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Legendre–Clebsch condition

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In the calculus of variations the Legendre–Clebsch condition is a second-order condition which a solution of the Euler–Lagrange equation must satisfy in order to be a maximum (and not a minimum or another kind of extremal).

For the problem of maximizing

a b L ( t , x , x ) d t .

the condition is

0 L x x ( t , x ( t ) , x ( t ) ) , t [ a , b ]

Generalized Legendre-Clebsch

In optimal control, the situation is more complicated because of the possibility of a singular solution. The generalized Legendre–Clebsch condition, also known as convexity, is a sufficient condition for local optimality such that when the linear sensitivity of the Hamiltonian to changes in u is zero, i.e.,

H u = 0

The Hessian of the Hamiltonian is positive definite along the trajectory of the solution:

2 H u 2 > 0

In words, the generalized LC condition guarantees that over a singular arc, the Hamiltonian is minimized.

References

Legendre–Clebsch condition Wikipedia


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