ) 0 (9.7)
x dt x

Equation(9.7)holdstrueforall t t 0 , t f .Wealsonotethatequation(9.7)isanordinarydifferential
equation(ODE),whichisgenerallysecondorder,nonlinear,andtimevarying.Allofthesefactorsplus
thepresenceofsplitboundaryconditionsmakesolutiondifficult.

Letstakeasimpleexampleasfollows:

ECE 551 LECTURE 5

/2
Find the extremal x of J ( x ) x
( t ) x 2 ( t ) d t which satisfies the boundary
2

conditions x ( 0 ) 0 x ( / 2 ) 1 .

First,wemustformtheEulerLagrangeequation.Wenotethat

g ( x ( t ) , x ( t ) ) x 2 (t ) x 2 ( t )

Andso,

g d g
0 ( x ( t ) , x ( t ) , t ) ( x ( t ) , x ( t ) , t )
x d t x

2 x ( t )
d
dt

2 x ( t ) (9.8)

x ( t ) x ( t )

Note that equation (9.8) is a linear ODE with constant coefficients, and so it is readily solved using
classicaltechniques.Doingso,wecanwritethefamiliarformofthesolutionasfollows:

x ( t ) c1 cos t c 2 sin t (9.9)

Wenowapplytheboundaryconditionstoequation(9.9)inordertosolveforthearbitraryconstants c1
and c2 ,i.e.

x ( 0 ) 0 c1 cos ( 0 ) c 2 sin ( 0 ) c1 0

x ( / 2 ) 1 c1 cos ( / 2 ) c 2 sin ( / 2 ) c 2 1

Thus,thesolutiontoequation(9.8)accountingfortheboundaryconditionsisgivenby:

x ( t ) sin t (9.10)

Thissimpleexampleillustratestheprocessbutnotthedifficultiesencounteredinsolvingequation(9.7).
Wewilldealwiththeseconcernslater.Fornow,wewishtoconsiderproblemswheretheconditionsat
thefinalboundarymaybefreetovary.Notethatproblemswhereconditionsattheinitialtimearefree
canalwaysbehandledinasimilarfashion.

ECE 551 LECTURE 5

If t f isfixedand x ( t f ) isfree,thenalladmissiblecurveswillstartatafixedpoint x ( t 0 ) andterminate

onaverticallinedeterminedby t f .Inallcases,thefundamentaltheoremandlemmamustbesatisfied,

i.e. J ( x , x ) 0 foranextremal x .Thus,equation(9.6)mustbesatisfiedforall t t 0 , t f and

regardlessofboundaryconditions.

Returningtoequation(9.5),wenotethat x ( t f ) isarbitrary,andsowemusthavethat

g
( x ( t f ) , x ( t f ) , t f ) 0 (9.12)
x

Note that equation (9.12) provides the second boundary condition with x ( t 0 ) x0 being the other.
Consequently,wehavesplitboundaryconditionsonceagain.

Again,letstakeasimpleexample,i.e.

x
2
Determine the extremal of the functional J ( x ) ( t ) 2 x ( t ) x ( t ) 4 x 2 ( t ) d t ,
2

where,wehavethat x ( 0 ) 1 and x ( 2 ) isfree.

WestartwiththeEulerLagrangeequation,i.e.

g d g
0 ( x ( t ) , x ( t ) , t ) ( x ( t ) , x ( t ) , t )
x d t x
8 x ( t ) 2 x ( t )
d
dt

2 x ( t ) 2 x ( t ) (9.13)

x ( t ) 4 x ( t )

Notethatequation(9.13)isalinearODEwithconstantcoefficients,andsoitisreadilysolved.Doingso,
thesolutionisasfollows,i.e.

x * ( t ) c1e 2 t c 2 e 2 t (9.14)

Onceagain,weusetheboundaryconditionsinordertodeterminethearbitraryconstantsinequation
(9.14).Inthiscase,wegetasetofsimultaneousequations,i.e.

ECE 551 LECTURE 5

x ( 0 ) 1 c1 c 2
g
x ( 2 ) , x ( 2 ) 0 c1e 4 3 c2 e 4
x

Nowsolvingthesesimultaneousequationsfortheunknowncoefficients,wegetthefollowing,i.e.

3e4 e4
c1 c1 (9.15)
e 4 3 e 4 e 4 3e 4

Wecouldnowconsiderthecasewhere t f isfreeand x ( t f ) isfixed.Instead,letstreatthemostgeneral

case, i.e. both t f and x ( t f ) are free. We begin as before by finding the variation of the functional J
startingwiththeincrement,i.e.

g
J ( x) x * ( t f ) , x * ( t f ) , t f x ( t f )
x

g x * ( t f ) , x * ( t f ) , t f t f

tf
g (9.16)
{ x * ( t ) , x * ( t ) , t
t0 x
d g
x * ( t ) , x * ( t ) , t } x ( t ) d t
dt x

higher order terms

Notethatwehavethefollowingrelationships,

x f x ( t f ) x * ( t f ) t f

Or,

x ( t f ) x f x * ( t f ) t f (9.17)

Substitutingequation(9.17)intoequation(9.16),andcollectingthelinearterms,weobtain

ECE 551 LECTURE 5

g
J ( x*, x ) x * ( t f ) , x * ( t f ) , t f x f
x

g
g x * ( t f ) , x * ( t f ) , t f x * ( t f ) , x * ( t f ) , t f x ( t f ) t f
x

g
tf

x * ( t ) , x * ( t ) , t d g x * ( t ) , x * ( t ) , t x ( t ) d t
t0
x d t x
(9.18)

The EulerLagrange equation must be satisfied regardless of boundary conditions. But, a few other
comments are in order regarding the terms outside of the integral in equation (9.18) above. If t f and
x ( t f ) areunrelated,then x f and t f areindependentofoneanotherandarbitrary,soeachoftheir
respectivecoefficientsinequation(9.18)mustbezero,i.e.

g
x * ( t f ) , x * ( t f ) , t f 0
x
(9.19)
g
g x * ( t f ) , x * ( t f ) , t f x * ( t f ) , x * ( t f ) , t f x ( t f ) 0
x

Alsonotethatequation9.19impliesthat

g x * ( t f ) , x * ( t f ) , t f 0 (9.20)

Nowsupposethat t f and x ( t f ) arerelated,e.g. x ( t f ) isconstrainedtolieonaspecifiedmovingpoint

( t ) .Thus,wehavethat

x(t f ) (t f ) (9.21)

Andso,

d
x (t f ) (t f ) t f (9.22)
dt

Consequently,ifwesubstituteequation(9.22)intoequation(9.18),thenweobtainthefollowing

ECE 551 LECTURE 5

g x * ( t f ) , x * ( t f ) , t f
g d
x * ( t f ) , x * ( t f ) , t f
(9.23)
( t f ) x * ( t f ) 0
x dt

Equation(9.23)iscalledthetransversalitycondition.

Now, lets consider some examples of free end conditions. First, consider the case where x ( t f ) is
specifiedbut t f isfreeasfollows:

tf
1

Find an extremal of the functional J ( x ) x ( t ) 2 x ( t ) d t with boundary
2

1
2
conditions x ( 1 ) 4 , x ( t f ) 4 and t f 1 isfree.

Asalways,westartwiththeEulerLagrangeequations,i.e.

g d g
0 ( x ( t ) , x ( t ) , t ) ( x ( t ) , x ( t ) , t )
x d t x
2
d
dt

x ( t ) (9.24)

2 x ( t )

Or,

x * ( t ) 2 (9.25)

Thesolutionofequation(9.25)isfoundbyintegratingtwicetoobtain

x * ( t ) t 2 c1t c 2 (9.26)

Now,wemustfindthevaluesoftheunknownandarbitraryconstantsinequation(9.26),i.e. c1 and c2 ,
usingtheboundaryconditions.Since t f isfree,wehavethat

x * (1 ) 4 1 c1 c 2 c1 c 2 3
1 2 1
2 x *(t f ) x * ( t f ) 0 2 c 2 c12 (9.27)
2 2
x * ( t f ) 4 t f c1t f c 2
2

ECE 551 LECTURE 5

Wecansolvethesesimultaneousequations(9.27)toobtainthefollowingresult,i.e.

x * ( t ) t 2 6 t 9 ,and t f 5 (9.28)

Notethatalloftheboundaryconditionsareindeedmetbytheextremalcurve(9.28).

Nowletsconsideracasewhereboth t f and x ( t f ) arefree,but x ( t f ) isrequiredtolieontheline

( t ) 5 t 15 (9.29)

Besidesthisboundaryconstraint,theproblemisstatedasfollows:

tf

1 x 1/ 2
Findanextremalofthefunctional J ( x ) 2
(t ) d t withboundarycondition
0

x ( 0 ) 0 .

First,weformtheEulerLagrangeequation,i.e.

d g
0 ( x ( t ) , x ( t ) , t )
d t x

d
dt

2 x ( t ) (9.30)

x ( t )

Thesolutionisfoundbyintegratingequation(9.30)twicewhichyieldsthefollowingexpression:

x * ( t ) c1t c2 (9.31)

Notethatsince x ( 0 ) 0 ,wehavethat c 2 0 .So,inordertofind c1 ,wemustusethetransversality

condition,i.e.wemustapplyequation(9.23).Doingso,weobtain

x * ( t f )

5 x * ( t f ) 1 x *2 ( t f ) 1/ 2
0
1 x * 2
(t f ) 1/ 2

And,aftersimplifying,wehavethat

5 x * ( t f ) 1 0 (9.32)

ECE 551 LECTURE 5

Usingequation(9.32)andequation(9.26),wehavethat c1 1 / 5 andthevalueof t f isfoundasfollows:

x(t f ) (t f )
1
t f 5 t f 15
5

Andso,

75
tf 2.88 (9.33)
26

Thefigurebelowpresentstheexpectedresult:theshortestpath(seetheredlinebelow)liesalongthe
perpendicularlinethatpassesthroughtheoriginandintersectsthelineformedbythemovingpoint.

x(t)

15

x*(t)

t
5

10