We wish to find Admissible Controls that defined on [t0,t1], starting at x(t0)=x0 s.t. we minimize the cost J(u)=t0∫t1(xu⊤(t)L(t)xu(t)+u⊤(t)u(t))dt+xu⊤(t1)Qxu(t1)where the index u in xu is used to emphasize that the trajectory depends on the choice of control, L:[t0,t1]→Mn(R) is a Continuous function, and Q∈Mn(R). Note that in this problem we are not concerned with where the trajectory is going to at time t1, but only w.r.t. minimizing the cost.
Consider the LTVC system x˙=A(t)x(t)+B(t)u(t)and suppose that K(⋅) is a differentiable matrix function on [t0,t1] s.t. for K(t)=K⊤(t),∀t∈[t0,t1]. Then x⊤(t1)K(t1)x(t1)−x⊤(t0)K(t0)x(t0)=t0∫t1[u⊤(t)x⊤(t)][0K(t)B(t)B⊤(t)K(t)K˙(t)+A⊤(t)K(t)+K(t)A(t)]dt
Consider a LTVC system x˙(t)=A(t)x(t)+B(t)u(t)where A,B are Continuous functions of time and x(t0)=x0. If ∃K:[t0,t1]→Mn(R) with K(t)=K⊤(t),∀t∈[t0,t1] which satisfies the Riccati Differential Equation: K˙(t)K(t1)=−A⊤(t)K(t)−K(t)A(t)−L(t)+K(t)B(t)B⊤(t)K(t)=Qthe solution to which we denote by t↦Π(t,Q,t1), then there exists an optimal control u∗:[t0,t1]→Rm for the Free endpoint problem with the cost J(u)=t0∫t1(xu⊤(t)L(t)xu(t)+u⊤(t)u(t))dt+xu⊤(t1)Qxu(t1)In particular, the optimal control is u∗(t)=−B⊤(t)Π(t,Q,t1)x(t),t∈[t0,t1] a continuous function, and the optimal cost is Jmin=x0⊤Π(t0,Q,t1)x0