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MAT 618 - Mathematical Optimal Control Theory II

Course Objectives

1 To introduce discrete time optimal control systems,
2 To introduce the maximum principle of Pontryagin,
3 To introduce Hamilton-Jacobi-Bellman equations
4 To introduce dynamic programming
5 To introduce constrained optimal control systems

Course Description

Historical development and current problems of the optimal control theory. Types of optimal control theory: Mayer, Lagrange, Bolza problems. Convex Analysis and extremum problems. Convex sets and functions. Convex programming. Set-valued functions. Optimization of discrete and differential inclusions. Pontryagin's maximum principle, proof and examples. Dynamic programming method of Bellman. Controllable systems, analytical characteristics and Kalman criterion. Infimal convolution. Duality problems.

Course Coordinator
Elmkhan Mahmudov
Course Language
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