Sensitivity Analysis of Optimal Control for a Class of Parabolic PDEs Motivated by Model Predictive Control

Titelangaben

Grüne, Lars ; Schaller, Manuel ; Schiela, Anton:
Sensitivity Analysis of Optimal Control for a Class of Parabolic PDEs Motivated by Model Predictive Control.
In: SIAM Journal on Control and Optimization. Bd. 57 (2019) Heft 4 . - S. 2753-2774.
ISSN 1095-7138
DOI: https://doi.org/10.1137/18M1223083

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Abstract

We analyze the sensitivity of the extremal equations that arise from the first order optimality conditions for time dependent optimization problems. More specifically, we consider parabolic PDEs with distributed or boundary control and a linear quadratic performance criterion. We prove the solution's boundedness with respect to the right-hand side of the first order optimality condition which includes initial data. If the system fulfills a particular stabilizability and detectability assumption, the bound is independent of the time horizon. As a consequence, the influence of a perturbation of the right-hand side decreases exponentially backward in time. We use this property for the construction of efficient numerical discretizations in a model predictive control scheme. Moreover, a quantitative turnpike theorem in the $W([0,T])$-norm is derived.