The maximum principle
The maximum principle is formulated and proved first for control problems with fixed terminal time. As an illustration, a new derivation of the solution to the linear regulator problem is given. Next the maximum principle for impulse control problems and for time optimal problems are discussed. In the latter case an essential role is played by the separation theorems for convex sets.
KeywordsMaximum Principle Riccati Equation Adjoint Equation Separation Theorem Bibliographical Note
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