The relationship between different dissipativity concepts for linear time-varying systems is studied, in particular between port-Hamiltonian systems, passive systems, and systems with nonnegative supply. It is shown that linear time-varying port-Hamiltonian systems are passive, have nonnegative supply rates, and solve (under different smoothness assumptions) Kalman-Yakubovich-Popov differential and integral inequalities. The converse relations are also studied in detail. In particular, sufficient conditions are presented to obtain a port-Hamiltonian representation starting from any of the other dissipativity concepts. Two applications are presented.
This paper presents a new concept of controlled dissipativity as an extension of the standard dissipativity property to systems with parameter-varying storage functions under the framework of economic model predictive control (EMPC). Based on this concept, two EMPC controllers, integrated with the dissipation inequality constraints rendering the storage function parameters as decision variables, are formulated and the associated recursive feasibility is ensured. Then, the asymptotic convergence to an optimal equilibrium in closed-loop, without requiring the standard dissipativity assumption, i…
This note is concerned with the presentation of new delay-dependent dissipativity-based convex conditions (expressed in the form of linear matrix inequalities) for the design of static output feedback (SOF) stabilizing gains for open-loop unstable discrete-time systems with input time-varying delays. A modified definition of QSR-dissipativity combined with the use of Lyapunov-Krasovskii functionals as storage functions and the application of Finsler's Lemma lead to the gathering of non-interactive design conditions. We show that, differently from most works dealing with controller design for t…
We consider the problem of minimizing the entropy, energy, or exergy production for state transitions of irreversible port-Hamiltonian systems subject to control constraints. Via a dissipativity-based analysis we show that optimal solutions exhibit the manifold turnpike phenomenon with respect to the manifold of thermodynamic equilibria. We illustrate our analytical findings via numerical results for a heat exchanger.
We show how to compose robust stability tests for uncertain systems modeled as linear fractional representations and affected by various types of dynamic uncertainties. Our results are formulated in terms of linear matrix inequalities and rest on the recently established notion of finite-horizon integral quadratic constraints with a terminal cost. The construction of such constraints is motivated by an unconventional application of the S-procedure in the frequency domain with dynamic Lagrange multipliers. Our technical contribution reveals how this construction can be performed by dissipativit…
We introduce and study the turnpike property for time-varying shapes, within the viewpoint of optimal control. We focus here on second-order linear parabolic equations where the shape acts as a source term and we seek the optimal time-varying shape that minimizes a quadratic criterion. We first establish existence of optimal solutions under some appropriate sufficient conditions. We then provide necessary conditions for optimality in terms of adjoint equations and, using the concept of strict dissipativity, we prove that state and adjoint satisfy the measure-turnpike property, meaning that the…
We present a new result on uniform attractivity of the origin for nonlinear time-varying systems. Our theorem generalizes Matrosov's theorem which extends, in a certain manner, Krasovskii-LaSalle invariance principle to the case of general nonlinear time-varying systems. We show the utility of our theorem by addressing a control problem of port interconnected driftless systems. The latter includes as special case, the control of chained-form nonholonomic systems which has been extensively studied in the literature.
We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two co-integrated assets, we define the trading strategies as the portfolio weights maximizing the expected power utility from terminal wealth. We compute the optimal pairs strategies by using a Finite Difference method. Finally, we illustrate our results by conducting tests on historical market data at daily frequency. The parameters are estimated by the Generalized Method…
In this paper, we identify a class of time-varying port-Hamiltonian systems that is suitable for studying problems at the intersection of statistical mechanics and control of physical systems. Those port-Hamiltonian systems are able to modify their internal structure as well as their interconnection with the environment over time. The framework allows us to prove the First and Second laws of thermodynamics, but also lets us apply results from optimal and stochastic control theory to physical systems. In particular, we show how to use linear control theory to optimally extract work from a singl…
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying terminal time. Using the embedding technique from stochastic optimal control in continuous time and varying the terminal time, we determine an optimal strategy and related deterministic terminal time for the model. Our results suggest that doing so for an investment plan requires minimizing the variance with a varying terminal time.
In this work, the multiplier method is extended to obtain a general lower bound of the exponential decay rate in terms of the physical parameters for port-Hamiltonian systems in one space dimension with boundary dissipation. The physical parameters of the system may be spatially varying. It is shown that under assumptions of boundary or internal dissipation, the system is exponentially stable. This is established through a Lyapunov function defined through a general multiplier function. Furthermore, an explicit bound on the decay rate in terms of the physical parameters is obtained. The method…
We investigate optimal control of linear port-Hamiltonian systems with control constraints, in which one aims to perform a state transition with minimal energy supply. Decomposing the state space into dissipative and non-dissipative (i.e. conservative) subspaces, we show that the set of reachable states is bounded w.r.t. the dissipative subspace. We prove that the optimal control problem exhibits the turnpike property with respect to the non-dissipative subspace, i.e., for varying initial conditions and time horizons optimal state trajectories evolve close to the conservative subspace most of …
In this paper, we give easily verifiable sufficient conditions for two classes of perturbed linear, passive PDE systems to be well-posed, and we provide an energy inequality for the perturbed systems. Our conditions are in terms of smoothness of the operator functions that describe the multiplicative and additive perturbation, and here well-posedness essentially means that the time-varying systems have strongly continuous Lax-Phillips evolution families. A time-varying wave equation with a bounded multi-dimensional Lipschitz domain is used as illustration, and as a part of the example, we show…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and determine optimal portfolio liquidation strategies. In a first model variant, we propose a trading dependent spread that increases when market orders are matched against the order book. In this model no price manipulation occurs and the optimal strategy is of the wait region - buy region type often encountered in singular control problems. In a second model, we ass…
