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Details for the Course Syllabus for Course FRT105F valid from Spring 2014

General
Aim
• Optimal control is the problem of determining the control function for a dynamical system to minimize a cost related to the system trajectory. The subject has its roots in the calculus of variations but it evolved to an independent branch of applied mathematics and engineering in the 1950s.
The overall goal of the course is to provide an understanding of the main results in calculus of variations and optimal control, and how these results can be used in various applications such as in robotics, finance, economics, and biology
Contents
• The Euler-Lagrange equation. Pontryagin's maximum principle. Dynamic programming. The Hamilton-Jacobi-Bellman equation. Finite and infinite horizon optimal control problems. Viscosity solutions to partial differential equations. The Linear quadratic regulator. Necessary and sufficient conditions for optimality. Numerical methods for optimal control problems.
Knowledge and Understanding
• For a passing grade the doctoral student must
• have developed an understanding for:
The steps leading up to the Euler-Lagrange equation to account for different boundary conditions,
The main steps in the proof of Pontryagin's Maximum Principle (PMP),
The bang-bang principle in optimal control,
The notion of viscosity solutions to the Hamilton-Jacobi-Bellman equation,
Competences and Skills
• For a passing grade the doctoral student must
• be able to use calculus of variations to solve infinite dimensional optimization problems,
be able to use PMP to solve optimal control problems,
be able to use Dynamic Programming (DynP) to solve optimal control problems,
be able to solve Linear Quadratic Regulator (LQR) problems,
be able to use computer software to obtain numerical solutions to optimal control problems.
Judgement and Approach
• For a passing grade the doctoral student must
Types of Instruction
• Lectures
• Seminars
• Project
Examination Formats
• Seminars given by participants
• Failed, pass
Assumed Prior Knowledge
Selection Criteria
Literature
• Liberzon, D.: Calculus of Variations and Optimal Control: A Concise Introduction.
Further Information
Course code
• FRT105F