Abstract
Considers optimizing a discrete time linear time invariant state feedback system with respect to a generalized cost functional. The approach taken is to transform the linear time invariant system with a generalized cost functional to an equivalent nonlinear time varying system with quadratic cost functional. The finite horizon optimization problem considered and the contents of the paper emphasize the concept as opposed to algorithm development for applications. An example is worked using available optimization techniques to show the capabilities of this approach. Concluding remarks are given concerning anticipated algorithm development for real time applications.
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