L thuyt iu khin nng cao

28 February 2011 `Ph lc Ni dung Ph lc Bi 1Gii thiu chung 1 nh ngha 2 iu kin hn ch 3 Bi ton iu khin ti u 3.1 iu khin ti u tnh 3.2 iu khin ti u ng Bi 2 iu khin ti u tnh 1 M t ton hc. 2 Biu din hnh hc. 3 Gi thit cho li gii. 3.1 Bi ton ti u khng c gii hn. 3.2 Bi ton ti u c gii hn. Bi 3 Phng php khng dng o hm ring 1. t vn . 2. Phng php Gauss/Seidel. 3. Cc phng php khc. 3.1 Phng php Rosenbrock. 3.2 Phng php n hnh. 3.3 Phng php hng tm ngu nhin. Bi 4 Phng php o hm ring 1. t vn 2. o hm ring theo ngha hp. 3. Phng php h nhanh nht. Bi 5 Phng php hng lin hp 1. t vn . 2. Thut ton hng lin hp. Nguyn Hoi Nam Trang 1 3 3 3 4 4 5 6 6 6 7 7 8 10 10 10 13 13 13 14 15 15 16 16 17 17 19 1

L thuyt iu khin nng cao

28 February 2011 Bi 6 Phng php Newton/Raphson 1. Ni dung ca phng php. 2. Thut ton Newton-Raphson. Bi 7 Cc tiu ho hm mt bin 1. t vn . 2. Phng php nht ct vng. 3. Phng php Fibonaci. Bi 8 Bi ton ti u c gii hn 1. Bi ton ti u c gii hn 2. Phng php i bin c lp 3. Phng php s dng hm pht v hm chn. 3.1 Hm pht. 3.2 Hm chn. Ti liu tham kho 21 21 21 24 24 25 26 28 28 28 29 29 29 31

Bi 1 Gii thiu chung Nguyn Hoi Nam 2

L thuyt iu khin nng cao

28 February 2011 1. nh ngha. iu khin ti u l mt chuyn ngnh c bn trong iu khin t ng, n c vai tr xc nh v to lp nhng lut iu khin cho h thng h thng t c ch tiu v tnh hiu qu c nh trc di dng hm mc tiu Q. Trong thc t tn ti cc bi ton iu khin ti u nh sau: - Bi ton ti u cc tiu: + Xc nh tham s ca m hnh sao cho bnh phng sai lch trung bnh gia m hnh v i tng t gi tr nh nht, v d nh hun luyn mng nron, nhn dng i tng, ... + iu khin mt qu trnh t ch tiu cht lng, k thut cho trc sao cho tn hao nng lng l nh nht. + To ra mt sn phm t ch tiu cht lng cho trc nhng chi ph l nh nht. + Bi ton tm ng i ngn nht gia hai im bt k, v d nh xc nh qu o chuyn ng ca cnh tay r bt, ng i thu rc, thu tin in, thu tin nc, i cho hng ... - Bi ton ti u cc i. + To ra sn phm vi chi ph cho trc, nhng c cht lng cao nht. + Bi ton tm ng cng. - Bi ton ti u tc ng nhanh: Thi gian xy ra qu trnh l ngn nht, v d nh iu khin tn la.

2. iu kin hn ch. Cho h thng nhiu u vo v nhiu u ra, c m t bi h cc phng trnh nh sau: y = f(x,u) u = (u1 u2 . . . ur)T x = (x1 x2 . . . xn)T y = (y1 y2 . . . ym)T c gi l m hnh ton hc l cc u vo l cc trng thi l cc u ra

Nguyn Hoi Nam

L thuyt iu khin nng cao

28 February 2011 Do bi ton ti u c thc hin trn m hnh h thng, cho nn li gii ca bi ton ti u ph thuc vo chnh xc ca m hnh h thng. Nhng tn hiu khng th m t c trong cc phng trnh trn s c coi l nhiu tc ng. 3. Bi ton iu khin ti u. Bi ton ti u c xy dng da trn cc gi thit sau: + C mt m hnh ton hc. + Khng c nhiu tc ng. + Bit cc iu kin bin ca m hnh nh im lm vic, thi gian lm vic ca h thng. + Bit min gi tr cho php ca cc u vo u. + Bit hm mc tiu Q m t tnh hiu qu m h thng cn t c. Mc ch ca iu khin ti u l tm tn hiu ti u u* hm mc tiu Q t gi tr cc i hoc cc tiu. Vi nhng gi thit ny c rt nhiu phng php gii bi ton iu khin ti u khc nhau. Trong chng trnh ca mn hc ny, chng ta s nghin cu cc phng php c bn nht ca lnh vc iu khin ti u, c chia thnh hai nhm chnh nh sau: + iu khin ti u tnh. + iu khin ti u ng. 3.1. iu khin ti u tnh. Bi ton iu khin ti u tnh l bi ton trong quan h vo, ra v bin trng thi ca m hnh khng ph thuc vo thi gian. Gi tr u ra ti mt thi im ch ph thuc vo cc u u vo v trng thi ti thi im . M hnh h thng c cho nh sau: yk = fk(u1, u2, . . .ur), vi k = 1, 2, . . ., m, vit gn li thnh y = f(u). Hm mc tiu nh sau: Q = Q(u,y).

Nguyn Hoi Nam

L thuyt iu khin nng cao

28 February 2011 Thay y = f(u) vo hm mc tiu c: Q = Q(u,y) = Q(u,f(u)) = Q(u), nh vy Q ch ph thuc vo cc u vo v u ra. 3.2. iu khin ti u ng. Bi ton iu khin ti u ng l bi ton trong m hnh ton hc c t nht mt phng trnh vi phn.
dxi = f i ( x, u ) dt

& Cho m hnh h thng nh sau: xi = f i ( x1 , x 2 ..., x n , u1 , u 2 ..., u r ) vi i = 1 n , vit

& gn li thnh: x = f ( x, u ) .

Cc u ra ca h thng l y = g ( x, u ) vi y = ( y1 , y 2 ,..., y m ) . Hm mc tiu c nh ngha nh sau: Q = f 0 ( x, u )dt , trontg T l thi

0 T

gian xy ra qu trnh ti u. Vi bi ton iu khin ti u tnh, y chnh l bi ton cc tr vi nhng iu kin rng buc. C nhiu phng php gii bi ton cc tr, y chng ta ch nghin cu cc phng php phi tuyn: + Cc phng php khng dng o hm ring. + Cc phng php o hm ring. + Phng php hng lin hp. + Phng php Newton-Raphson. Vi bi ton iu khin ti u ng, ch nghin cu cc phng php sau: + Phng php bin phn kinh in. + Phng php cc i ca Pontrjagin + Phng php qui hoch ng ca Bellman

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L thuyt iu khin nng cao

28 February 2011 Bi 2 iu khin ti u tnh 1. M t ton hc. M hnh h thng c dng nh sau: y = f(u) vi u U u = (u1 u2 . . . ur)T y = (y1 y2 . . . ym)T cc u vo cc u ra

U l min thch hp ca cc bin u vo, c nh ngha nh sau:

U = u = (u1 , u 2 ..., u ) T u k min u k u k max ; k = 1 r

Hm mc tiu c dng nh sau: Q = Q(u,y) = Q(u,f(u)) = Q(u) Khng mt tnh tng qut nu gi thit tiu chun ti u l: Q(u) min Bi ton iu khin ti u tnh c pht biu nh sau: Tm tn hiu ti u u*
* U , sao cho Q(u ) t gi tr nh nht. Khi , ta c Q(u ) Q(u )
*

u U

(1)

Nu u* tho mn (1) vi mi u thuc U, th u* c gi l vc t ti u ton cc. Nu u* tho mn (1) vi mi u thuc ln cn u*, th u* c gi l vc t ti u cc b. 2. Biu din hnh hc. Xt h thng c hai tn hiu u vo u1 v u2. Hm mc tiu Q ch ph thuc vo u1 v u2, Q = Q(u1,u2). Gi thit hm mc tiu Q c th nh hnh 1. Vy im ti u u* = 1* l im thuc mt phng (u1,u2), ti mt cong Q
u 2 u *

im thp nht. im A l im ti u cc b, im B l im yn nga v im C l im ti u ton cc. Tp hp cc im nm trong mt phng (u1,u2), ti cc im hm mc tiu Q c cng gi tr c gi l ng ng mc.

Nguyn Hoi Nam

L thuyt iu khin nng cao

28 February 2011 Q B

A O

u1
ng ng mc

u2

Hnh 1

3. Gi thit cho li gii. 3.1. Bi ton ti u khng c gii hn. - Nghim u* ca bi ton ti u khng c gii hn l mt im cc tr. Cc im cc tr tho mn h phng trnh vi phn
Q Q Q Q T =( , ,..., ) =0 u u1 u 2 u r Q =0 u k k = 1,2..., r

hay

- Ti mi im u ca mt cong Q tn ti vc t o hm ring
gradQ = Q , vc t o hm ring gradQ c cc tnh cht sau: u

Q , k hiu l u

+ C phng vung gc vi mt cong Q. + C hng ch chiu tng gi tr ca cc ng ng mc. + C ln th hin tc tng hay gim gi tr ca Q. Do ti im cc tr ca mt cong Q phi c gradQ = 0 (*). H phng trnh ny ch l iu kin cn tm nghim ti u u*. gii h phng trnh (*) s gp nhng vn sau:

Nguyn Hoi Nam

L thuyt iu khin nng cao

28 February 2011 + H phng trnh (*) l h phi tuyn, dn n vic gii trc tip kh thc hin c. + C nhiu im u* tho mn h phng trnh (*) nhng khng phi l nghim ti u. Thc t, cc phng php gn ng c s dng nhiu hn, theo thut ton tm nghim tng bc. Thut ton tm nghim tng bc. + Bc 1: Cho > 0 b tu , chn u0 bt k. Thc hin cc bc sau vi k = 1, 2 ... + Bc 2: Xc nh hng tm v khong cch bc tm. + Bc 3: Tm uk theo hng tm v khong cch bc tm. + Bc 4: Kim tra iu kin. Nu || uk - uk-1 || chuyn sang bc 5. Nu || uk - uk-1 || > quay v bc 2. + Bc 5: Nghim ti u gn ng l u* = uk vi chnh xc l . 3.2. Bi ton ti u c gii hn. Bn cht l tm nghim ti u u* gn ng cho bi ton m u b gii hn bi min thch hp U. Thut ton tm nghim tng bc v c bn cng ging nh trn, nhng cn phi ch cc trng hp sau: + Nu nghim ti u u* khng nm trn bin ca U th gradQ = 0 vn l iu kin cn tm u*. + Nu trong min thch hp U khng tn ti nghim u* tho mn iu kin gradQ = 0, khi nghim ti u u* nm trn bin ca U v ti im u* vc t o hm ring gradQ phi c hng vo trong min U. Nguyn Hoi Nam 8

L thuyt iu khin nng cao

28 February 2011 Thut ton tm nghim ti u u* cho bi ton ti u c gii hn. + Bc 1: Cho > 0 b tu , chn u0 bt k. Thc hin cc bc sau vi k = 1, 2 ... + Bc 2: Xc nh hng tm v khong cch bc tm thch hp cho u k U . + Bc 3: Tm uk theo hng tm v khong cch bc tm. + Bc 4: Kim tra iu kin. Nu || uk - uk-1 || chuyn sang bc 5. Nu || uk - uk-1 || > quay v bc 2. + Bc 5: Nghim ti u gn ng l u* = uk vi chnh xc l .

Nguyn Hoi Nam

L thuyt iu khin nng cao

28 February 2011

Bi 3 Phng php khng dng o hm ring 1. t vn . Vic tm u* thng qua h phng trnh vi phn gradQ = 0 (*) khng phi l tt nht cho mi trng hp v nhng l do sau: + H phng trnh (*) c th rt phc tp. + Hm mc tiu Q c th tn ti nhiu im cc tr ti im lun tho mn h phng trnh (*). + Khng phi hm mc tiu no cng kh vi. Chnh v nhng l do ny, m cn phi c cc phng php tm nghim ti u u* m khng dng vc t o hm ring (gradient).

2. Phng php Gauss/ Seidel. Cho m hnh h thng y = f(u). Hm mc tiu c nh ngha l Q = Q(u). Tm u* cho Q t gi tr nh nht, tc l Q min . Gi s u* nghim ti u tho mn Q min , k hiu u* = argminQ. Ni dung ca phng php Gauss/Seidel. + Hng tm c chn song song vi cc trc to ui vi i = 1, 2, ..., r. K hiu hng tm bc th k l hk. + Khong cch bc tm bc th k c k hiu l sk. sk c xc nh nh
* sau: s k = arg min Q(u k + s k h k )

Thut ton tm nghim ca Gauss/Seidel. + Bc 1: Cho > 0 b tu , chn u0 bt k. Thc hin cc bc sau vi k = 0, 1, 2 ... + Bc 2:

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011
0 0 . - Xc nh hng tm hk: h k = 1 , hk l vc t c r hng, ch c hng th k + 1 . 0

c gi tr bng 1, cc hng khc u bng khng. - Xc nh khong cch bc tm sk: sk c xc nh sao cho hm mc tiu t gi tr nh nht trn hng tm hk. sk* = argminQ(uk + skhk) + Bc 3: uk+1 = uk + sk*hk + Bc 4: Kim tra iu kin. Nu || uk+1 - uk || chuyn sang bc 5. Nu || uk+1 - uk || > quay v bc 2. + Bc 5: Nghim ti u gn ng l u* = uk+1 V d: Cho hm mc tiu Q = u12 + 2u 22 3 , tm u* cho Q min Bc 1: Cho = 10 3 , chn u 0 = 1
1

k = 0. Bc 2: Chn h 0 = 0
1 1 1 + s 0 u 1 = u 0 + s0 h 0 = + s0 = 1 0 1 1

Q(u1) = (1 + s0 ) 2 + 2 3 , ta c Vy s0* = argminQ(u1) = -1 Bc 3:

Q(u 1 ) = 2(1 + s 0 ) = 0 , suy ra s0 = -1 s 0

1 1 1 + s 0 0 u 1 = u 0 + s0 h 0 = + s0 = = 1 0 1 1

Bc 4: ||u1 - u0|| = 1 > quay v bc 2 Nguyn Hoi Nam 11

L thuyt iu khin nng cao

28 February 2011 k =1. Bc 2: Chn h 0 = 1

0 0 0 u 2 = u 1 + s1 h1 = + s1 = 1 1 1 + s1

Q(u2) = 0 + 2(1 + s1 ) 2 3 , ta c Vy s1* = argminQ(u2) = -1 Bc 3:

0 0 = u2 = * 1 + s1 0

Q(u 2 ) = 4(1 + s1 ) = 0 , suy ra s1 = -1 s1

Bc 4: ||u2 - u1|| = 1 > quay v bc 2 k = 2. Bc 2: Chn h 2 = 0

0 1 s u 3 = u 2 + s2 h 2 = + s2 = 2 1 0 1
2 Q(u3) = s 2 + 2.0 3 , ta c

Q(u 3 ) = 2 s 2 = 0 , suy ra s2 = 0 s 2

Vy s2* = argminQ(u3) = 0 Bc 3:
s * 0 u2 = 2 = 0 0

Bc 4: ||u3 - u2|| = 0 < chuyn sang bc 5 Bc 5: u* = u3 = 0 Sau hai vng tnh ta tm c nghim ti u u* = u2. Nguyn Hoi Nam 12
0

L thuyt iu khin nng cao

28 February 2011 u im ca phng php l: nu h thng c r u vo, hm mc tiu c dng chnh phng th nghim ti u u* s c tm thy sau ng r vng.

3. Cc phng php khc. 3.1 Phng php Rosenbrock. H trc to c xoay sau mi ln tm c nghim uk t uk-1 sao cho mt trc to ca h mi trng vi hng ca vc t uk - uk-1. u im ca phng php l tc hi t cao hn phng php Gauss/Seidel khi hm mc tiu phc tp (cc ng ng mc khng i xng, hm mc tiu khng c dng chnh phng).

3.2 Phng php n hnh. Tnh gi tr hm mc tiu ti r +1 nh ca mt hnh a din . Trong r l s bin u vo ca h thng. Sau a din c ly i xng vi mt cnh (hoc mt) ca n, sao cho a din mi ' thu c c gi tr hm mc tiu ti cc nh khng ln hn cc gi tr ca hm mc tiu ti cc nh ca tng ng. Php ly i xng v tnh gi tr hm mc tiu Q s c tip tc nu a din mi ' vn nm trong min thch hp U v gi tr hm mc tiu Q ti cc nh ca ' khng ln hn so vi gi tr hm mc tiu Q ti cc nh ca . V d: Vi h thng c hai u vo r = 2, a din l mt tam gic. Qu trnh tm nghim ti u c minh ho nh hnh 2. y n gin ta chn tam gic l mt tam gi vung cn. Chiu mi tn l chiu tm nghim ti u. O Hnh 2
cc ng ng mc

u2

u1

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011 3.3 Phng php hng tm ngu nhin. Hng tm ngu nhin c ly t tp ngu nhin c phn b chun, u cc hng trong khng gian. uk c tm theo hng c chn ngu nhin bc k. Nu Q(uk) < Q(uk-1) th hng tm vn c dng tm uk+1 tip theo, nu khng th chn theo hng ngc li.

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011 Bi 4 Phng php o hm ring 1. t vn . Theo phng php ny, hng tm c xc nh theo vc t o hm ring ca hm mc tiu Q theo cc bin u vo gradQ. Vn t ra l tnh vc t o hm ring gradQ nh th no? Tu thuc vo hm mc tiu Q c cho di dng cng thc, bng tra hay thut ton m ta c phng php tnh gradQ khc nhau. Khi hm gradQ cho di dng cng thc, tnh gradQ theo phng php gii tch.
Q u 1 Q gradQ (u k ) = u 2 : Q u r

ly o hm ring theo tng bin u vo ui, sau

u = uk

thay gi tr u = uk vo. Nu hm mc tiu Q cho di dng bng tra hoc thut ton th c cc phng php tnh gradQ nh sau: + Phng php th nht:
Q u i = u = uk 1 Q( k u1 , k u 2 ,..., k u i + u i ,..., k u r ) Q( k u1 , k u 2 ,..., k u i ,..., k u r ) u i

vi i = 1, 2, ..., r. + Phng php th hai:

Q u i = u = uk 1 Q( k u1 , k u 2 ,..., k u i + u i ,..., k u r ) Q ( k u1 , k u 2 ,..., k u i u i ,..., k u r ) 2 u i

vi i = 1, 2, ..., r.

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011 2. Phng php o hm ring theo ngha hp. Hng tm c hng ngc li so vi hng ca vc t o hm ring gradQ hk = - gradQ(uk). Khong cch bc tm t l vi ln ca gradQ(uk). Gi tr uk+1 c tnh theo cng thc sau: uk+1 = uk - s.gradQ(uk) Khong cch bc tm s c nh hng rt ln n tc hi t ca phng php. + Nu s nh, s bc tnh ln, s ln tnh gradQ nhiu. + Nu s ln, chui gi tr {uk} phn k. V ti im cc tr gradQ(u) = 0 nn phng php s cho mt dy {uk} hi t n mt im cc tr. Khi Q khng c im yn nga, im cc tr c th l cc b hoc ton cc. Mun tm nghim ti u u* ton cc, nn p dng phng php cho nhiu im ban u u0 khc nhau. 3. Phng php h nhanh nht. Bn cht ca phng php l phng php dng vc t o hm ring c hng tm khng c nh theo gradQ t u n cui. Hng tm c xc nh nh sau: h0 = -gradQ(u0).
* Khong cch bc tm c xc nh nh sau: s 0 = arg min Q(u 0 + s 0 h 0 )

suy ra u1 = u0 + s0*h0. Vi k = 1, 2, ... Chn hk sao cho hkThk-1 = 0. Chui gi tr {uk*} c tc hi t ln khi cch xa u*, cng gn u* th hi t cng gim. Thut ton h nhanh nht. Bc 1: Cho > 0 b, chn u0 bt k. h0 = -gradQ(u0)

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011
* s 0 = arg min Q(u 0 + s 0 h 0 )

u1 = u0 + s0*h0 Thc hin cc bc sau vi k = 1, 2, 3, ... Bc 2: Tm hng hk sao cho: hkThk-1 = 0 Tm sk* nh sau: sk* = argminQ(uk + skhk) Bc 3: Tnh uk+1 = uk + sk*hk. Bc 4: Kim tra iu kin. Nu || uk+1 - uk || chuyn sang bc 5. Nu || uk+1 - uk || > quay v bc 2. Bc 5: Kt thc Nghim ti u gn ng u* = uk+1 vi chnh xc l . .

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011 Bi 5 Phng php hng lin hp 1. t vn . Xt hm mc tiu c dng chnh phng: Q = u T Au + b T u A l ma trn n v. u = (u1 u2 . . . ur)T b = (b1 b2 . . . br)T Theo phng php Gauss/Seidel, u* c tm thy sau ng r bc. u* tho mn iu kin
Q * = 0 Au + b = 0 u = Ab . u
1 2

Theo phng php Gauss/Seidel, cc hng tm song song vi cc trc to , xut pht t y i ti phng php hng lin hp. tng ca phng php l: hng tm vng th k c tm theo hng tm vng th k - 1, sao cho: hk-1Thk = 0. Xt hm mc tiu by k, trong ma trn A khng phi l ma trn n v. Nh vy ta phi chuyn h trc to a A v dng ma trn n v. Khi hng tm hk s chuyn thnh pk. Coi A l mt ton t tuyn tnh bin i h trc to , qua php bin i ny hk chuyn thnh pk. Khi pk phi c tnh cht sau: pk-1Apk = 0 Cc hng tm pk vi k = 1, 2, ...,r c xc nh nh cng thc sau:
pk = vk
i =1 k 1

p i Av k pi A pi
T

pi

vi vi i = 1, 2, ...,r l mt c s ca khng gian Rr, c ngha l cc vc t v1, v2, ... vr c lp tuyn tnh vi nhau. Hng tm ban u p0 c th c xc nh nh vc t gradQ hoc c xc nh ngu nhin. Dc theo hng tm pk, uk c tm sao cho Q(uk) t gi tr nh nht. sk* = argminQ(uk-1 + skpk) Nguyn Hoi Nam 18

L thuyt iu khin nng cao

28 February 2011 uk = uk-1 + sk*pk 2. Thut ton hng lin hp. Chn cc vc t c s vi nh sau: vk = -gk-1 vi k = 1, 2, ..., r. Trong gk = gradQ(uk) = Auk + b. pk+1 = -gk + ekpk vi k = 0, 1, ..., r-1. Trong p0 = -g0, h s i hng
ek = p k Ag k pk A pk
T T

Dc theo hng tm pk+1, uk+1 c tm theo t uk theo nguyn tc hm Q t gi tr nh nht. sk+1* = argminQ(uk + sk+1pk+1) uk+1 = uk + sk+1*pk+1 Thut ton. Bc 1: Chn u0, e0 = 0. p0 = -g0 = -(Au0 + b) Thc hin cc bc sau vi k = 1, 2, ..., r-1. Bc 2: gk = gradQ(uk) = Auk + b
ek = p k Ag k pk A pk
T T

pk+1 = -gk + ekpk sk+1* = argminQ(uk + sk+1pk+1) Bc 3: uk+1 = uk + sk+1*pk+1 Bc 4: u* = ur Phng php hng lin hp c nhng tnh cht sau: + giTgj = 0 vi i j + piTgk = 0 vi i k

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011 + Nghim ti u u* tho mn h phng trnh Au* + b = 0. Phng php ny thch hp cho hm mc tiu c dng: Q = u T Au + b T u vi A l ma trn xc nh dng. Khi hm mc tiu c dng bt k, khng ging vi dng trn ta c th dung phng php ny tm u*, tuy nhin cn phi thay i. H s i hng c tnh t Q c dng tng qut: ek = Nghim ti u tm c khng phi l nghim ng.
gk g k 1
2

1 2

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011

Bi 6 Phng php Newton-Raphson 1. Ni dung ca phng php. Phng php tm nghim ti u s dng o hm bc nht v bc hai ca hm mc tiu nn phi gi thit hm mc tiu Q(u) kh vi hai ln. gii h phng trnh
Q (u ) = 0 (*) bng phng php gii tch, trc tin h (*) c khai trin u

thnh chui Taylor ti uk thuc ln cn nghim ti u u* v l nghim ca (*) nh sau:

Q (u ) Q(u ) 2 Q(u ) * = + (u u k ) + ...+ = 0 2 uk u u * u u k u

tip theo, b qua cc o hm bc cao. Khi u* s khng phi l nghim ng na m ch l nghim gn ng. Gi nghim gn ng ny l l uk+1 u* , thay vo h phng trnh trn ta c:
Q(u ) 2 Q( u ) + (u k +1 u k ) =0 2 uk u u k u

2Q 2Q ... 2 u 1 u r u 1 t H(u) = . . . . . . , g k = gradQ (u k ) . 2 2Q Q ... 2 u r u 1 u r

Suy ra uk+1 = uk - H-1(uk)gk 2. Thut ton Newton-Raphson. Bc 1: Cho > 0 b, chn u0 bt k. Thc hin cc bc sau vi k = 0, 1, 2, ... Bc 2: Tnh g k = gradQ(u k ) .

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011 Tnh H(uk) Bc 3: Tnh uk+1 = uk - H-1(uk)gk Bc 4: Kim tra iu kin. Nu || uk+1 - uk || chuyn sang bc 5. Nu || uk+1 - uk || > quay v bc 2. Bc 5: Kt thc Nghim ti u gn ng u* = uk+1. u im: Nu hm mc tiu c dng Q = u T Au + b T u , phng php ny s cho ng gi tr u* ch sau ng mt vng tnh. V d: Cho hm mc tiu Q = 3u12 + 4u22 + u1u2 vi = 10 3
Q u 6u + u 2 g = gradQ (u ) = 1 = 1 Q 8u 2 + u1 u 2 2Q u 2 H (u ) = 2 1 Q u u 2 1 H 1 (u ) = 2Q u1 u 2 6 1 = 2 Q 1 8 2 u 2

1 2

1 8 1 47 1 6

Bc 1:
0 u0 = 1

Bc 2:
6u + u 2 1 1 8 1 1 1 g0 = 1 0 = 8 , H (u 0 ) = H (u ) = 47 1 6 8u 2 + u1
1

Bc 3:

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011
0 1 8 1 1 0 u 1 = u 0 H 1 (u 0 ) g 0 = = 1 47 1 6 8 0

Bc 4: ||u1 - u0|| = 1 > quay v bc 2 k = 1. Bc 2:

6u + u 2 0 1 8 1 1 1 g1 = 1 0 = 0 , H (u 1 ) = H (u ) = 47 1 6 8u 2 + u1
0

Bc 3:
0 1 8 1 0 0 u 2 = u 1 H 1 (u 1 ) g 1 = = 0 47 1 6 0 0

Bc 4: ||u2 - u1|| = 0 < chuyn sang bc 5 Bc 5: Nghim ti u l u* = u 2 = 0

0

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011

Bi 7 Cc tiu ho hm mt bin 1. t vn . Trong cc phng php hc, tm u* ta phi tm sk* bng cch gii bi ton ti u hm mc tiu theo mt hng chn. sk* = argminQ(uk + skhk) i tm sk*, ta s dng phng php o hm, tc l phi gii phng trnh:
Q = 0. s k

c th ci t thnh thut ton, chng ta s s dng mt s phng php c bn tm sk* m khng dng o hm. Ta bit Q(uk + skhk) l hm s mt bin, ch phc thuc vo sk, cho nn ta ch xt bi ton cc tiu ho hm mt bin. - Xt hm s mt bin Q(s), gi thit hm s Q(s) tho mn cc iu kin sau: + Q(s) n iu gim khi 0 < s < s* + Q(s) n iu tng khi s* < s + s* l nghim ti u. + Bit mt im s = s1. th ca hm mc tiu Q(s) c dng nh hnh 1. Q(s) f(x)

s O s* Hnh 1 Nguyn Hoi Nam s1 O x* Hnh 2 1

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L thuyt iu khin nng cao

28 February 2011 Chun ho hm Q(s) vi s = xs1, suy ra x =
s , nh vy 0 x 1 . Khi hm s1

Q(s) = Q(xs1) = f(x), f(x) c th nh hnh 2. f(x) c mt im cc tiu duy nht x* trong khong (0 1), f(1) > f(0). [0 1] c gi l khong nghim. Nguyn tc tm nghim x* l thu nh khong nghim qua tng bc. Trong khong [0 1] chn 2 gi tr bt k x1 v x2 sao cho: 0 < x1 < x2 < 1. Xt cc trng hp sau: + Nu f(x1) < f(x2), khong nghim mi c chn l [0 x2]. + Nu f(x1) f(x2), khong nghim mi c chn l [x1 1]. Vn cn li l chn x1 v x2 nh th no tc hi t l cao nht, tc l tc tm thy x* nhanh nht.

2. Phng php nht ct vng. Xc nh x1, x2 sao cho sau mi ln chia c hai pha u c t l gia khong ln v ton b khong nghim bng t l khong nh chia cho khong ln. Xt khong nghim bt k [xmin xmax]. Gi d l di l khong nghim d = xmax - xmin. Ly hai im x1 < x2 i xng nhau qua im gia ca khong nghim [xmin xmax]. di khong ln l: x2 - xmin v xmax - x1 di khong nh l: xmax - x2 v x1 - xmin Ta c biu thc sau:
x 2 x min x max x 2 = , suy ra ( x 2 xmin ) 2 = d ( x max x 2 ) d x 2 x min 5 1 5 1 = 0,618 , t a = 2 2

Gii phng trnh trn c: x 2 x min = d

Sau mi ln chia, khong nghim mi s l [xmin x2] hoc [x1 xmax], v x1 v x2 c ly i xng cho nn: x2 - xmin = xmax- x1, do khong nghim mi thu c bao gi cng l ad = 0,618d. Sau n ln thu nh khong nghim mi s c rng l and = (0,618)nd.

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011 Thut ton tm x* gn ng theo phng php nht ct vng. Bc 1: Gn xmin = 0; xmax = 1; > 0 b. Tnh f(xmin) v f(xmax). Chn x2 = 0,618, tnh f(x2). Bc 2: Xc nh x1 sao cho x1 i xng qua trung im ca on [xmin xmax]. Bc 3: Tnh f(x1), f(x2) + Nu f(x1) < f(x2), gn xmax = x2 + Nu f(x1) f(x2), gn xmin = x1 Bc 4: Kim tra Nu |xmax -xminh| < chuyn sang bc 5 Nu |xmax -xminh| > quay v bc 2 Bc 5: Nghim ti u gn ng x* c th c chn l mt im bt k thuc khong [xmin xmax] 3. Phng php Fibonaci. Xt dy Fibonaci {1, 1, 2, 3, 5, 8, ..., }. Gi Fi l phn t th i ca dy Fibonaci. Fi c xc nh theo cng thc sau: Fi = Fi-1 + Fi-2. Trong , hai phn t u tin ca dy F1 v F2 c xc nh nh sau: F1 = F2 = 1. Ni dung ca phng php Fibonaci. bc thu nh khong nghim th k, t l gia khong nh vi khong ln l
k =
Fn k + 2 , vi n l s bc thu nh khong nghim c chn t trc. Fn k +3

Ta c: H s thu nh khong nghim th nht l: 1 =

Fn +1 Fn + 2

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011 H s thu nh khong nghim th hai l: 2 = H s thu nh khong nghim th k l: k = H s thu nh khong nghim th n l: n =
Fn Fn +1

Fn k + 2 Fn k +3

F2 F3

Sau n ln thu nh khong nghim, khong nghim mi c h s thu nh khong nghim so khong nghim ban u l: = 1 2 ... n =
1 . Fn + 2

Thut ton tm nghim x* gn ng theo phng php Fibonaci. Bc 1: Gn xmin = 0; xmax = 1; > 0 b. Tnh f(xmin) v f(xmax). Tm n tho mn iu kin:
1 < Fn + 2

Thc hin cc bc sau vi k = 1, 2, 3, ..., n. Bc 2: Tnh k =

Fn k + 2 Fn k +3

Xc nh x1, x2 tho mn iu kin: + x1 < x2 i xng qua trung im ca on [xmin xmax]. +

x1 x min = k x max x1

Bc 3: Tnh f(x1), f(x2). + Nu f(x1) < f(x2), gn xmax = x2 + Nu f(x1) f(x2), gn xmin = x1 Gn k = k + 1 Kim tra: k > n chuyn sang bc 4, ngc li quay v bc 2. Bc 4: Nghim ti u gn ng x* c th c chn l mt im bt k thuc khong [xmin xmax] Nguyn Hoi Nam 27

L thuyt iu khin nng cao

28 February 2011

Bi 8 Bi ton ti u c gii hn 1. Bi ton ti u c gii hn. Cho m hnh h thng c dng nh sau: y = f(u) vi u U u = (u1 u2 . . . ur)T y = (y1 y2 . . . ym)T cc u vo cc u ra

U l min thch hp ca cc bin u vo, c nh ngha nh sau:

U = u = (u1 , u 2 ..., u ) T u k min u k u k max ; k = 1 r

Thc cht ca bi ton ti u c gii hn l tm nghim ti u u* trong iu kin u b gii hn bi min thch hp U.

2. Phng php i bin c lp. S dng cc phng php tm nghim ti u u* ca bi ton khng c gii hn U bng cch dng php chuyn v u = (v). Php chuyn v c th l phi tuyn, tho mn iu kin: v R r th u U Khi bi ton tm:
u = arg min Q(u ) min u U
*

thnh bi ton tm:

v = arg min Q(v) min
*

v R r

Sau khi tm c v*, ta s tm c u* = (v*). Tu theo min gii hn U m ta c th chn mt trong cc phng php chuyn v sau: + u k 0 : Thay u k = vk2 Nguyn Hoi Nam 28

L thuyt iu khin nng cao

28 February 2011 + u k a : Thay u k =
2v k a 1 + v k2

+ u k min u k u k max : Thay u k = (u k max + u k min ) + + u k min < u k < u k max : Thay v k = ln
u k u k min u k max u k

1 2

vk (u k max u k min ) 2 1 + vk

3. Phng php s dng hm pht v hm chn. 3.1 Hm pht. Trong qu trnh tm tng bc nghim ti u, hm pht c c s dng thng bo rng ti thi im hin ti, gi tr uk ra ngoi min U. Vic thng bo ca hm pht thng l bng nhng gi tr rt ln (mt cch khng bnh thng) ti nhng im gn bin, bn trong hoc bn ngoi. Cho hm mc tiu Q(u). Tm
u = arg min Q (u ) min
*

u U

Thay Q(u) = Q(u) + S(u), vi iu kin: S(u) = 0 nu u U S(u) > 0 nu u U

l mt s dng ln.

p dng cc phng php gii bi ton ti u khng rng buc tm nghim

u ( ) = arg min Q(u , ) min , nghim ti u u* c tm theo cng thc sau:
*

u = lim u ( )
* *

3.2 Hm chn. Trong qu trnh tm tng bc nghim ti u, hm chn c s dng ngn cn vic gi tr uk hin ti c th s vt ra ngoi min U. Vic ngn cn ca

Nguyn Hoi Nam

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L thuyt iu khin nng cao

28 February 2011 hm chn thng l bng nhng gi tr rt ln (mt cch khng bnh thng) ti nhng im gn bin, bn trong hoc bn ngoi Thay Q(u) = Q(u) + S(u), vi iu kin: S(u) = 0 nu u cch xa bin. S(u) = + nu u gn bin.
l mt s dng ln.

p dng cc phng php gii bi ton ti u khng rng buc tm nghim

u ( ) = arg min Q(u , ) min , nghim ti u u* c tm theo cng thc sau:
*

u = lim u ( )
* *

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L thuyt iu khin nng cao

28 February 2011

Ti liu tham kho

1. iu khin ti u v bn vng, Nguyn Don Phc, Phan Xun Minh, KH&KT, 2000. 2. L thuyt iu khin t ng hin i, Nguyn Thng Ng, KH&KT, 1999 3. H m- Mng nron v KH&KT, 2001. 4. L thuyt iu khin m, Phan Xun Minh, Nguyn Don Phc, KH&KT, 1999. 5. Nhn dng h thng iu khin, Nguyn Don Phc, Phan Xun Minh, KH&KT, 2001. 6. Qui hoch ton hc, Bi Minh Tr, KH&KT, 1999. ng dng, Bi Cng Cng, Nguyn Don Phc,

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