Optimal regulators for linear systems with no control cost (Q1186482)

This paper is concerned with the study of the cost functional \(J(u)=1/2\langle Mx(T),x(T)\rangle\), where \(u\) and \(x\) are related by the finite-dimensional system \(\dot x=Ax(t)+Bu(t)\). This cost functional has to be minimized over all input functions \(u\) which are given by a time- dependent feedback law, \(u(t)=F(t)x(t)\). In the first part of the paper the extra restriction \(| u(t)|\leq 1\) holds as well. In both cases the authors prove the existence of an optimal feedback. This optimal feedback can be calculated by solving Riccati type of equations. Furthermore, the authors show how their results can be extended to the case where the cost functional is given by \(\langle Mx(T),x(T)\rangle+\int_ 0^ T\langle Qx(t),x(t)\rangle dt\).