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Principles of Optimal Control

Graduate · Historical course

Spring 2008

This course studies basic optimization and the principles of optimal control. It considers deterministic and stochastic problems for both discrete and continuous systems. The course covers solution methods including numerical search algorithms, model predictive control, dynamic programming, variational calculus, and approaches based on Pontryagin's maximum principle, and it includes many examples and applications of the theory.

Readings

  • Bertsekas, Dimitri. Nonlinear Programming . Nashua, NH: Athena Scientific, 1999. ISBN: 9781886529007.
    Listed reading
  • Bryson, Arthur. Dynamic Optimization . Upper Saddle River, NJ: Pearson Education, 1998. ISBN: 9780201361872.
    Listed reading
  • Scales, L. E. Introduction to Non-Linear Optimization . New York, NY: Springer, 1985. ISBN: 9780387912523.
    Listed reading
  • Gill, Philip, Walter Murray, and Margaret Wright. Practical Optimization . Burlington, MA: Academic Press, 1982. ISBN: 9780122839528.
    Listed reading
  • Bryson, Arthur, and Yu-Chi Ho. Applied Optimal Control: Optimization, Estimation, and Control . Abingdon, UK: Taylor & Francis, 1975. ISBN: 9780891162285.
    Listed reading
  • Bryson, Arthur. Applied Linear Optimal Control: Examples and Algorithms . Cambridge, UK: Cambridge University Press, 2002. ISBN: 9780521012317.
    Listed reading
  • Stengel, Robert. Stochastic Optimal Control . New York, NY: Wiley, 1986. ISBN: 9780471864622.
    Listed reading
  • Athans, Michael, and Peter Falb. Optimal Controls . New York, NY: McGraw-Hill, 1966. ISBN: 9780070024137.
    Listed reading
  • Kirk, Donald. Optimal Control Theory: An Introduction . New York, NY: Dover, 2004. ISBN: 9780486434841.
    Listed reading
  • Anderson, Brian, and John Moore. Linear Optimal Control . Upper Saddle River, NJ: Prentice Hall, 1971. ISBN: 9780135368701.
    Listed reading
  • ———. Optimal Control: Linear Quadratic Methods . New York, NY: Dover, 2007. ISBN: 9780486457666.
    Listed reading
  • Luenberger, David. Optimization by Vector Space Methods . New York, NY: Wiley, 1997. ISBN: 9780471181170.
    Listed reading
  • Vincent, Thomas, and Walter Grantham. Nonlinear and Optimal Control Systems . New York, NY: Wiley, 1997. ISBN: 9780471042358.
    Listed reading
  • Burl, Jeffrey. Linear Optimal Control . Upper Saddle River, NJ: Prentice Hall, 1999. ISBN: 9780201808681.
    Listed reading
  • Bellman, Richard. Dynamic Programming . New York, NY: Dover, 2003. ISBN: 9780486428093.
    Listed reading
  • Bertsekas, Dimitri. Dynamic Programming and Optimal Control . Vol. 1 and 2. Nashua, NH: Athena Scientific, 2007. ISBN: 9781886529083.
    Listed reading
  • Kwakernaak, Huibert, and Raphael Sivan. Linear Optimal Control Systems (PDF) . New York, NY: Wiley, 1972. ISBN: 9780471511106. ↗
    Listed reading
Sources