State Pontryagin's maximum principle (PMP) for the problem of minimizing
∫0Tc(x(t),u(t))dt+K(x(T))
where x(t)∈Rn,u(t)∈Rm,dx/dt=a(x(t),u(t)); here, x(0) and T are given, and x(T) is unconstrained.
Consider the two-dimensional problem in which dx1/dt=x2,dx2/dt=u, c(x,u)=21u2 and K(x(T))=21qx1(T)2,q>0. Show that, by use of a variable z(t)=x1(t)+x2(t)(T−t), one can rewrite this problem as an equivalent one-dimensional problem.
Use PMP to solve this one-dimensional problem, showing that the optimal control can be expressed as u(t)=−qz(T)(T−t), where z(T)=z(0)/(1+31qT3).
Express u(t) in a feedback form of u(t)=k(t)z(t) for some k(t).
Suppose that the initial state x(0) is perturbed by a small amount to x(0)+(ϵ1,ϵ2). Give an expression (in terms of ϵ1,ϵ2,x(0),q and T ) for the increase in minimal cost.