scientific article; zbMATH DE number 1296828
Consider the following linear-quadratic problem: The state equation is given by \[ \begin{cases} \dot x(t)= A(t)x(t)+ B(t)u(t)\\ y(t)= C(t)x(t)\end{cases} \] where \(x(t)\in R^n\), \(u(t)\in R^m\), \(y(t)\in R^p\), and the quadratic cost functional (performance index) is given by \[ J(u)= {1\over 2} e^T((T_f) Fe(T_f))+{1\over 2} \int^{T_f}_{t_0} e^{\alpha t}[e^T(t) Q(t)e(t)+ u^T(t) R(t) u(t)] dt, \] where \(z(t)\in R^p\) (expectation output vector), \(e(t)= z(t)- y(t)\), \(F\) and \(Q(t)\) are two \(p\times p\) positive semidefinite matrices and \(R(t)\) is an \(m\times m\) positive matrix. State regulator, output regulator and tracking problem are three variations of this linear-quadratic problem with different \(z(t)\). This paper shows that the well-known results about these problems can be derived by Hamiltonian function and maximum principle.
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