Optimal feedback control of nonlinear systems

Optimality conditions for problems involving ordinary differential equations (49K15) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Dynamic programming in optimal control and differential games (49L20) Nonlinear systems in control theory (93C10) Control/observation systems governed by ordinary differential equations (93C15)

Review text

The authors consider a finite-horizon, deterministic optimal control problem without control or endpoint constraints. They propose the following recipe to determine an optimal feedback control law \(u=u(t,x):\) Assume a solution exists, and use it to define \[ (*)\quad z(t)=(\partial /\partial u)H(t,x(t),\quad p(t),\quad u(t,x(t))), \] where H is the usual Hamiltonian. The Pontryagin maximum principle asserts that z(t)\(\equiv 0\), which obviously implies that all derivatives of z are identically zero. Compute these derivatives from (*) and eliminate p from the resulting system to obtain a set of quasi-linear partial differential equations satisfied by u(t,x). Solve it. Two illustrative examples are given.

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