A deterministic affine-quadratic optimal control problem

DOI10.1051/COCV/2013078MaRDI QIDQ5495484zbMATH OpenOpenAlexFDO

Authors Yuanchang Wang, Jiongmin Yong

Publication date 4 August 2014

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.3559

zbMATH Keywords

dynamic programmingHamilton-Jacobi-Bellman equationquasi-Riccati equationaffine-quadratic optimal control problemstate feedback representation

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Optimality conditions for problems involving ordinary differential equations (49K15) Dynamic programming in optimal control and differential games (49L20) Linear-quadratic optimal control problems (49N10)

Abstract: A Deterministic affine quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the value function is differentiable and therefore satisfies the corresponding Hamilton-Jacobi-Bellman equation in the classical sense. Moreover, the so-called quasi-Riccati equation is derived and any optimal control admits a state feedback representation.

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