Branch of engineering and applied mathematics dealing with optimization of a dynamical system in continuous time. Similar to dynamic programming, the (optimal) value function satisfies an optimality condition, the Hamilton-Jacobi-Bellman equation. For the special case of a linear time-invariant dynamical system with quadratic cost, an explicit solution for the optimal feedback control policy can be found by solving the Riccati equation.
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References
Bryson, A. E., & Ho, Y. C. (1975). Applied optimal control. Washington, DC: Hemisphere.
Sethi, S. P., & Thompson, G. L. (2000). Optimal control theory: Applications to management science and economics (2nd ed.). New York: Springer.
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(2013). Optimal Control. In: Gass, S.I., Fu, M.C. (eds) Encyclopedia of Operations Research and Management Science. Springer, Boston, MA. https://doi.org/10.1007/978-1-4419-1153-7_200547
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DOI: https://doi.org/10.1007/978-1-4419-1153-7_200547
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