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On the classical solution to the linear-constrained minimum energy problem
Authors:Marc Boissaux  Jang Schiltz
Affiliation:1. Luxembourg School of Finance , University of Luxembourg , 4 rue Albert Borschette, L-1246 Luxembourg , Luxembourg marc.boissaux@uni.lu;3. Luxembourg School of Finance , University of Luxembourg , 4 rue Albert Borschette, L-1246 Luxembourg , Luxembourg
Abstract:Minimum energy problems involving linear systems with quadratic performance criteria are classical in optimal control theory. The case where controls are constrained is discussed in Athans and Falb (1966 Athans, M and Falb, PL. 1966. Optimal Control. An Introduction to the Theory and Its Applications, New York: McGraw-Hill Book Co.  [Google Scholar]) [Athans, M. and Falb, P.L. (1966), Optimal Control: An Introduction to the Theory and Its Applications, New York: McGraw-Hill Book Co.] who obtain a componentwise optimal control expression involving a saturation function expression. We show why the given expression is not generally optimal in the case where the dimension of the control is greater than one and provide a numerical counterexample.
Keywords:optimal control  minimum energy problem  quadratic cost function  control constraints
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