NONLINEAR

OPTIMIZATION

L. C e s a r i D e p a r t m e n t of M a t h e m a t i c s of M i c h i g a n - A n n A r b o r (Michigan)

University

We p r e s e n t timal

here

existence

theorems

for m u l t i d i m e n s i o n a l calculus

problems

of op-

control

and

for p r o b l e m s

of the

of v a r i a t i o n s

concerning We theore-

integrals

of an e x t e n d e d

Lagrangian in the

on a m u l t i d i m e n s i o n a l ideas which have

domain.

are p a r t i c u l a r l y rems. duced First,

interested

led to t h e s e

problems

of o p t i m a l

control

can be d e p a r a m e t r i z e d of v a r i a t i o n s general lower with

and

to e q u i v a l e n t

problems

of the

calculus

extendfor theo-

ed L a g r a g i a n s , the existence

and u n d e r theorems.

essentially Second,

equivalent

assumptions

the u n d e r l y i n g theorems,

semicontinuity

rems, wardly vant

or e q u i v a l e n t

lower

closure

can be p r o v e d properties lower

straightforof the r e l e semicontinuiand conse-

by an i n t e r p l a y Kuratowski's

of u p p e r property as sole

semicontinuity

sets:

(K) , or e q u i v a l e n t beside

ty of the L a g r a n g i a n , quent stronger

requirement

convexity, sets.

property

(Q) of s u i t a b l e

auxiliary

I. A n e x t e n d e d We m a y consider

problem

of

the c a l c u l u s of m i n i m u m

of v a r i a t i o n s of the functional

the p r o b l e m

I[x~

f G

(t, (Mx)(t), (Lx)(t))dt,

S,

F o ( ' , ( M x ) (') , (Lx) (')) 6

LI (G),

(1)

(t, (Mx) (t)) 6 where G is a b o u n d e d the state

A, domain

(Lx) (t) e Q ( t , (Mx) (t)), in the Ru space,

t6G

(a.e.) , (t1 , . . . , t u) ~ G , of a s u b s e t its

b > I, t =

and w h e r e

variable space

x is t h o u g h t possibly S (L P linear.

of as an e l e m e n t a Sobolev space

S of a t o p o l o g i c a l weak given topology~ operators,

(X,~), of M:

X on G w i t h

~ . We not

think

(G)) s, L:

necessarily

S + (L (G)) r , p > I, as P -Thus, we w r i t e y ( t ) = ( M x ) (t) =

84

: In

(yl,...,yS),

z(t)

(Lx) (t) =

(Z I ..... z r) , t ~ ty-space ~ u+s

G. projection of the on the IR r

(I) A is a g i v e n is G, a n d Thus, in

set of the

whose Q(t,y)

t-space

for a n y

(t,y) ~ A

a subset

z-space taken

is g i v e n . functions If w e

(I) w e h a v e (Lx) (t).

constraints

on the v a l u e s

b y the

(Fix) (t) a n d by M

the s e t of all (t,y,z) ~ I R u + s + r w i t h t ~ G , (t,y)6A, o z6Q(t,y), it is c o n v e n i e n t to take F = ~ ~ f o r all (t,y,z) 6 ~ u + s + r - M , o o U+S thus Fo(t,y,z ) = +~whenever t ~ u _ G, w h e n e v e r t ~ G , (t,y)6]R -A, and whenever constraint Indeed, t ~ G, (t,y) 6 A , z ~IRr-Q(t,y). W i t h this convention the

denote

F o ( . , y ) (.),z(.)) ~ LI (G) i m p l i e s must be finite same

the r e m a i n i n g t ~G, F

constraints. ( t , y ( t ) ) ~ A, o

Fo(t,y(t),z(t)) a.e. also

for a.a.

hence

z(t) ~ Q ( t , y ( t ) ) will be u s e f u l

in G. T h e in the

convention

formulation

o of c o n d i t i o n s that

= + ~ in I R U + s + r - M on F o A. .

We denote If w e tives could mal

b y A(t)

the

set of all y ~ I R s s u c h of a S o b o l e v order

(t,y) C

think

of S as a s u b s e t

space N,

X on G i n v o l v i n g 0 ! l~I ~ N, below

deriva-

D ~ X of o r d e r s be simply the

u p to a m a x i m a l

say,

then Mx the maxix s

set of all d e r i v a t i v e s < N. A l s o , on r = S c o u l d be

D e x of o r d e r s the

order,

or 0 ~

lel

set of all e l e m e n t s I~l < N, are

X whose given,

boundary or s a t i s f y

values given

~G,

or t r a c e s

y D ~ x, 0 ~

conditions,

s a y B x = O. rather easily. To formulate F it

An existence we state p.

theorem

can n o w be

stated

first a general 368): (C~)

assumption

on the e x t e n d e d extended there

function

[I~,

Fo(t,y,zj that,

is a g i v e n

function

(see o on IRO+S+ras subset

above,

and we assume that

for e v e r y

e > O,

is a c o m p a c t

K of G s u c h stricted extended lower The

(a) m e a s (G-K) < e; (b) the e x t e n d e d f u n c t i o n F res+r o to K x IR is B - m e a s u r a b l e ; and (c) for a l m o s t all t ~ G the function F o (y,z) has v a l u e s finite or + ~ and is

(t,y,z) of s+r semicontinuous on F called

is o f t e n o j u s t as g e n e r a l as t h o s e of the

function

a Lagrangian, proposed before,

and

condition Ekeland, (C~)

(C~)

is

recently stated

by Ioffe, condition

and Tem~m. a con-

Because dition Under

conventions

is a l s o

on A and t h e s e t s Q ( t , x ] . this o assumption, the N e m i t s k i i maps operator appearing in (I), n a m e l y into measur-

(y,z) + E

(t,y(t),z(t))

measurable

functions

y(t],z(t)

65

able We

functions

Fo(t,y(t),z(t)). P: S +(Y,~) , SC(X, ~ ) , h a s in X, Px k y in Y i m p l i e s S, x 6 X , the the closure property

say t h a t

an o p e r a t o r xk x graph

if X k ~ has the

S, x ~ S , closed x ~S,

Px = y. We

say t h a t P

property say

if x k ~ that

X k x in X, Px k y in convergence property proks

Y imp~es vided such cide.

Px = y. We x kx

P has

x k~S, that Px k

x ~X,

in X,

implies

that

there

is a s u b s e q u e n c e

y. If S = X, c l o s u r e and c l o s e d g r a p h p r o p e r t i e s coins The m o s t u s u a l p r o p e r t y that Xk~S , x ~ S , x k x in X, i m p l i e s in Y is r e f e r r e d (A l o w e r to as the continuity Under of P on S. condition function (C~), F
O

Px k P x (I.i) that

semicontinuit~ t~G and

theorem). , the

assume

for a.a.

all y ~ A ( t )

extended

(t,y,z),

z~-IRris k=

convex

in z. Let bk t,,/,~_j, ~k(t) , ~(t) , Ik(t) , l(t) , t 6 G , functions on G, w i t h ~k~ ~, ~k 6 ( L p ( G ) ) r ' l ' l k ~ weakly in (L I (G))r,I~>A assume that

1,2,..., such

be m e a s u r a b l e that

L I (G), weakly

yk y in m e a s u r e Let

in G,

in LI (G).

~k (t)=Fo(t'yk(t) and

'~k(t))'t 6G, -~<i

and

nk(tl~ ik(t) , t ~ G , there ~t~ (1.ii) tion is a f u n c t i o n and

k=1,2,..., n(t), ~ i. theorem

that

= lira inf k / G ~ k ( t ) d t < 4 a ~ . T h e n that ~(t) _> F o ( t , y ( t ) ,

t ~ G,

~ ~ LI(G) , such

/G~(t)dt

(An e x i s t e n c e (Ce), assume

for the e x t e n d e d t ~G

problem

(I)).

Under

condi-

that

for a.a. in

and y e A(t), us a s s u m e

the e x t e n d e d that F
O

function some ~(t) I[x~ that closed and (I)

Fo(t,y,z), O, t ~G,

z ~ I R r, is c o n v e x ~ 6 LI(G), and

z. Let
--

(I) for
--

constant closed (weakly)

c > O we h a v e

(t,y,z)

> - ~(t) with

Clz I. L e t S be a n o n e m p t y finite and (c) S = {x}is

set S = {x} of e l e m e n t s relatively that compact at l e a s t

xEX

in X. A s s u m e one has the

b o t h M and L h a v e g~aph L has has We property, the w e a k

the c l o s u r e that M has

property,

the c o n v e r g e n c e T h e n the

in m e a s u r e functional

property, ICx ] in

convergence minimum a proof

property.

an a b s o l u t e shall sketch

in S. below. A very general Tonelli-type theorem can

n o w be s t a t e d (1.iii) Same ~(~),

as follows: existence t h e o r e m for the e x t e n d e d by (%) t h e r e problem (I)).

(A T o n e l l i - t y p e where

as b e f o r e , 0 ~

(i) is r e p l a c e d below, with

is a s c a l a r ~ +

function

~ < + ~, b o u n d e d

%(6)/{

+ + ~ as

66

such S~ = also

that

F
0

(t,y,z)

> #(Izl), {Lx} ~

and

(c) is r e p l a c e d relatively

by

(ce) in

any

subclass

{x} ~ of S w i t h

(weakly)

compact

(L (G)) s is

(weakly)

relatively

c o m p a c t i n X.

2. A p r o b l e m We m a y

of o p t i m a l

control

and a s s o c i a t e d with

La~ran~ian

equation and

consider

the p r o b l e m

of m i n i m u m

differential

constraints I[x,u~ = /G fo (t' (Mx) (t),u(t))dt, (Mx) (t), u(t)) , x6S, (2) t~G,

(Lx) (t) = f(t,

t 61 G,

(t, (Mx) (t))~ A, u(t) e U(t, f where

(Mx) (t)),

(., (Mx) (.) ,u(')) ~- L I (G) domain variable space in the RU space,u
m

G is a b o u n d e d the s t a t e

> I,

t =

(t1 , . . . , t U ) 6 ' G, of a s u b s e t

and w h e r e

x is t h o u g h t possibly we think

of as an e l e m e n t a Sobolev space

S of a t o p o l o g i c a l its w e a k p = topology

(X,~),

X on G w i t h , L: S (Lp(G))r, y(t) A =

. As b e f o r e not

of M;

S (Lp(G))s

> I, as g i v e n (Mx) (t) =

operators,

necessarily (Lx) (t) =

linear,

and we w r i t e

(yl ..... yS) , z (t) = of the ty-space A a subset

(z I ..... z r) , t ~ G. Here, on the t-space

is a s u b s e t For every u =

II~~+s w h o s e U(t,y)

projection

is G.

(t,y) 6

of the u - s p a c e denotes

IR m ~s a s s i g n e d , function If M descalar
O

(u I , . . . ,u TM) , and u(t) , t 6 G , values are

above

any m e a s u r a b l e tC- G. then f

on G w h o s e notes and We the

on U ( t , y ( t ) ) , (t,y,u) with

or u ( t ) E (t,y)~A,

U(t,y(t)), u~iU(t,y),

set of all

f = shall Q(t,y) Q(t,y)

(fl,...,fr) consider = =

are the

functions

define,~ on M.

sets ~,~U(t,y)~cIR r, u6U(t,y)~3R on the r+1 z-space (t,y) (t,y)

Ezlz=f(t,y,u),

[z,z)Iz 0 > f (t,y,u)

-O '

z = f(t,y,u),

where ]R
r

(t,y) ~ A g a n d

Q(t,y)

is the p r o j e c t i o n to d e f i n e = 0,

of Q(t,y) sets

. Actually,

it is c o n v e n i e n t Q(t,y)

these

for e v e r y sets, for

IRO+ s by t a k i n g o+s ~ -A.

= 0, ~(t,y)

the e m p t y

87

We

define

n o w the L a g r a n g i a n (2), by t a k i n g = Inf = Inf

T(t,y,z),

-~ < T(t,y,z)

< +~

, associated

to p r o b l e m T(t,y,z)

[zI ( z , z ) 6 Q(t,y)]

(3)
[zIz>f
- -

(t,y,u)
0 '

z = f(t,y,u)
'

u~U(t,y)].

where, A,

for

(t,y) A and

z~Q(t,y)

we h a v e

- ~ < T < + ~,

and

for

(t,y) for in the

z ~

] R r - Q ( t , y ) , we have

T = + ~,

and c e r t a i n l y

we h a v e

T = + ~

(t,y) -C ]lgu+S-A. In o t h e r w o r d s , T is an e x t e n d e d f u n c t i o n d e f i n e d U+s+r ]R .We shall now a s s o c i a t e to p r o b l e m (2) of o p t i m a l c o n t r o l , new problem Six] = of ~ i n i m u m I s T(t,(Mx) ( t ) , ( L x ) ( t ) ) d t , ~ L I (G) , x ~ S,

(4) T(-, (Mx) (.) , (Lx) (-)) with the i m p l i e d constraints ( L x ) ( t ) Q(t,(Mx) (t)), calculus t6~G (a.e.). of the type (I). We say

(t, (Mx) (t)) 61 A, This is a p r o b l e m

of the

of v a r i a t i o n s (2).

that we h a v e Under state tions mild below f

deparametrized

problem

assumptions, in m o r e

problems

(2) and

(4) are e q u i v a l e n t , assumptions (see [I],

as we on the

shall funcis the

details. general

First,

some b a s i c on f ,f o

o following (C '4~) meas It&K]

,f. A r a t h e r one: Given

assumption

p.

385)

E > o there (b) the

is a c o m p a c t sets A K = are

subset

K of G such ] , ~

that

(a)

(G-K)

< e;

[(t,y)~- A I t ~ K on

= ~(t,y,u) 6 M

are closed;

(c) fo,f

continuous

Under

this

asstunption

the N e m i t s k i i

operators

appearing

in

(2), n a m e l y functions all

(y,u) + f o ( t , y ( t ) , u ( t ) ) , y,u t ~ into m e a s u r a b l e G and all (y,z)

(y,u) + f ( t , y ( t ) , u ( t ) ) We shall also

map measurable assume that

functions. we h a v e some

for a l m o s t

T(t,y,z)

>. -~. of the sets Q(t,y). We say

We n e e d that ty, have

also $tate

general

properties

the s e t s ~ or p r o p e r t y

~, y) h a v e (K) w i t h

the K u r a t o w s k i respect

property

of u p p e r

semicontinui(to,Yo) we

to y, p r o v i d e d

for e v e r y

68

Q(to'Yo) ~ Equivalently, property. Then,

'(~>0 cl

~ y~N6(Yo)Q(to'Y)

(5)
(t,y) Q(t,y) closed. have property (graph) has this

we may say that the set valued map

Sets having this property ([I] , p. 294)

are necessarily

it is well known

that the sets Q(t,y)

(K) with respect to y, if and only if the sets of points [(y,z,z) I (z,z)~Q(t,y), y~A(t)~ are closed. Also,

the sets Q(t,y) func-

have property tion T(t,y,z),

(K) with respect to y if and only if the extended (t,y,z) ~ I R u+s+r, is lower semicontinuous are closed, T is finite, in

(y,z) . If

this is the case, then all sets Q(t,y) by Min in the definition T(t,y,z), that is, Q(t,y) of T whenever

Inf can be replaced and Q(t,y) = epi

Z

is the epigraph If this occurs,

of T(t,y,z), and condition

or Q(t,y)

= then,

=[(z,z) Iz O ~ T(t,y,z)3.

(C '~) holds,

on the basis of these remarks f u n c t i o n theorem are equivalent. T(t,y,z) made on F

and of McShane's

and Weinberg's of m i n i m u m

implicit (2) and (4)

(cf. [I], pp. 275-280), Moreover,

problems

the assumptions

we have made guarantee

that we

is an extended
O

function

satisfying

the generic assumtpions

in Section

I. In other words, as considered

(2) is an extended problem of in Section I.

the calculus

of variations

(2.i). (A lower closure theorem) Let G be a bounded region in the t-space u I~ ,u > I, let A be a subset of the ty-space ]R u+s whose projection
on

the t-space is G, and for any (t,y) ~ A let Q(t,y) be a subset of the z o z-space IR r+1 with the property that (zO,z ) ~ ( t , y ) , z o' > z o im(z',z)~Q(t,y). Take Q(t,y)=~ 9,or (t,y)~R~+s-K,and convex and have p r o p e r t y ( K ) ~ i t h lk(t), 6 l(t), qk(t), (Lp(G))r, t~G, assume that or respect to y.

plies

a.a.t the sets Q(t,y)are Let Yk(t),y(t),~k(t), measurable

~(t),

k=1,2 ..... be

functions with ~k, ~

P > I, Ik, I 6 L I (G) , ~k

~ L I (G) , such that Yk(t) 6 A ( t ) , k=1,2,..., (~k(t), ~k(t))e Q(t,Yk(t)), ~k(t)>Ik(t), t6G,

-~ < i = lim inf k IG Dk(t)dt t ~G,

< + ~.

Then there is a function ~(t),

h (~ L I (G), such that fG ~(t)dt < i.

(~(t), ~(t)) ~ Q(t,y(t)),

69

(2.ii) (An e x i s t e n c e sume have ~(t) ~(t) that for a.a.

theorem t ~

for p r o b l e m

(2)). the

Under

condition are

(C '~) asahd some _> of

G and all y G respect

sets

Q(t,y) that

convex for

property _> O,

(K) w i t h

to y. L e t u s constant

assume

(l~)

t ~ G, ~ ~ L I (G) , and Let

c _> o we h a v e closed class is

fo(t,y,u)

- c[f(t,y,u)[. x ~ X with

~ be a n o n e m p t y finite both and

~ = {(x,u)} (weakly)

elements

I[x,u~

(c) S = {x} the

relative

ly c o m p a c t that gence the

in X. A s s u m e one has

that

M and L h a v e graph property,

closure

property, the c o n v e r Then

at least

the

closed

t h a t M has

in m e a s u r e

property, in

and L has (2) has

the w e a k

convergence minimum in ~.

property.

functional general

I[x,u~

an a b s o l u t e

A very as

Tonelli-type

theorem

for p r o b l e m s

(2) can

now be

stated

follows: theorem existence by (~) theorem there ++~ for p r o b l e m is a s c a l a r as ~ ~+ by ~, (c~) (2)). Same

(2.iii) (A T o n e l l i - t y p e as b e f o r e , #(~), where (l~)

is r e p l a c e d below,

function such any in that sub(L I (G))S

0 _< ~<+ ~, b o u n d e d >

with (c)

(~)/~

fo(t,y,u) class S =

~ ([f(t,y,u) I), and {x} ~ of S w i t h relatively {Lx} ~

is r~eplaced relatively

(weakly) in X.

compact

is also

(weakly)

compact

As m e n t i o n e d , p r o b l e m s
For

(2) and

(4) are e q u i v a l e n t , are e q u i v a l e n t calculus

and

the

theorems theorems The

above o~ proof

problems

optimal

control

to the

Section

I for e x t e n d e d (I.i) we

problems sketch

of the

of v a r i a t i o n s . a proof sets

of t h e o r e m
rem

shall

in S e c t i o n in

7 is a l s o for the of

of theo

(2.i).

The p r o p e r t y to y)

(K) we

assume to the (t,y,z)

O

(2.i)

~(t,y) semicontinui-

(with r e s p e c t ty in (y,z)

corresponds function F

assumption

lower

for the

(or T ( t , y , z ) ) .

3. Some We m a y

more

general

problems

of o p t i m a l

control, differential equations and

consider

the p r o b l e m

of m i n i m u m

with

constraints I[x,u,v] = I G fo(t, ( ~ ) ( t ) , u ( t ) ) d t t~ G, +/F go (T' (Kx) (T)'v(T))d~' x ~ S,

(Lx) (t) = f(t, ( M x ) ( t ) , u ( t ) ) ,

70

(Jx) (T) = g(T, (Kx) (T),V(T)), (t, (Mx) (t)) & A, (T, (Kx) (T)) ~ B, u(t) v(T) 6

T ~

F=DC~ t (= G, T ~ r, 6 LI(F) , G, and S of sI (6)

U(t, (Mx) (t)),

V(T, (Kx) (T)),

f O (-, (Mx) (-),u(.)) where

where

6 LI(G ) , in the ~qu

go (. t (Kx) ('),v(-)) space, u > I, t = of

G is a d o m a i n the state

(tl,...,t o) ~

variable

x is t h o u g h t possibly

as an e l e m e n t space

of a s u b s e t its

a topological weak J: topology

space

(X,~),

a Sobolev

X on G w i t h

~. H e r e M: S ~ (L (G)) s, L: S + (Lp(G)) r, K: S + (Lp(F)) r' P S +(Lp(~)) , p ~ I, are g i v e n o p e r a t o r s , not n e c e s s a r i l y linear, y(t) = (Mx) (t) ,z(t) r = . Here u(t) = = (Lx) (t) , t ~ G, ~(T) (u I ..... um), control = (Kx) (T) , control ~ is

and we w r i t e ~(T) =

(Jx) (T),

T ~

t ~ G, is the

function

on G, v(T) on

(V I , .... v m' ) the r. F i n a l l y , is G, is

function of the

on F, and

the a r e a m e a s u r e projection projection lev s p a c e N, on the on the

A is a s u b s e t

t-space T-space

and B is a s u b s e t think

ty-space whose o of the t y - s p a c e w h o s e of a S o b o order and K

r. if we derivatives

of S as a s u b s e t up O ~

X on G, i n v o l v i n g be

of o r d e r Dax,

to a m a x i m a l lel ~ N-I,

then M may

the set of all d e r i v a t i v e s of the on the same same

the s e t of the differential F As

traces

derivatives derivatives

on F. T h e n

L and J m a y be traces on

operators

on G and t h e i r

, of the o r d e r s in S e c t i o n

N and N-I

at most. sets Q(t,y), Q(t,y), (t,y) E A and and

2 we m a y (T,~)

introduce ~ B, and

R(T,~), problem F with

R(T,~),

two L a g r a n g i a n s of the calculus

T(t,y,z) , ~ (~',y,z), o o of v a r i a t i o n s and

(6) r e d u c e s extended

to a p r o b l e m

on G and theo-

integrands.

We o m i t

the d e t a i l s 2. equation work

the e x i s t e n c e

rems

similar

to t h o s e there

of S e c t i o n s

I and

It m a y which occur tial 2.

be t h a t

is no d i f f e r e n t i a l

on G and

that Or

is the case that certain on

considered boundary

in a p r e v i o u s values

by F i c h e r a .

= O, o it m a y

are given, is the

that we have case

no d i f f e r e n in S e c t i o n

equation

F, and go = O, w h i c h

considered

71

4. The This

equivalence

theorem establishes can be conditions stated equivalent to w e a k con,

theorem

of a n a l y s i s

vergence

in L I. T h e

theorem

for L e b e s g u e with

measures

in IR

or for a b s t r a c t We state it h e r e

measure in its

spaces, simplest

finite,

o-finite, form,

or w i t h o u t

atoms.

measures (4.i) valued lowing (a) T h e (b) T h e

in a b o u n d e d

region

and t y p i c a l o G in IR Let {f(t),

namely

for L e b e s g u e

(The e q u i v a l e n c e L1-integrable statements family family {f} {f}

theorem). functions

t ~ G} be region

a family G in ~ u .

of real The fol-

on the b o u n d e d

are e q u i v a l e n t : is s e q u e n t i a l l y is e q u i a b s o l u t e l y M and a real with weakly relatively in G. ~ = ~(~), ~ + ~, such that compact in LI (G)-

integrable valued

(c) T h e r e

is a c o n s t a n t

function

0 < ~ < + ~, b o u n d e d

below,

~(~)/~

+ ~ as

~(If(t)

l)dt ~ M

for

all f ~ {f}.

(d) T h e r e

is a real ~(~/

valued

function

~ =~(~), such

< ~ < + ~, b o u n d e d the family in G. strictly

below with

~ + ~ as f

~ + + ~,

that

~(If(t) I) , t ~ G , In (c), (d) it is n o t

~ {f},

is e q u i a b s o l u t e l y to a s s u m e in ~ ,~

integrable nonnegative

restrictive and c o n v e x

increasing, are The oten

continuous, called of

EO,+~).

Functions

or ~ as above

Nagumo (a) and (c) w a s

functions. (b) was proved proved by D u n f o r d and Pettis. The The

equivalence

implication tion cation (b) +

(b)

by De La V a l l ~ e by C a n d e l o r o

Poussin.

implicaimplithen An

(c) U (d) was (b) was

also

proved

and Pucci. cases,

The and

(c) +

proved

by T o n e l l i The

in p a r t i c u l a r (d) +

by N a g u m o elementary given any

in the g e n e r a l and d i r e c t

case.

implication

(c) is trivial. I has been to for

proof

of the w h o l e ~3~.

statement The proof paper

for u =

recently I. We

by Cesari refer

and P u c c i

can be e x t e n d e d and

u ~

to the

last m e n t i o n e d

for the p r o o f

a number

of r e f e r e n c e s .

72

Cesari's

property

(Q)

Given sets Q(t,y)

as before

(t,y) ~

R u+s

Q ( t , y ) C R r+1, we say that these sets have the property micontinuity with respect to y, provided for every

(Q) of upper se-

(to,Y o) we have

Q(t o ,yo ) = ~ 6 > o el co O y ~ N&(y o) Q(to'Y) Equivalently, property. we may say that the set valued map (t,y) Q(t,y)

(7) has this

Sets having this property (Q) is stronger

are necessarily

closed and convex.

This property erty

than property

(K) in the sense that prop-

(Q) implies property

(K) <[2], and

[I] , p. 293). lower closure theorems

The typical use of property ~ semicontinuity)and ([I],

(Q) in proving

(low-

thus in existence

theorems~

problems

of optimi-

zation

[2]) will be illustrated below. for instance by Castaing theorems, by Schuur in in Banach and

Property Valadier proving

(Q) has been used by many authors, in theoretical the existence questions

in selection

of solutions

of differential by Olech,

equations Lasota,

spaces with m u l t i v a l u e d selection theorems,

second members, in proving

and Baum in to

by Angell

the existence

of solutions functional

nonlinear Volterra equations with delay and in nonlinear equations; and by Cesari and Hou in proving the existence

of solution

to nonlinear Cesari showed

evolution equations (cf. [II, p. 486)

(we refer to that property

[I I for references). (Q) is the natural extenand McShane in the character-

sion of the seminormality calculus ized (cf. of variations.

property used by Tonelli Goodman [7]

Recently,

(cf. [I], p. 495) Finally,

property

(Q) in terms of convex analysis.

Suryanarayana

[I], p. 500) has recently proved that property

(Q) is a g e n e r a l i z ~ Indeed Z,

tion of the concept of maximal m o n o t o n i c i t y any maxinml monotone map z Q(z) Q(x) C Z) has necessarily property

of Minty and Brezis.

in a real Hilbert

space Z (thus, z ~ Suryanarayana property in

(Q). More generally,

has proved hhat maximality with respect to any analytical a large class necessarily implies property (Q).

73

6. G r o w t h p r o p e r t y (6.i) T h e o r e m

(~)implies [I], p.

property 333).

(Q).

([2] and

and for e v e r y x ~ A let Q(x) 6 ~ 1+r such ~(~), }(~)/~ X in A, that (a) (y,z) ~

denote Q(x),

L e t A be any set of p o i n t s x ~ h , I a set of p o i n t s (y,z) = (y,z ..... z r) y ~ y', implies (y',z) 6 below, Q(x). such Let that of

O < ~ < + ~, be a real v a l u e d + ~

function,

bounded

as ~ + ~. For some x ~ A let N that (b) (y,z) 6 ~ ( x ) ,

(x) be a n e i g h b o r h o o d implies

and a s s u m e

x e N6(x)

y ~ #(Izl). is convex,

If the sets Q(x)

have property have property

(K) at x, a n d the set Q(x) (Q) at x. (cf. [I], p. 334)

t h e n the sets Q(x) This statement here

has a n u m b e r

of v a r i a n t s one: x ~ IR

of w h i c h we

mention (6.ii)

the f o l l o w i n g

L e t A be any set of p o i n t s ~ 1+r,

, and for e v e r y x ~ A let Q(x) the set M = [~,y,z) I

be a s u b s e t of the y z - s p a c e x 6 A, UOUS (y,z) E Q(x)], function

F

let M d e n o t e

let T
O

(x,y,z)

be a real v a l u e d the set Q(x)

lower semicontin= [(v,y,z) Iv

on M, and

let Q(x) ~{ 2+r

denote

T O (x,y,z) N

(y,z) ~ Q(x)] C

For some x 6 A and n e i g h b o r h o o d implies To(X,y,z) If

(x) of x in A a s s u m e ~ (Izl), y ~ L, w h e r e

that x ~ N6(x) , (y,z) ~ Q(x) ~ is a f u n c t i o n as above

and L a c o n s t a n t . is convex, (IO.5.ii),

the sets Q(x) the sets Q(x) ond part,

have property have property

(K) at ~ and the set Q(~) (Q) at x (cf. [I], p. 334,

then sec-

p = 1).

7. S k e t c h

of p r o o f s . existence theorems (1.ii) and (2.ii) we have with already to

(a) C o n c e r n i n g pointed y in

out that the p r o p e r t y is the n e c e s s a r y

(K) of the sets Q(t,y) and s u f f i c i e n t in condition

respect

(1.ii)

for the L a g r a n g i a n to prove

Fo(t,y,z) (1.ii). Q(t,y) =

to be lower

semicontinuous

(y,z) . Thus,

it is e n o u g h

In the n o t a t i o n s [ ( z ) I ~ > z0 x E I xk

of S e c t i o n

I we d e n o t e by Q(t,y)

the sets

~ Fo(t,y,z ~ . S), - ~ _< i < + ~ k + ~ . There is a m i n i m i z i n g sequence

Let i = I n f ( I [ x ] , kJ s u c h that

i as

, x k ~ S,and t h e n

74

I[Xk] = /G Fo(t'Yk(t) '~k (t))dt,

(MXk) (t) = Yk(t) , (~k(t) ,~k(t)) Since ( t , Y k ( t ) ) ~ A, 6 Q(t,Yk(t)) , relatively

(Lx k) (t) -- <k(t) qk(t)

~ Q(t,Yk(t)) ,

= Fo(t,Yk(t) ,~k(t)) ,

(8)

t ~ G, k=I,2 . . . . . weakly compact in X, there is a sub-

S is s e q u e n t i a l l y say still [k]

sequence, weakly

for the sake of s i m p l i c i t y ,

such that Xk x ~ X

in X. the w e a k convergence property and M has the c o n v e r g e n c e in

Since L has measure

property,

there in

LXk = ~k +

~ weakly

is a s u b s e q u e n c e , say still [k], such that r (LI (G)) and Mx k = Yk y in m e a s u r e in G. At L and M has the closed property, g r a p h property, hence

least one of the o p e r a t o r s x ~ S. B o t h L and M have Since qk(t) -cc; ~k ~ ~ weakly

the closure then

hence

~ = Lx, y = Mx. C. Thus,

in LI,

II~kll i! C for some c o n s t a n t - el~k(t) I , and I [ x ~ and i is finite. as usual,

= Fo(t,Yk(t),~k(t)) hence IEXk]

-- ~(t) >

= ~ G q k d t ~-II~II1

is b o u n d e d

below,

(b) To c o m p l e t e tinuity rem theorem

the e x i s t e n c e (I.i)

proof we need,

the lower closure

semicontheo-

or the e s s e n t i a l l y the b a s i c proof ik(t)

equivalent

lower

(2.i). We s k e t c h

here. = - ~(t) - CI~k(t) I. Since theorem ~k con(a)

We note verges ~1, (b),

that there we can take weakly (b) in (LI(G))r,

by the e q u i v a l e n c e that I~kl

(implications

(a)) we derive weakly

contains

a subsequence,

say still con-

which converges in LI(G)

in LI (G), and h e n c e function,

Ik is also w e a k l y

vergent These

toward

a scalar lk' ~

say l(t), (I.i) and

t ~ G, ~ 6 LI(G). (2.i). [I 3k-l'I , k ~ ' s + I],

are the f u n c t i o n s then

of theorems

If Jk = I[Xk] then

Jk i as k + ~ ~k + ~

, and if 6s = max weakly in

@s e O as s ~. Here theorem,

(LI (G))r , and a g a i n by the is a scalar convex, [Pk(t) function with

equivalence ~(~), }(~)/~ O ~

implication

(a)

(d) , there

~ < + ~;nonnegative, + ~,and

continuous, such that

increasing,

+ + ~ as ~

the s e q u e n c e

= %(~k(t) I), is a sequence~

t ~ G, k=1,2,...] say still [k] ,

is e q u i a b s o l u t e l y such

integrable,

h e n c e there

that Pk(t) p(t) w e a k l y

in LI (G), and p(t) ~ 0

is an e l e m e n t Now,

of LI (G). the s e q u e n c e Ps+k' is+k' ~s+k' k = 1 , 2 , . . . ,

for any s = 1,2,3,...,

75 r+2

converges rem

weakly

to p,l,~

in

(LI(G))

. By the B a n a c h - S a k s - M a z u r

theo-

(cf., e.g.

(s) _ O, > [I~, p. 325) t h e r e is a set of real n u m b e r s CNk

(s) = Zk c Nk I ' where Zk r a n g e s over k = I

k = I,...,N, ...,N,

N = 1,2,... , w i t h if

and s u c h that,

(S) ~ ) PN
tEG,

(S) (t), = ~ k C N k Ps+k

then

" Is) (s) ~N (t) = ~k CNk Is+k

(p~S),l~s),~s)) s = 1,2, . . . .

(t) , (s) =E c(S)~ ~N (t) k Nk s+k (t)'

strongly in .r+2 (L I (G)) , of as

N = 1,2 .....

(p,l,~) Thus,

and this integers

is true for e v e r y N such t h a t

there

is a s e q u e n c e

(S) (s) (s) (PN (t) 'IN~ (t) '~N~ (t)) Let

(p(t),l(t),~(t))

i ~, for t G (a.e.).

qN (t) = ~k c(s)Nk qs+k(t) , t 6 G, and note Pk(t) that ~k(t)~_ Ak(t), t~G, fG ~ k ( t ) d t = J k ' k = 1 , 2 .....

= ~ ( l ~ k ( t ) I) ,

and h e n c e

(s) (~) ~N (t) ~I (t),

t & G,

i - 6

< ~ (s) (t)dt<i+6s ' (9) s -- J G h N

with (cf.

6s 0 as s + ~ [I], p. 301),

. For N = Nz(s).. and ~ (9) i m p l y NN

, and by F a t o u ' s

lemma

relations

(s)

(t) = lim inf +=

(s)

(t) ~ l(t),

t ~

G (a.e.) t

fG ~ and for q(t)

(s)

dt ~ lim i n f + ~ q
S+~

I G ~(s)(t)dt < i + 6 Ni -s (s) (t), we also h a v e

' t & G,

= lim inf

~ (t) >l(t),

I G q ( t ) d t ~ i. For a.a. we have s > s

O

t
O

6 G, and e > O, t h e r e

is n o w an s
O

such that,

for s > s
-O

~N (s) ( t ) >l(t )-I and o -o we c e r t a i n l y h a v e

lYs(to)-YoI<

e where

Yo = Y(to)"

For

(qs+k(to) , ( s + k ( t o ) ) 6 Q ( t o , Y s + k ( t o) ) , lYs+k(to)-Yol_< We n e e d n o w the sets Q' (to 'y) = [(q,z)In>l(to)-1_ , ( D , z ) ~ Q ( t o , Y ) ]

k = I ,2 . . . . . (10)

C / R r + I , (to 'y) &

A,

76

Q'~(t
O

,y) = [(v,~,z)Iv> ~(Izl),~ >l(t )-I

-O '

(~,z)6 Q ( t o , Y ) i C ~Rr+2
'

(t ,y) ~ A.
O

The sets Q ( t intersection

,y)

have

property

(K) w i t h

respect

to y since

they

are

the

of the sets Q(to,Y ) , which have this property, with the )-I, z ~ IRr~. The sets Q'~(t
O O

fixed set[(n,z)I~>l(t
--

,y) are convex since

the

sets

~Q (to,Y)and Q' (to,Y) are convex and ~ is convex. Again for

we a p p l y (6.ii) with the variables x,y,z replaced by y,~, z,

t o fixed,

with the sets Q(x) in the yz-space replaced by the sets Q' (t ,y) in o the ~z-space, with the sets Q(x) in the vyz-space replaced by the sets Q'm(to 'y) in the vhz-space, with To(X,y,z) replaced by To(Y,n,z) =

(Iz[) , continuous/ and since the sets Q' (to,Y) have property respect to y, and the sets Q'~(t
O

(K) with (6.ii)

,y) are convex, we derive from

(Q) w i t h respect to

that the sets Q ' m ' ( t holds for a.a. t From ~

,y)

have

property

y, and this

o (10) we have now, for s > s

O

G.

( P s + k ( to , n s + k ( t O) '~s+k ( to ) ~ _ Q ' ~ ( t o'Ys+k (to)), ) ) and hence (~kCNk Ps+k(to )' ~kCNk ~s+k
(s) (s) (to) ,z c(S)
S >
--

IYs+k (to) -yol< E '

k Nk ~s+k(to )C co Q
S
O

,~

(to,Yo,~),

where Q'~(to,Yo,~) For N = N and

denotes the union of all Q'~(t

(s)

~ + ~

,y) for ly-yol < e. o the points in the first member of this relation (p (to) ,n (t o ) ,~ (t)) as an element of accu-

form a sequence possessing mulation in IR n+2; hence

o (p (t) ,~ (s) (to) ,~(t ) ) ~ c l O

co Q ,~(to,Y ,~1, s > s .

-O

Since ~ (t) o

= lim inf n (s)(t ) as s ~, we derive that o (P(to)' ~(to )' ~(to )) ~ el co Q'~(to,Yo,e).

Since e > 0 is a r b i t r a r y ,

by property

(Q) we d e r i v e

that

(P (to) 'R (to) ' ~ ( t o ) ) ~ 6

> o cl co Q'~(to,Yo,e ) = Q'~(to,Yo).

77

By the d e f i n i t i o n of ~ we have then (q(to), ~(t o ) ) 6 and this holds for a.a. t (a.e.) , and i > /Gq(t)dt > IG F o ( t , y ( t ) , ~ ( t ) ) d t , y(t) = where, or - ~. (Mr) (t) , is m e a s u r a b l e w i t h Lebesgue integral finite
O

Q(to,Y(to))

(11)
t ~ G

6 G. Hence q(t) _> Fo(t,y(t),<(t)),

~(t)

(Lx)

(t),

(12)
at this point, F

This completes the lower

s e m i c o n t i n u i t y argument.

(c) The argument for the existence theorem continues now with the usual remark that q(t) L-integrable > F
-o

(t,y(t)
~

~(t))

> -~(t)
--

- cl~(t) I
'

hence F
o

is

in G, and I[x] = IG Fodt _< i. Since

S is closed, x ~ S,

hence I[xq Z i, and then I[x] = i. This completes the proof of the existence theorems (1.ii) and (2.ii). if it is k n o w n that the

(d) The proof above has drastic s i m p l i f i c a t i o n s o r i g i r ~ l sets Q(t,y) have p r o p e r t y

(Q) w i t h respect to y, since then

there is no need to construct the a u x i l i a r y sets Q'4~(t,y). We refer to ([I], p. 345, Second proof) for the details. This is w h a t happens (1.iii) and in

the s i t u a t i o n d e p i c t e d by the T o n e l l i - t y p e theorems

(2.iii).

8. C r i t e r i a of the F-, G-, H - t y p e s . In a p p l y i n g e x i s t e n c e theorems of Section 2 to given problems the functions f o and f are given, the p r o p e r t y for which

(K) for the sets Q(t,y)

may not be easy to verify.

Even more d i f f i c u l t may be the v e r i f i c a t i o n is lower s e m i c o n t i n u o u s in The have

that the c o r r e s p o n d i n g L a g r a n g i a n T(t,y,z) y,z b e c a u s e T, though defined by following conditions,

(3), may not be k n o w n explicitly.

a n a l y t i c a l in character and easy to verify,

a p r a c t i c a l significance. These conditions

are d i s c u s s e d in detail in

[I] (Chapter 13)for the one d i m e n s i o n a l case, but hold for m u l t i d i m e n sional problems as well. In each of the conditions, we deal w i t h a sec o r r e s p o n d i n g sequence Yk(t)= as k + ~, and the d i f f e r e n c e s

quence Xk, say a m i n i m i z i n g sequence, (MXk) (t), t ~ G, k=I,2,..., w i t h Yk y

78

6k(t) 6ok(t)

= f(t,Yk(t),uk(t)) = fo(t,Yk(t),uk(t)) certain

- f(t,y(t) ,Uk(k)) , - %(t,y(t),u(t)), are made, which t ~ G, k=1,2 .....

Under each condition implies a property

requirements

and e a c h of t h e m in turns guarantes

D, a n a l y t i c a l

in c h a r a c t e r ,

a weak property clusion r e f e r to dition under

(Q) for the sets Q ( t , Y k ( t ) ) . proof mentioned the d e t a i l s ,

This

suffices

for the con7. We

of the s i m p l i f i e d [I] (Chapter

at the end of S e c t i o n for p r o o f s ,

13) for above.

and for the con-

(D) m e n t i o n e d consideration.

We state h e r e only a few of the c r i t e r i a conditions, some of w h i c h w e r e first p r ~

For t h e s e

p o s e d by R o t h e

[9], we r e f e r

to C e s a r i

and S u r y a n a r a y a n a in q u e s t i o n s

[4]. C o n d i t i o n of a p p r o x i m a -

(D) w a s p r o v e d by A n g e l l t i o n in t h e c a l c u l u s

[7] to be r e l e v a n t

of v a r i a t i o n s .

Lipschitz-type Y'YK ~

condition F

: geometric viewpoint. O, and h(~)

For

I < p < + ~,

(Lp(G)) s,

IIyk-Yllp +

I~k(t) I , 16ok(t) l<Fk(t)h(lYk(t]_ > O, 0 < ~ < + ~, is a g i v e n = O, and h(~) ~ cl~l Y for constants), and Fk(t) (p' = ~ if

-Y(t) I ), t 6 G, k = 1 , 2 .... , w h e r e monotone nondecreasing

f u n c t i o n w i t h h(+O) < y _< p, given

all ~ _ ~o > O, c _ O, O > > O, t E G, F k ~ L~(G), y = p), and IIF k lip,

(c,y,~ O g i v e n

functions

w i t h p' = p / ( p - y ) ,

_ < M, a g i v e n

constant

Lipschitz-type = c

condition

Fp : functional

viewpoint.

For

I -< p < + ~ ' let -

',h as in ( F ) above, and there is a f u n c t i o n F(t,u) > O such '~'~O "p p. P that / G I F ( t , u ( t ) ) dt ~ M for all a d m i s s i b l e c o n t r o l f u n c t i o n s u(t),

t 6 G, and [ f ( t , y l , u ( t ) - f ( t , Y 2 , u ( t ) I < F(t,u(t))h(lyl-Y21) ~ and the same h o l d s For v a r i a n t s 13). oI- ~o" conditions, conditions and condition F here we m e n t i o n ,we refer to []] (Chapter only the g e o m e t r i c

of t h e s e

For the r e m a i n i n g

viewpoint.

79

Growth-type *:~ m

condition

ll~.m, w i t h

. (i) T h e r e e x i s t s a c o n t i n u o u s f u n c t i o n ~(u) , Pq . I~(u) I ~, such that for I < p , q < + ~, y , y ~. (Lp ( G s)) (G))TM IlYll llYkH < L , ll~(u)ll < L (L , L q ' p' p -- o q -o ~ y(t) in m e a s u r e in G as k + ~, and (ii) there with c,c' 2 O, O that, < ~ ~ p, O fo~ all < ~ ~ q, (t,y,u), and a func(t,z,u) ~ M

uk measurable, given are tion

~(Uk) e ( L Yk(t)

constants),

constants ~(t) 2 O,

c,c',a, B t 6G,

~ 6 LI (G),

such

we h a v e

I~k(t) I , l~ok(t) I _< ~(t)

+ c(lYk(t) IP-~

l y ( t ) I P - ~ ) + c ' I~ (uk(t) Iq-8

We r e f e r

to

[1~for

conditions

~q

, G , G p~ ~,~

Growth-type + y(t) and ~(t)

conditions

in m e a s u r e there

(ii) ~ O,

H . (i) For I < q < ~' Y' Yk m e a s u r a b l e , Yk(t) q in G as k + ~ , u k ~ (L (G)) m, .IIUkllq < L, a c o n s t a n t , q are o t h e r c o n s t a n t s c', B , 0 < B < q, and a f u n c t i o n $ 6 LI(G), such that for all (t,y,u), (t,z,u) ~ M,

t ~ G,

we have

If(t,y,u)

- f(t,z,u) I

<_

~(t)

+ c'

lul q-8

and We

the refer

same to

holds [I]

for f
O

. H .

for c o n d i t i o n

Addendum This work last

(Oct.

1983), as d e l i v e r e d and his in B o l o g n a , contained also a presentation of P e r u g i a M. Ragni, of

lecture,

of C. V i n t i ten y e a r s et el.) of the and

associates P. B r a n d i ,

at the U n i v e r s i t y C. Gori, P. P u c c i ,

in the A. Sal-

(M. Boni,

vadori grals curves

on the e x i s t e n c e

and p r o p e r t i e s parametric

of the W e i e r s t r a s s and nonparametric,

inteover

calculus

of v a r i a t i o n s , Two detailed

surfaces. in p r o c e s s The

expositions

of this m a t e r i a l

by C. V i n -

ti are n o w

of p u b l i c a t i o n : of the c a l c u l u s of v a r i a t i o n s Optimization in the sense

C. V I N T I ,

integrals

of W e i e r s t r a s s - B u r k i l l - C e s a r i .

"Parametric

and Related

80

Topics"

(L. Cesari,

R. Goor, E. Silverman,

C. Vinti).

Springer-

V e r l a g Lecture Notes in Math. (to appear). C. VINTI, N o n l i n e a r i n t e g r a t i o n and W e i e r s t r a s s manifold: integral over a Journal I, S e p t e m b e r

connections w i t h theorems on martingales. Vol. 41, No.

O p t i m i z a t i o n Theory and A p p l i c a t i o n s , 1983, pp. 213-235.

W i t h the agreement of the O r g a n i z i n g Committee, we refer to these publications for the m a t e r i a l above. Also, we refer to L. CESARI, E x i s t e n c e of solutions and existence of optimal soluC o n f e r e n c e in S. M a r g h e r i t a Ligu-

tions. A lecture at the Intern. re, Nov. 30-Dec. 4,1981.

"Mathematical Theories of Optimization", in Math. No. 979 (Cecconi and Zo-

S p r i n g e r - V e r l a g Lecture Notes lezzi eds.), L. CESARI, 1983, pp. 88-107;

N o n l i n e a r analysis. A lecture at the 12 th Congress of Perugia, Sept. 2-7, 1983. To appear

the Unione M a t e m a t i c a Italiana, in B o l l e t t i n o Un. Mat.

Ital., Section A;

for m a t e r i a l c o n c e r n i n g existence of solutions to b o u n d a r y value problems for n o n l i n e a r ordinary and partial d i f f e r e n t i a l equations.

References [I] L. CESARI, O p t i m i z a t i o n - Theory and Applications. Problems with O r d i n a r y D i f f e r e n t i a l Equations. S p r i n g e r Verlag 1983, xiv+542. [2] L. CESARI, E x i s t e n c e theorems for weak and usual optimal solutions in L a g r a n g e p r o b l e m s w i t h u n i l a t e r a l constraints. I and II. Trans. Amer. Math. Soc. 124, 1966, 369-412, 413-429. [3~ L. CESARI and P. PUCCI, An e l e m e n t a r y proof of an e q u i v a l e n c e t h e o r e m relevant in the theory of optimization. Journ. O p t i m i z a t i o n Theory Appl., to appear. [4~ L. CESARI and M.B. SURYANARAYANA, Closure theorems w i t h o u t semin o r m a l i t y conditions. Journ. O p t i m i z a t i o n Theory Appl. 15, 1975, 441-465.

81

L. CESARI and M.B. SURYANARAYANA, On recent e x i s t e n c e theorems in the theory of optimization. Journ. O p t i m i z a t i o n Theory Appl. 31, 1980, 197-415. L. CESARI and M.B. SURYANARAYANA, Upper s e m i c o n t i n u i t y p r o p e r t i e s of set valued functions. N o n l i n e a r A n a l y s i s 4, 1980, 639-656.

[Tj

T.S. ANGELL, A note on a p p r o x i m a t i o n of optimal solutions of free problems of the calculus of variations. Rend. Circ. Mat. Palermo (2) 28, 1979, 258-272. G.S. GOODMAN, The duality of convex functions and Cesari's property (Q). Journ. O p t i m i z a t i o n Theory Appl. 19, 1976, 17-23. E.H. ROTHE, An e x i s t e n c e t h e o r e m in the calculus of variations, Arch. Rat. Mech. Anal. 21, 1966, 151-162.