Math 2.0

Calculus of variations and optimal control; optimization Definition

First variation

Builds on FunctionalVector spaceDirectional derivativeGateaux derivative

Definition

Let VV be a real vector space, let A⊆VA \subseteq V, and let J ⁣:A→ℝJ \colon A \to \R be a functional. Let y∈Ay \in A and η∈V\eta \in V, and suppose that y+tη∈Ay + t\eta \in A for all real tt with ∣t∣\abs{t} small enough. The first variation of JJ at yy in the direction η\eta is δJ(y;η)=ddtJ(y+tη)∣t=0=lim⁡t→0J(y+tη)−J(y)t,\delta J(y; \eta) = \frac{d}{dt} J(y + t\eta) \Big|_{t = 0} = \lim_{t \to 0} \frac{J(y + t\eta) - J(y)}{t}, when this limit exists.

Remarks

It is also called the Gâteaux variation; it is a directional derivative of JJ. When the Gateaux derivative of JJ at yy exists, δJ(y;η)\delta J(y; \eta) is its value at η\eta. If VV is normed and JJ is Fréchet differentiable at yy, then δJ(y;η)=DJ(y)η\delta J(y; \eta) = DJ(y)\eta for all η\eta.

Example: on V=C([0,1])V = C([0, 1]) let J(y)=∫01y2 dxJ(y) = \int_0^1 y^2 \, dx. Then J(y+tη)=J(y)+2t∫01yη dx+t2∫01η2 dxJ(y + t\eta) = J(y) + 2t \int_0^1 y\eta \, dx + t^2 \int_0^1 \eta^2 \, dx, so δJ(y;η)=2∫01yη dx\delta J(y; \eta) = 2 \int_0^1 y \eta \, dx.

Non-example: for J(y)=∫01∣y∣ dxJ(y) = \int_0^1 \abs{y} \, dx, y=0y = 0 and η=1\eta = 1, the quotient (J(tη)−J(0))/t=∣t∣/t(J(t\eta) - J(0))/t = \abs{t}/t has no limit as t→0t \to 0, so the first variation does not exist.

For an integral functional J(y)=∫abL(x,y,y′) dxJ(y) = \int_a^b L(x, y, y') \, dx with LL of class C1C^1, and y,η∈C1([a,b])y, \eta \in C^1([a, b]), differentiation under the integral sign gives δJ(y;η)=∫ab(Lz(x,y,y′) η+Lp(x,y,y′) η′) dx,\delta J(y; \eta) = \int_a^b \big( L_z(x, y, y') \, \eta + L_p(x, y, y') \, \eta' \big) \, dx, where LzL_z and LpL_p are the partial derivatives of L(x,z,p)L(x, z, p). If yy is a local minimum of JJ along the line t↦y+tηt \mapsto y + t\eta and δJ(y;η)\delta J(y; \eta) exists, then δJ(y;η)=0\delta J(y; \eta) = 0.

Reading path

To understand this page from the ground up, read these 9 pages in order. The foundations come first.

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Each page uses the pages above it. The colour of the bar on a box shows how strong the evidence is, and the box also gives it as text. The list has the same pages.
  • no evidence level
  1. Euclidean space object
  2. Function concept
  3. Functional concept
  4. Gateaux derivative concept
  5. Vector space concept
  6. Function of several variables concept
  7. Partial derivative concept
  8. Directional derivative concept
  9. First variation definition

Further reading

  1. Web https://en.wikipedia.org/wiki/First_variation
About this page
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Kinddefinition
WritingW0 stub
MSC49K05, 49J50, 46G05
DefinesFirst variation
UsesFunctional, Vector space, Directional derivative, Gateaux derivative

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