First Variation: computing the first variation, Euler-Lagrange equation, extensions; Applications: brachistochrone, Lagrangian and Hamiltonian dynamics; Second Variation: computing the second variation, Ricatti equation, convexity and minimisers; Multivariable Variational Problems: eigenpairs, minimal surfaces, gradient flows; Optimal Control Theory: time-optimal linear control, Pontryagin Maximum Principle; Applications: linear-quadratic regulator, production-consumption, optimal harvesting; Dynamic Programming: Hamilton-Jacobi-Bellmann equation, general linear-quadratic regulator; Further Topics on Differential Games, Stochastic Control Theory.

For further information see the academic catalog: IAM773 - Dynamic Optimisation - Calculus of Variations and Optimal Control

Course Objectives

At the end of the course, the student will learn:

  • the basics of the Calculus of Variations and its Applications
  • the Theory of Optimal Controls and its Applications
  • Pontryagin Maximum Principle, Dynamic Programming and Hamilton-Jacobi-Bellmann Equation

Course Learning Outcomes

Student, who passed the course satisfactorily will be able to:

  • how to calculate the first and second variations
  • how to approach and solve basic problems using calculus of variations
  • understand the basics of the theory of Optimal Control
  • how to approach and solve basic problems in Optimal Control

Instructional Methods

The following instructional methods will be used to achieve the course objectives: Lecture, questioning, discussion, group work, simulation.

Tentative Weekly Outline

  1. First Variation and its Applications (1 – 3 weeks)
  2. Second Variation and its Applications (4 – 5 weeks)
  3. Multivariable Variational Problems (6 – 7 weeks)
  4. Optimal Control Theory, Pontryagin Maximum Principle and Applications (8 – 10 weeks)
  5. Dynamic Programming and Hamilton-Jacobi-Bellmann equation (11 – 12 weeks)
  6. Further Topics on Differential Games, Stochastic Control Theory (13 – 14 weeks)

Course Textbook(s)

  • Mathematical Methods for Optimization – dynamic optimization, by L. C. Evans (2021).
  • Classical Mechanics with Calculus of Variations and Optimal Control – an intuitive introduction, by M. Levi (2014).

Course Material(s) and Reading(s)

Books (Textbook):

  • An Introduction to Mathematical Optimal Control Theory, version 0.2, by L. C. Evans.
  • Dynamic Optimization – the Calculus of Variations and Optimal Control in Economics and Management, 2nd edition, by M. I. Kamien and N. L. Schwartz (1991)

Resources:

  • python: https://www.python.org/
  • Anaconda: https://www.anaconda.com/

Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Üniversiteler Mahallesi, Dumlupınar Bulvarı No:1, 06800 Çankaya/Ankara