The Sequential Quadratic Hamiltonian Method

Solving Optimal Control Problems

Alfio Borzì (University of Wurzburg, Germany)

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English

Chapman & Hall/CRC
26 May 2023

Differential calculus & equations; Numerical analysis; Probability & statistics; Optimisation; Applied mathematics

Series: Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series

The sequential quadratic hamiltonian (SQH) method is a novel numerical optimization procedure for solving optimal control problems governed by differential models. It is based on the characterisation of optimal controls in the framework of the Pontryagin maximum principle (PMP).

The SQH method is a powerful computational methodology that is capable of development in many directions. The Sequential Quadratic Hamiltonian Method: Solving Optimal Control Problems discusses its analysis and use in solving nonsmooth ODE control problems, relaxed ODE control problems, stochastic control problems, mixed-integer control problems, PDE control problems, inverse PDE problems, differential Nash game problems, and problems related to residual neural networks.

This book may serve as a textbook for undergraduate and graduate students, and as an introduction for researchers in sciences and engineering who intend to further develop the SQH method or wish to use it as a numerical tool for solving challenging optimal control problems and for investigating the Pontryagin maximum principle on new optimisation problems.

Features

Provides insight into mathematical and computational issues concerning optimal control problems, while discussing many differential models of interest in different disciplines. Suitable for undergraduate and graduate students and as an introduction for researchers in sciences and engineering. Accompanied by codes which allow the reader to apply the SQH method to solve many different optimal control and optimisation problems.

By: Alfio Borzì (University of Wurzburg Germany)
Imprint: Chapman & Hall/CRC
Country of Publication: United Kingdom
Dimensions: Height: 234mm, Width: 156mm,
Weight: 648g
ISBN: 9780367715526
ISBN 10: 036771552X
Series: Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series
Pages: 250
Publication Date: 26 May 2023
Audience: College/higher education , Primary
Format: Hardback
Publisher's Status: Active

Alfio Borzì, born 1965 in Catania (Italy), is Professor and Chair of Scientific Computing at the Institute for Mathematics of the University of Würzburg, Germany. He studied Mathematics and Physics in Catania and Trieste where he received his PhD in Mathematics from Scuola Internazionale Superiore di Studi Avanzati (SISSA). He served as Research Officer at the University of Oxford (UK) and as Assistant Professor at the University of Graz (Austria) where he completed his Habilitation and was appointed as Associate Professor. Since 2011 he has been Professor of Scientific Computing at the University of Würzburg. Alfio Borzì is author of 4 mathematics books and numerous articles in scientific journals. The main topics of his research and teaching activities are modelling and numerical analysis, optimal control, optimisation, and scientific computing. He is member of the editorial board for SIAM Review.