Optimal Control Problem

Dipak Basu and Victoria Miroshnik
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Dipak Basu: Nagasaki University

Chapter 1 in Dynamic Systems Modeling and Optimal Control, 2015, pp 1-32 from Palgrave Macmillan

Abstract: Abstract Pontryagin (1962) and his associates developed the maximum principle for solving continuous-time control problems. Basically, the maximum (or minimum) principle provides a set of local necessary conditions for optimality. According to this method, variables analogous to the Lagrange multipliers should be introduced. These variables, usually denoted by p, are often called the co-state or adjoint-system variables. A scalar-value function H, which generally is a function of x, p, u (state, co-state, control vector) and t, named Hamiltonian function of the problem, is also considered.

Keywords: Optimal Control Problem; Riccati Equation; Generalize Inverse; Dynamic System Modeling; Stochastic Control Problem (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-50895-9_1

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DOI: 10.1057/9781137508959_1

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