Optimization and Optimal Control

3 units

Constrained and unconstrained optimization theory. Continuous time as well as discrete-time optimal control theory. Time-optimal control, bang-bang controls and the structure of the reachable set for linear problems. Dynamic programming, the Pontryagin maximum principle, the Hamiltonian-Jacobi-Bellman equation and the Riccati partial differential equation. Existence of classical and viscosity solutions. Application to time optimal control, regulator problems, calculus of variations, optimal filtering and specific problems of engineering interest.