Optimal Control

This book is devoted to the development of optimal control theory for finite dimensional systems governed by deterministic and stochastic differential equations driven by vector measures. The book deals with a broad class of controls, including regular controls (vector-valued measurable functions), relaxed controls (measure-valued functions) and controls determined by vector measures, where both fully and partially observed control problems are considered.

This monograph develops a framework for time-optimal control problems, focusing on minimal and maximal time-optimal controls for linear-controlled evolution equations. Its use in optimal control provides a welcome update to Fattorini’s work on time-optimal and norm-optimal control problems. By discussing the best way of representing various control problems and equivalence among them, this systematic study gives readers the tools they need to solve practical problems in control.

This self-contained book gives a detailed treatment of optimal control theory that enables readers to formulate and solve optimal control problems. With a strong emphasis on problem solving, it provides all the necessary mathematical analyses and derivations of important results, including multiplier theorems and Pontryagin's principle. The text presents various examples and basic concepts of optimal control and describes important numerical methods and computational algorithms for solving a wide range of optimal control problems, including periodic processes.

This book introduces the theory and applications of uncertain optimal control, and establishes two types of models including expected value uncertain optimal control and optimistic value uncertain optimal control. These models, which have continuous-time forms and discrete-time forms, make use of dynamic programming. The uncertain optimal control theory relates to equations of optimality, uncertain bang-bang optimal control, optimal control with switched uncertain system, and optimal control for uncertain system with time-delay. Uncertain optimal control has applications in portfolio selection, engineering, and games.

This book focuses on how to implement optimal control problems via the variational method. It studies how to implement the extrema of functional by applying the variational method and covers the extrema of functional with different boundary conditions, involving multiple functions and with certain constraints etc.