Goddard problem

Introduction

For this advanced example, we consider the well-known Goddard problem^{[1] [2]} which models the ascent of a rocket through the atmosphere, and we restrict here ourselves to vertical (one dimensional) trajectories. The state variables are the altitude $r$, speed $v$ and mass $m$ of the rocket during the flight, for a total dimension of 3. The rocket is subject to gravity $g$, thrust $u$ and drag force $D$ (function of speed and altitude). The final time $t_f$ is free, and the objective is to reach a maximal altitude with a bounded fuel consumption.

We thus want to solve the optimal control problem in Mayer form

\[ r(t_f) \to \max\]

subject to the controlled dynamics

\[ \dot{r} = v, \quad \dot{v} = \frac{T_{\max}\,u - D(r,v)}{m} - g, \quad \dot{m} = -u,\]

and subject to the control constraint $u(t) \in [0,1]$ and the state constraint $v(t) \leq v_{\max}$. The initial state is fixed while only the final mass is prescribed.

Direct method

We import the OptimalControl.jl package:

using OptimalControl

We define the problem

t0 = 0      # initial time
r0 = 1      # initial altitude
v0 = 0      # initial speed
m0 = 1      # initial mass
vmax = 0.1  # maximal authorized speed
mf = 0.6    # final mass to target

@def ocp begin # definition of the optimal control problem

    tf ∈ R, variable
    t ∈ [ t0, tf ], time
    x ∈ R³, state
    u ∈ R, control

    r = x₁
    v = x₂
    m = x₃

    x(t0) == [ r0, v0, m0 ]
    m(tf) == mf,         (1)
    0 ≤ u(t) ≤ 1
    r(t) ≥ r0
    0 ≤ v(t) ≤ vmax

    ẋ(t) == F0(x(t)) + u(t) * F1(x(t))

    r(tf) → max

end;

# Dynamics
const Cd = 310
const Tmax = 3.5
const β = 500
const b = 2

F0(x) = begin
    r, v, m = x
    D = Cd * v^2 * exp(-β*(r - 1)) # Drag force
    return [ v, -D/m - 1/r^2, 0 ]
end

F1(x) = begin
    r, v, m = x
    return [ 0, Tmax/m, -b*Tmax ]
end

We then solve it

direct_sol = solve(ocp, grid_size=100)

Method = (:direct, :adnlp, :ipopt)
This is Ipopt version 3.14.14, running with linear solver MUMPS 5.6.2.

Number of nonzeros in equality constraint Jacobian...:     1904
Number of nonzeros in inequality constraint Jacobian.:        0
Number of nonzeros in Lagrangian Hessian.............:     1111

Total number of variables............................:      405
                     variables with only lower bounds:      101
                variables with lower and upper bounds:      202
                     variables with only upper bounds:        0
Total number of equality constraints.................:      304
Total number of inequality constraints...............:        0
        inequality constraints with only lower bounds:        0
   inequality constraints with lower and upper bounds:        0
        inequality constraints with only upper bounds:        0

iter    objective    inf_pr   inf_du lg(mu)  ||d||  lg(rg) alpha_du alpha_pr  ls
   0 -1.0100000e+00 9.00e-01 2.00e+00   0.0 0.00e+00    -  0.00e+00 0.00e+00   0
   1 -1.0090670e+00 8.99e-01 6.67e+01   1.3 1.67e+02    -  3.64e-03 5.93e-04f  1
   2 -1.0000907e+00 8.74e-01 1.83e+02   1.0 6.64e+00    -  3.63e-02 2.83e-02h  1
   3 -1.0023670e+00 8.37e-01 1.34e+04   1.0 6.91e+00    -  2.11e-01 4.19e-02f  1
   4 -1.0025025e+00 7.70e-01 9.45e+03   1.5 4.04e+00    -  1.00e+00 8.09e-02f  1
   5 -1.0033626e+00 7.16e-01 1.48e+05   2.3 3.56e+00    -  3.73e-01 6.94e-02f  1
   6 -1.0142503e+00 9.62e-03 3.99e+04   2.3 7.16e-01    -  4.49e-01 9.90e-01h  1
   7 -1.0101264e+00 4.21e-03 4.24e+05   1.8 5.32e-01    -  5.03e-01 9.90e-01h  1
   8 -1.0068427e+00 3.20e-04 2.87e+06   0.9 2.44e-01    -  6.73e-01 9.91e-01h  1
   9 -1.0067336e+00 2.64e-06 2.30e+07   0.1 7.39e-02    -  7.07e-01 1.00e+00f  1
iter    objective    inf_pr   inf_du lg(mu)  ||d||  lg(rg) alpha_du alpha_pr  ls
  10 -1.0067340e+00 1.13e-10 6.50e+05  -5.0 2.90e-04    -  9.89e-01 1.00e+00h  1
  11 -1.0067350e+00 2.81e-10 7.20e+03  -7.0 4.26e-04    -  9.89e-01 1.00e+00h  1
  12 -1.0078967e+00 9.07e-04 5.95e+03  -3.0 7.61e-01    -  6.55e-01 7.21e-01f  1
  13 -1.0081866e+00 3.67e-06 9.38e+03  -9.0 1.31e-02    -  8.60e-01 1.00e+00h  1
  14 -1.0091814e+00 1.57e-04 1.79e+02  -4.6 2.18e-01    -  1.00e+00 9.28e-01h  1
  15 -1.0105115e+00 2.55e-04 7.17e+02  -4.4 3.09e-01    -  1.00e+00 5.75e-01h  1
  16 -1.0114149e+00 2.34e-05 7.98e-04  -5.1 4.29e-02    -  1.00e+00 1.00e+00h  1
  17 -1.0122891e+00 7.90e-05 1.24e+02  -5.8 1.25e-01    -  9.98e-01 7.92e-01h  1
  18 -1.0125091e+00 2.83e-05 4.85e-04  -6.1 1.06e-01    -  1.00e+00 1.00e+00h  1
  19 -1.0125585e+00 1.21e-05 8.67e-05  -6.8 1.01e-01    -  1.00e+00 1.00e+00h  1
iter    objective    inf_pr   inf_du lg(mu)  ||d||  lg(rg) alpha_du alpha_pr  ls
  20 -1.0125675e+00 4.40e-06 3.01e-05  -7.3 9.80e-02    -  1.00e+00 1.00e+00h  1
  21 -1.0125707e+00 1.75e-06 3.70e-02  -8.0 1.14e-01    -  1.00e+00 9.91e-01h  1
  22 -1.0125714e+00 9.50e-07 4.98e-03  -8.6 1.37e-01    -  1.00e+00 9.94e-01h  1
  23 -1.0125716e+00 5.06e-08 6.91e-04  -9.3 2.57e-02    -  1.00e+00 9.96e-01h  1
  24 -1.0125716e+00 1.25e-10 1.08e-09 -11.0 2.15e-03    -  1.00e+00 1.00e+00h  1

Number of Iterations....: 24

                                   (scaled)                 (unscaled)
Objective...............:  -1.0125716188789131e+00   -1.0125716188789131e+00
Dual infeasibility......:   1.0759941386357690e-09    1.0759941386357690e-09
Constraint violation....:   1.5779155759787500e-11    1.2476877864209257e-10
Variable bound violation:   6.1594570555101313e-09    6.1594570555101313e-09
Complementarity.........:   1.5140175163848740e-11    1.5140175163848740e-11
Overall NLP error.......:   1.5779155759787500e-11    1.0759941386357690e-09


Number of objective function evaluations             = 25
Number of objective gradient evaluations             = 25
Number of equality constraint evaluations            = 25
Number of inequality constraint evaluations          = 0
Number of equality constraint Jacobian evaluations   = 25
Number of inequality constraint Jacobian evaluations = 0
Number of Lagrangian Hessian evaluations             = 24
Total seconds in IPOPT                               = 1.467

EXIT: Optimal Solution Found.

and plot the solution

plt = plot(direct_sol, size=(600, 600))

Indirect method

We first determine visually the structure of the optimal solution which is composed of a bang arc with maximal control, followed by a singular arc, then by a boundary arc and the final arc is with zero control. Note that the switching function vanishes along the singular and boundary arcs.

t = direct_sol.times
x = direct_sol.state
u = direct_sol.control
p = direct_sol.costate

H1 = Lift(F1)           # H1(x, p) = p' * F1(x)
φ(t) = H1(x(t), p(t))   # switching function
g(x) = vmax - x[2]      # state constraint v ≤ vmax

u_plot  = plot(t, u,     label = "u(t)")
H1_plot = plot(t, φ,     label = "H₁(x(t), p(t))")
g_plot  = plot(t, g ∘ x, label = "g(x(t))")

plot(u_plot, H1_plot, g_plot, layout=(3,1), size=(600,450))

We are now in position to solve the problem by an indirect shooting method. We first define the four control laws in feedback form and their associated flows. For this we need to compute some Lie derivatives, namely Poisson brackets of Hamiltonians (themselves obtained as lifts to the cotangent bundle of vector fields), or derivatives of functions along a vector field. For instance, the control along the minimal order singular arcs is obtained as the quotient

\[u_s = -\frac{H_{001}}{H_{101}}\]

of length three Poisson brackets:

\[H_{001} = \{H_0,\{H_0,H_1\}\}, \quad H_{101} = \{H_1,\{H_0,H_1\}\}\]

where, for two Hamiltonians $H$ and $G$,

\[\{H,G\} := (\nabla_p H|\nabla_x G) - (\nabla_x H|\nabla_p G).\]

While the Lie derivative of a function $f$ wrt. a vector field $X$ is simply obtained as

\[(X \cdot f)(x) := f'(x) \cdot X(x),\]

and is used to the compute the control along the boundary arc,

\[u_b(x) = -(F_0 \cdot g)(x) / (F_1 \cdot g)(x),\]

as well as the associated multiplier for the order one state constraint on the velocity:

\[\mu(x, p) = H_{01}(x, p) / (F_1 \cdot g)(x).\]

With the help of the differential geometry primitives from CTBase.jl, these expressions are straightforwardly translated into Julia code:

# Controls
u0 = 0                                  # off control
u1 = 1                                  # bang control

H0 = Lift(F0)                           # H0(x, p) = p' * F0(x)
H01  = @Lie { H0, H1 }
H001 = @Lie { H0, H01 }
H101 = @Lie { H1, H01 }
us(x, p) = -H001(x, p) / H101(x, p)     # singular control

ub(x) = -(F0⋅g)(x) / (F1⋅g)(x)          # boundary control
μ(x, p) = H01(x, p) / (F1⋅g)(x)         # multiplier associated to the state constraint g

# Flows
f0 = Flow(ocp, (x, p, tf) -> u0)
f1 = Flow(ocp, (x, p, tf) -> u1)
fs = Flow(ocp, (x, p, tf) -> us(x, p))
fb = Flow(ocp, (x, p, tf) -> ub(x), (x, u, tf) -> g(x), (x, p, tf) -> μ(x, p))

Then, we define the shooting function according to the optimal structure we have determined, that is a concatenation of four arcs.

x0 = [ r0, v0, m0 ] # initial state

function shoot!(s, p0, t1, t2, t3, tf)

    x1, p1 = f1(t0, x0, p0, t1)
    x2, p2 = fs(t1, x1, p1, t2)
    x3, p3 = fb(t2, x2, p2, t3)
    xf, pf = f0(t3, x3, p3, tf)

    s[1] = constraint(ocp, :eq1)(x0, xf, tf) - mf # final mass constraint (1)
    s[2:3] = pf[1:2] - [ 1, 0 ]                   # transversality conditions
    s[4] = H1(x1, p1)                             # H1 = H01 = 0
    s[5] = H01(x1, p1)                            # at the entrance of the singular arc
    s[6] = g(x2)                                  # g = 0 when entering the boundary arc
    s[7] = H0(xf, pf)                             # since tf is free

end

To solve the problem by an indirect shooting method, we then need a good initial guess, that is a good approximation of the initial costate, the three switching times and the final time.

η = 1e-3
t13 = t[ abs.(φ.(t)) .≤ η ]
t23 = t[ 0 .≤ (g ∘ x).(t) .≤ η ]
p0 = p(t0)
t1 = min(t13...)
t2 = min(t23...)
t3 = max(t23...)
tf = t[end]

println("p0 = ", p0)
println("t1 = ", t1)
println("t2 = ", t2)
println("t3 = ", t3)
println("tf = ", tf)

# Norm of the shooting function at solution
using LinearAlgebra: norm
s = similar(p0, 7)
shoot!(s, p0, t1, t2, t3, tf)
println("Norm of the shooting function: ‖s‖ = ", norm(s), "\n")

p0 = [3.9420913558122708, 0.14627140398405294, 0.05411785715966011]
t1 = 0.01817850265880542
t2 = 0.06059500886268473
t3 = 0.07877351152149016
tf = 0.20198336287561577
Norm of the shooting function: ‖s‖ = 3.249855374403743

Finally, we can solve the shooting equations thanks to the MINPACK solver.

using MINPACK                                               # NLE solver

nle = (s, ξ) -> shoot!(s, ξ[1:3], ξ[4], ξ[5], ξ[6], ξ[7])   # auxiliary function
                                                            # with aggregated inputs
ξ = [ p0 ; t1 ; t2 ; t3 ; tf ]                              # initial guess
indirect_sol = fsolve(nle, ξ)                               # resolution of S(ξ) = 0

# we retrieve the costate solution together with the times
p0 = indirect_sol.x[1:3]
t1 = indirect_sol.x[4]
t2 = indirect_sol.x[5]
t3 = indirect_sol.x[6]
tf = indirect_sol.x[7]

println("p0 = ", p0)
println("t1 = ", t1)
println("t2 = ", t2)
println("t3 = ", t3)
println("tf = ", tf)

# Norm of the shooting function at solution
s = similar(p0, 7)
shoot!(s, p0, t1, t2, t3, tf)
println("Norm of the shooting function: ‖s‖ = ", norm(s), "\n")

p0 = [3.945764658694955, 0.15039559623494775, 0.053712712941714945]
t1 = 0.023509684039930347
t2 = 0.059737380905787986
t3 = 0.1015713484236716
tf = 0.20204744057161464
Norm of the shooting function: ‖s‖ = 1.5775667383975246e-10

We plot the solution of the indirect solution (in red) over the solution of the direct method (in blue).

f = f1 * (t1, fs) * (t2, fb) * (t3, f0) # concatenation of the flows
flow_sol = f((t0, tf), x0, p0)          # compute the solution: state, costate, control...

plot!(plt, flow_sol)

References