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edited by
Sergiu Aizicovici
Nicolae H. Pavel
Ohio University
Athens, Ohio
Headquarters
Marcel Dekker, Inc.
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EXECUTIVE EDITORS
EDITORIAL BOARD
Sergiu Aizicovici
Nicolae H. Pavel
Preface
Contributors
10. The One Dimensional Wave Equation with Wentzell Boundary Conditions
Angela Favini, Gisele Ruiz Goldstein, Jerome A. Goldstein, and Silvia Romanelli
15. Solving Identification Problems for the Wave Equation by Optimal Control
Methods
Suzanne Lenhart and Vladimir Protopopescu
20. Implied Volatility for American Options via Optimal Control and Fast
Numerical Solutions of Obstacle Problems
Srdjan Stojanovic
AZMY S. ACKLEH
Department of Mathematics, University of Louisiana at Lafayette,
Lafayette, LA 70504, USA
SERGIU AIZICOVICI
Department of Mathematics, Ohio University,
Athens, OH 45701, USA
MICHAEL DEMETRIOU
Department of Mechanical Engineering, Worcester Polytechnic Institute,
Worcester, MA 01609, USA
SIMEON REICH
Department of Mathematics, The Technion-Israel Institute of Technology,
32000 Haifa, ISRAEL
1 Introduction
wx(0,t)=w(0,t) = 0, wx(l,t)=w(l,t)=Q,
= \
Jo
where X[xi,x2] denotes the characteristic function on the interval [xi,X2J, with 0 < x\ <
£2 < 1. The constants KI, KI and ks are positive and g is a Lipschitz continuous function.
There is an extensive literature on linear and semilinear second order (in time) evolution
equations (e.g., [1, 2, 3, 4, 6, 7, 12, 13, 14, 16]). For example, the existence-uniqueness
results presented in [4] apply to the system (1.!)-(!.2) for the case g = 0. However, to
our knowledge, no existence-uniqueness results for the system (1.1)-(1.2) (with a nontrivial
nonlinear function g) are available.
Equation (1.1) is a general form of the model developed by Demetriou and Polycar-
pou [9, 10]. Indeed, in the context of the flexible structure encountered in Demetriou and
Polycarpou [9], KI denotes the stiffness parameter, KZ the damping parameter and ks the
sensor piezoceramic constant; see Banks et al. [5] and Dosch et al. [11]. When the actuator
(input) failure term /3(x,t)g(y) is written as
with the time profile (Polycarpou and Helmicki [15]) of the failure given by
f 0 ift<Tf
fl( A>
" = {l-^», „«>!-,• °' < L3 >
f ( x , t ) = [kaX[Xl,X2](x)e(t)]xx, ka > 0,
then equation (1.1) has exactly the same form as the beam equation considered in Demetriou
and Polycarpou [9]. The time T; denotes the unknown instance of the failure occurrence
and the signal e denotes the input voltage to the patch. Similarly, ka denotes the actuator
piezoceramic constant; see Banks et al. [5]. Therefore, this model describes the dynamics
wtt
Our efforts here are a continuation of an earlier work [8]. There, the following Galerkin
approximations for solutions of the system (1. !)-(!. 2) were considered:
where {V'j}^! are the eigenfunctions corresponding to the eigenvalues {Xj}^ of the strictly
d4
positive self adjoint operator A — -— with the dense domain in L 2 (0, 1) given by
ax*
It is well known that the eigenvalues Xj are simple and that the set of eigenfunctions
{tjjj} forms a complete orthonormal system in L 2 (0, 1). A priori bounds which are based on
energy estimates were established for these Galerkin approximations. Furthermore, in order
to detect, diagnose and accommodate the actuator failure, a model-based fault diagnosis
scheme was presented. Our scheme consisted of a detection/diagnostic observer and an
estimator of the actuator failure term. Since the proposed scheme is infinite dimensional,
a finite dimensional approximation was considered for computational purposes.
The present paper is organized as follows. In Section 2 we give the definition of weak
solutions to problem (1. !)-(!. 2) and establish existence-uniqueness of such solutions using
a Galerkin approximation technique. The strong convergence of this approximation is also
proved. In Section 3 we use the Galerkin method to give a numerical solution to a model
problem.
We begin this section by letting H — L2(0, 1) and V = HQ(O, 1), so we have the Gelfand
triple V ^-> H ^ V with V = #~ 2 (0, 1). We denote by {-,-) the inner product in H,
while (•, -}v*,v stands for the usual duality product. Let || • ||, || • ||v, and || • \\y* denote the
norms of the spaces H, V, and V , respectively. Assume that the parameters in (1. !)-(!. 2)
satisfy the following conditions:
(A/}) The function j3 e L°° (Q,T,H), with ||/?|| LOO(0>T . ff) < L.
with norm
U
UT = i.2( 0 ,T;V)
We now define the notion of a weak solution to the problem (1. !)-(!. 2).
Next we state the existence-uniqueness theorem which is the main result of this paper.
Theorem 2.2 The problem (1. !)-(!. 2) has a unique weak solution.
Proof. Let {^ISi be any linearly independent total subset of V. For each m, let
and let w™, w™ £ Vm be chosen so that w™ -> w0 in V, w™ —>• w\ in H as m —>• oo. For each
TO we define an approximate solution to the problem (1. !)-(!. 2) by wm (t) = X^i C™(i)il)i,
where wm is the unique solution to the m- dimensional system
ym(t)= f ksX[xi,X2](x)w™t(x,t)dx.
Jo
Multiplying the equation (2.3) by ^C*j"(t) and summing up over j we obtain
(f(t),w?(t))v.,v.
+ 2
(2.5)
/o Jo
Now, using the assumption (Af), the fourth term on the right hand side of (2.5) can be
bounded as follows:
2 [\f(T),W?(T))V.,VdT<6 [t\\W™XT(T)\\2dT+l-
Jo Jo ° Jo
for any 6 > 0. Furthermore, note that from assumption (Ag) it follows that
\g(ymm<\g(ym(t)}- 5(0)!
(2.6)
for some GI > 0. Hence, the third term on the right hand side of (2.5) satisfies the following
estimate:
\dr
(LC^dr
+6
Then
rt
„ .m / _ \ l | 2 r _ *• i k . m i i S
0
Hence, there exists a subsequence {wmk} of {wm} and limit functions w € W / 1 ' 2 (0,T;y)
and g 6 L 2 (0, T) such that
- Ki(w™x(t),r)jxx(t)) + K2(w'xlxt(t),rjjxx(t))}dt
mt)g(ym(t)),r]JXX(t)) -
{(/3(t)g(ym(t)},rjJXX(t)} + (f(t)^(t))v.y} dt +
o
Using the above weak convergences and taking subsequential limits as m = mk -> oo in
the previous equation we get
o
Recalling that r]j(t) = r)(t)wj and further restricting r\ so that 77 6 Q°(0,T), we get
fT
/ {r, (t) (-w^t),^) + Klri (t) (wxx(t),^jxi} + K2r1(t)(wxxt(t'),tjjjxx)} dt
CT
= I rj(t){(/3(t)g(t),^xx) +(f(t),^j)v,v}dt.
Jo
This implies that for each ipj,
Since ipj is total in V we thus have that wtt e L2(0, T; V) and for all <j> £ V,
We already have w(0) — WQ and to argue that wt (0) = w\, we return to (2.7) which holds
for all rjj(t) = r](t)'ipj, T? e C^O,^, 7/(T) = 0. Integrating by parts the first term in (2.7)
and using (2.8) we obtain
From this it follows that wt (0) = wi. To prove that the limit function is indeed a weak
solution left to be shown that g(t) = g(y(t}} for a.e. t 6 [0, T]. Recall that we already
+2 / ( f t ( r ) ( g ( y m ( r ) ) - g ( y ( r ) ) , z ^ x ( r ) ) d r
Jo.
+2
'°,t
+2 (
Jo
Here,
2
t
< 2 f \\/3(r)\\ \g(ym(r) - g(y(r))\ \\z™xx (r)\\ dr
Jo _
< 2 T ^ \ym(r) - y(r)\ ||/3(r)|| \\z?xx(r)\\ dr
JO <*s
Letting m = m* —>• oo, we clearly get \\w™k — w\\\ + KI \\w^.kx — WQXX\\ —>• 0. Recalling
mk mk
that z =w -W-+Q weakly in W ' (0, T; V) and that g ( y ) ->• 5 weakly in L 2 (0, T),
l2 mk
we see that Tmk(t) —> 0 because w satisfies the integrated form of (2.9). Furthermore, we
also see that the third and the fourth terms on the right-hand side of the above inequality
converges to 0. Hence, we have that wmk —>• w strongly in C([0,T]; V) and that w™k —)• wt
strongly in C([0, T]; H) n L 2 (0, T; V). This implies that
/•T
T i^\2 rT
m 2
/ \9(y "(t))-9(ym dt< (^ f
Jo \s / ^°
<(C0 2 f
Joo
Since g(ymk) -+ g weakly in L 2 (0,T) also, we get that g(y(t)) = g(t) for a.e. t <E (0,T).
Now that we have proved the existence of a weak solution to problem (1. !)-(!. 2) we
would like to point out that a solution to this problem satisfies the additional regularity
w e C([0,T]- V) and wt € C([0,T]; H) (cf. [13, p. 273], [14, Chap. 3j). To see this, observe
that for any ~g e L2 (0, T) the linear problem (2.9) has a unique solution w with w(ff) — WQ,
wt(0) = wl satisfying w 6 C([0,T}; V) and wt 6 ^([O.T]; H) (for details see [4]). Since for
=
#(') d(y('}) £ L2(0,T) the unique solution to the linear problem w coincides with the
solution w to the nonlinear problem (1. !)-(!. 2), the result follows.
The uniqueness of solutions can be easily established. Indeed, assume that w\ and w-i
are two solutions to (1. !)-(!. 2) and define z = w\ -w2. Then by calculations similar to the
ones employed above we deduce that for each t e (0, T),
2
Kl\\zxx(t)\\ +( 2K2-2LC!) / \\ztxx(r)\\2dT<0.
^ ' Jo
We conclude this section by pointing out that from the uniqueness of solutions it fol-
lows that the Galerkin approximations wm converges to the unique solution w strongly in
C([0, T]; V). In the next section we present a numerical solution to a model problem using
the Galerkin approximation developed here.
3 Numerical Results
In this section we summarize the numerical implementation scheme and present some of
our numerical findings. For the purpose of the numerical results we set
Using a standard Galerkin scheme, we discretize the problem (1. !)-(!. 2) in terms of spline
expansions. More precisely, we use modified (for essential boundary conditions) cubic
splines on the interval (0,1) with respect to the uniform mesh {0, — , — , . . . ,1} to ap-
proximate (1. !)-(!. 2). Using the notation of Section 2 we denote the 1-D cubic splines
that are used to discretize (1.1) by {V'i™}^1 an
d the approximating subspace by V™ —
and restricting the infinite dimensional system to the space Vm, we arrive at equations
(2.3)-(2.4) with the test function ^ replaced by if; € V. When the test function ^ is chosen
in Vm, we obtain the finite dimensional system
Then one can easily verify that w(x,i) = sin(t)x2(x — I) 2 solves (1. !)-(!. 2). A finite
dimensional system can be obtained for this choice of forcing function / using the same
technique which led to (3.1). The approximation errors and the percentage values of the
approximation errors are depicted in Figure 1. It can be observed that the approximate
solutions wm converge to the true solution w with order 1/m2 for the L2 norm and 1/^/rn
for the H$ norm.
The system with a nonzero j3 and e(t) = sin(2i) is simulated for m = 128 in which the
nonlinear function g(y) is chosen as
and where the plant parameters are given by n\ — 1, K? = 0.001, ka = 3.5 x 10~3,
ks = 3.5 x 10~4, Xi — 0.45, x% = 0.55 and Tf = 0.1. The above choice satisfies the
(a) (b)
(c) (d)
Figure 1: Evolution of (a) L2 and (c) H$ approximation error norms, and (b) L2 and (d) H$
t.5 2
0.04
0.03
0.02
0.01
Displacement w(x,1)
Acknowledgments: The work of S. Reich was partially supported by the Fund for
the Promotion of Research at the Technion and by the Technion VPR Fund - E. and M.
Mendelson Research Fund.
References
[1] A.S. Ackleh, H.T. Banks and G.A. Pinter, On a nonlinear beam equation, Applied
Mathematics Letters, to appear.
[3] H. T. Banks, D. S. Gilliam, and V. I. Shubov, Global solvability for damped abstract
nonlinear hyperbolic systems, Differential and Integral Equations, 10 (1997), 309-332.
[4] H. T. Banks, K. Ito, and Y. Wang, Well-posedness for damped second order systems
with unbounded input operators, Differential and Integral Equations, 8 (1995), 587-606.
[11] J. Dosch, D. J. Inman, and E. Garcia, A self-sensing piezoelectric actuator for collo-
cated control, Journal of Intelligent Material Systems and Structures, 3 (1992), 166-
185.
[12] J. Ha and S. Nakagiri, Existence and regularity of weak solutions for second order
semilinear evolution equations, Funkcialaj Ekvacioj, 41 (1998), 1-24.
Abstract
The paper provides necessary conditions for the optimality of a
pair (y,u~) with respect to a locally Lipschitz cost functional L(y,u~),
subject to Ay = Cu + B(y, u). Here A and C are closed range, densely
defined linear operators on some Banach spaces Y and X, while B is
a (Gateaux) differentiable map on Y X X. This extends the result
in [1], where the case B(y,u~) = B(u) — F(y), with B and F Frechet
differentiable, was studied.
T(y,u)M = {(z,w)£D(A)xD(C):3p(t)-+QmY
and q ( t ) -> 0 in X as * -> 0+ such that (2)
(y + t(z + p ( t ) ) , u + t(w + q ( t ) ) ) G M}
(see Aizicovici, Motreanu and Pavel [1] or Motreanu and Pavel [5], Pavel [6]).
In what follows, the superscript * denotes the adjoint of a linear operator.
The generalized directional derivative of L(y,u), the generalized gradient of
L and the partial generalized gradients of L(y,u) with respect to the vari-
ables y and u (in the sense of Clarke [3]) are denoted by L°(y,u),dL(y,u),
dyL(y,u) and duL(y,u), respectively (unless otherwise specified). Finally,
B'(y,u), By(y,u) and Bu(y,u) denote the Gateaux derivative and the par-
tial Gateaux derivatives of B(y,u), respectively.
Az = Cw + B'(y,u)(z,w), (3)
The following simple Lemma will be essentially used in the proof of our main
result.
(-(A - By(y, u))*p G dyL(y, u) and (C + Bu(y, u))*p G duL(y, u). (7)
PROOF. First we show that if (z,w) G D(A] x D(C) satisfies (3), then
L°(y,u;z,w)>Q. (8)
for the constant / > 0 in the proof of Lemma 1. Here we have used the
definition of L°(y,u;z,w) and the fact that L is locally Lipschitz near ( y , u )
in Y x X. The claim in (8) is thereby verified.
On the basis of Lemma 1, Inequality (8) implies the existence of (£,77) €
Y* x X* such that
teN(A-By(y,u))^. (fO)
teR((A-By(y,u))*). (12)
r}£R((C + B u ( y , u ) ) * ) . (13)
By (12) and (13) there exist p G D(A*} C E* and p e D(C)* C £* such that
(16)
p + p^R(A-By(y,u))J-. (17)
(see, e.g., Brezis [3], p. 28), from (17) one obtains that
p + p€JV((A-jBy(y,u)n, (18)
(21)
we find that
Bu(y,u))*). (23)
By (23) and (14) it follows that
(-(A - By(y, «))"(-p), (C + Bu(y, u))"(-p)) = (£, //) G dL(y, u). (25)
d L ( y , u ) C d y L ( y , u ) x duL(y,u)
(see Clarke [3], p. 48). Thus property (7) follows from (6) which completes
the proof of Theorem 1 . n
{ ( y , u ) G M : L(y,u}<\$L + e} (26)
M
The boundedness of the set introduced in (26) and the convergence in (28)
imply that (yn, un) is a bounded sequence. Then the reflexivity of the spaces
X and Y ensures that along a subsequence one has
for some element (j/,i/) G Y x X. Then, from (29), we derive that C(un) —»
C(u) weakly in E and B(ynjun) —»• B(y,u) weakly in E. We see from (27)
that
Ayn -> Cu + B(y, u) weakly in E. (30)
Since the operator A is linear and closed, it follows that its graph is weakly
closed. This enables us to conclude from (29) and (30) that ( y , u ) G M. The
weak lower semicontinuity of L (at ( y , u } } and property (28) complete the
proof of Theorem 2. n
?/ = 0 on
\(L
2 \ 2
fl Lf(y +U + t T ( Z +
w) dx
Jo dr
for all ( y , u ) , ( z , w } € ^ 2 (0) x L2(tt) and t e ffi \ {0}. The Lebesgue Domi-
nated Convergence Theorem and assumption (i) ensure that the right hand
side of the above equality converges to 0 as t —> 0.
Moreover, the map (z,w) <= L2(ft] x L 2 (fi) h-» f ' ( y + u)(z + w) e L2(tt)
is linear and continuous. The continuity follows from the inequalities below
f ' ( y + u)(z K
is nonempty (cf. [4, Chapter 3]). Hence, to verify (Hi), let y,z G #o
and u,u; € L2(tt) satisfy
and for any e > 0 define p : [0, e] —> L 2 (Q) by />(0) = 0 and
Then, by the Mean Value Theorem for f~l, one obtains that
l
-\f(y + u) + t f ' ( y + u)(z + w)-f(y +u + t(z + w))\2
This is because
= 0 on
- K
1
a.e. n
f'(y +
We get that
-Ap-u = -g(x,y)
f'(y
[4] D.G. De Figueiredo (1989). The Ekeland Variational Principle with Ap-
plications and Detours, Springer, Berlin.
y(x,Q)=y0(x}, x <E n
where P is the solution to a certain algebraic Riccati equation (see J.L. Lions [9]
and J. Zabczyk [10]). The problem is that the solution of (1.1) corresponding to the
feedback control given by (1.2) is not necessary nonnegative (as should be the density
3/OM)).
For the exact controllability of the semilinear heat equation we refer to [5] and [7].
The null controllability of a reaction-diffusion system has been investigated in [2].
The stabilization of a certain reaction-diffusion system was studied by L.I. Ani^a
in [1].
Our goal is to find necessary and sufficient condtions for "nonnegative" stabi-
lizability (stabilizability with preservation of the nonnegativity of the solution y to
(1.1)) and in the affirmative case to indicate a feedback control.
The plan of the paper is the following. In Section 2 we shall present the main
result. Section 3 is devoted to some final remarks.
+ a(x)(p(x) = \tp(x), x 6 fi \ tJ
(2.1)
and
yu(x, t)>0 a.e. in Q = fi x (0, +00),
then it is obvious that
yu(x,t)>z(x,t)
a.e. (x, t) 6 (fi \ w) X (0, +00), where z is the solution to
The solution z to (2.2) is strictly positive a.e.. On the other hand, using the Fourier
development for z(t) in L 2 (fi \ w ) we may infer that
>Mie-A', Vi>0,
If X^ > 0, then we shall prove first that there exists a positive T 6 (0, +00) and
a control u €E L?(QU,T) such that
and
yu(x,T) = 0 a.e. x E u.
Indeed, if y0(x) = 0 on a subset of cu of positive measure, then we consider the
following system:
Lemma 2.2. For any p > 0 large enough, there exists T G (0, +00) such that
(2.3) has a unique and nonnegative solution y on the time interval (0,T) and in
addition
y(x,T) — 0 a.e. x € ui.
o<ysi(x,t)<
a.e. On the other hand, since
— mp •
for almost every t > 0 and using the Baras compactness theorem we get that
- tp.
) -(i
a - e~at) - 4 e at
az + P ' (~a +azHF)-
Thus
So, for p > 0 large enough, there exists T 6 (0, +00) such that (2.3) has a unique
and nonnegative solution on the time interval (0, T) and in addition
y(x,T) = 0 a.e. x € u
and
Proof of Theorem 2.1 (continued). We conclude that using the feedback control
u(t) = -p-sgnLl(u}y(t),
we get that
yu(x,t) > 0 a.e. inQ T
"Hän ei voinut tulla", nauraa Rex. "Silloin olisi hänen ollut pakko
esiintyä pienenä tyttönä taas. Hänellä ei ollut yhtään pitkää pukua
päälle pantavaksi. Näettekös, Gertie on tullut niin kauhean
häveliääksi näinä kolmena päivänä, jotka hän on kulkenut pitkissä
hameissa, että hänen jalanrintojaan täytyy pitää piilossa kuten muita
pyhäinjäännöksiä."
"Ohoi, siinä sait, Indra!" huutaa Rex. "Hän oli jo tilannut itselleen
polkupyörän, kun isäukko sai vihiä siitä ja piti hänelle torat. Niin, ja
hankkinut itselleen polkupyöräpuvunkin. Hän antoi minun nähdä se
salaa ja saatanpa teille kertoa, että siinä meni maailmalta hukkaan
jotain tyylikästä; se kun oli niin valtavan pukeva."
"Oli miten oli", mutisee Indra hymyillen, "pian olen vapaa isän
ohjaksista, ja silloin… heti polkupyörä! Vai mitä, Billy?" Ja hän katsoo
kysyvästi pöytäkavaljeeriinsa.
Mutta jos hän olisi sitä aavistanut, olisi hän tarttunut vastapäätä
istuvan miehen valkoiseen kurkkuun suurilla, voimakkailla käsillänsä,
ja Balasco olisi lopettanut päivällisensä Tuonelassa.
"Caramba! Te rohkenitte?"
"Mitä? Jahdissako?"
"Muussa tapauksessa annan viedä aseet ylös lastiruomasta
laiturille tänä iltana."
Seitsemästoista luku.
"Ehkä olisi juuri niin hyvä. Mitä sanotte mrs Ormiston?" kysyy
Indra.
"Minä olen hirmuisen uninen — jos menisimme ja rupeaisimme
nukkumaan?
Meidän hyttimme ovat sangen mukavat."
Kahdeksastoista luku.
Balascon voitonriemu.
Mutta kun hän koettaa avata hytin ovea, huomaa hän, ettei hän
voi sitä hievahduttaakaan. Käytävällä, jonne ovi aukeaa antaakseen
pienelle hytille niin suuren tilan kuin mahdollista, on jotain
estämässä.
"Se on jotain yhtä raskasta kuin linjalaivan ankkuri", mutisee
nulikka puhisten olkapäällä ovea vasten ponnistaessansa. "Ohoi,
kokki!" huutaa hän sitten pari kertaa. "Ottakaa pois tuo roska!
Tahdon päästä ulos!" Mutta hän ei saa mitään vastausta, muuta kuin
Masticilta, joka nyt katsahtaa ylös ja murisee: "Hitto vie, mitä sinä
minusta herätät, lurjusnulikka? Etkö voi pitää suutasi kiinni?"
"Me emme voi päästä ulos", sanoo poika. "Me olemme olleet
kulussa koko yön ja pysähtyneet juuri nyt. Ja tahdon tulla hirtetyksi,
jos tiedän, missä olemme. Tahdoin mennä kannelle, mutta en pääse
ulos."
*****
"Kaikkityynni? En ymmärrä."
"Pankaa merkille, että olemme aito sissi aivan kuin Toveri", nauraa
Espanjalainen. "Te tiedätte, mitä sen väestölle ja matkustajille
tapahtui? Mutta tästä tulee vielä pahempaa!"
"Tulkaa vaimokseni!"