Abstract
In this paper, we constructed a control operator, G, which enables an Extended Conjugate Gradient Method (ECGM) to be employed in solving for the optimal control and trajectories of continuous time linear regulator problems. Similar operators constructed in the past by various authors have limited application. This call for the construction of the control operator that is aimed at taking care of any of the Mayer's, Lagrange's and Bolza's cost form of linear regulator problems. The authors of this paper desire that, with the construction of the operator, one will circumvent the difficulties undergone using the classical methods and its application will further improve the result of the Extended Conjugate Gradient Method in solving this class of optimal control problem.
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