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Finite-Horizon Optimal Control Problem

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Control

Consider a LTVC system xĖ™(t)=A(t)x(t)+B(t)u(t)\dot{x}(t)=A(t)x(t)+B(t)u(t)where A,BA,B are Continuous functions of time and x(t0)=x0x(t_{0})=x_{0}.