3. Determining optimal control. Maximum principle

3.1 Canonical Hamilton equations

In order to simplify the presentation of the results, we will use a quantity, called the Hamiltonian of the system, defined by the relation : $H (x, u, λ, t) ≜ - r (x, u, t) + λ^{T} f (x, u, t)$

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References

(1) - ASTRÖM (K.J.) - Introduction to stochastic control theory, - Academic Press (1970).
(2) - BORNE (P.), DAUPHIN-TANGUY (G.), RICHARD (J.P.), ROTELLA (F.), ZAMBETTAKIS (I.) - Commande et optimisation des processus, - Technip (1990).

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