PhD Course on Optimal Control

Lecturers: Kaoru Yamamoto (course responsible), Yury Orlov

News: 

• The date of exercise 6 has changed to Mar 1 (Thu). The room is Konferensrum stort, 1172 (lab F).
• Jan 30 - Typo corrected in the lecture slides of L2.
• Jan 23 - Typo corrected in the lecture slides of L1. 

Couse Description: 

This course introduces calculus of variations and optimal control theory. The course covers key topics in optimal control such as the maximum principle, dynamic programming and the Hamilton-Jacobi-Bellman equation, and the linear-quadratic regulator. 

Location and Time: 

With a few exceptions, all lectures and exercise sessions are given in the seminar room (M:2112B) at 13:15-15:00 on Tuesdays and Thursdays.

Lectures:

• Jan 23 (Tue): L1 Functional minimization, Calculus of variations (CV) problem
• Jan 30 (Tue): L2 Constrained CV problems, From CV to optimal control
• Feb 6   (Tue): L3 Maximum principle, Existance of optimal control
• Feb 13 (Tue): L4 Maximum principle (proof)
• Feb 20 (Tue): L5 Dynamic programming, Hamilton-Jacobi-Bellman equation
• Feb 27 (Tue): L6 Linear quadratic regulator
• Mar 5  (Mon): L7 Numerical methods for optimal control problems
• TBA: L8 Student presentations
  
  

Exercises:

• Jan 26   (Fri): E1
• Feb 1   (Thu): E2
• Feb 8   (Thu): E3
• Feb 15 (Thu): E4
• Feb 22 (Thu): E5
• Mar 1   (Thu): E6at lab F
  
  

Readings: 

Daniel Liberzon, Calculus of Variations and Optimal Control: A Concise Introduction, Princeton University Press, 2012. ISBN 978-0-691-15187-8.