Optimal Control of Linear Dynamic Systems

Abstract

Pontryagin and his associates developed the maximum principle for solving continuous-data 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 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.