Syllabus

Lecturer
Prof. Eduardo Bayro-Corrochano

Course Meeting Times

Lectures: 2 sessions / week, 1.5 hours / session

Objectives

Nonlinear optimization MATLAB implementation

Optimization approaches: dynamic programming, Calculus of Variations
Linear quadratic and H compensators stochastic and deterministic
Investigate key basic control concepts and extend to advanced algorithms
(MPC)
Will focus on both the technique/approach and the control result

Approximate Number of Lectures per Topic

Keywords
LQR = linear-quadratic regulator
LQG = linear-quadratic Gaussian
MPC = model predictive control
NUMBER OF LECTURES
TOPICS
2
Nonlinear optimization
3
Dynamic programming
2
Calculus of variations general
3
Calculus of variations control
5
LQR/LQG - stochastic optimization
3
H and robust control
2
On-line optimization and control (MPC)

Grades
ACTIVITIES
Homework: problem sets every other Thursday due 2 weeks later
(usually) at 11 am
Two exams : both are in class, and you are allowed all you notes,
Mtahlab programs or books

PERCENTAGES
30%
35% each

Prerequisites

Course assumes a good working knowledge of linear algebra and differential

equations. New material will be covered in depth in the class, but a strong
background will be necessary.
Solid background in control design is best to fully understand this material, but
not essential.
Course material and homework assume a good working knowledge of
MATLAB.

Policies

You are encouraged to discuss the homework and problem sets amomg your
classmates . However, your submitted work must be your own.
Late homework will not be accepted unless prior approval is obtained from
Professor Bayro.

Bryson, Arthur, and Yu-Chi Ho. Applied Optimal Control: Optimization, Estimation, and
Control. Abingdon, UK: Taylor & Francis, 1975. ISBN: 9780891162285.
(Bryson, Arthur. Applied Linear Optimal Control: Examples and Algorithms. Cambridge, UK:
Cambridge University Press, 2002. ISBN: 9780521012317.)
Stengel, Robert. Stochastic Optimal Control. New York, NY: Wiley, 1986. ISBN:
9780471864622.
Kirk, Donald. Optimal Control Theory: An Introduction. New York, NY: Dover, 2004. ISBN:
9780486434841.
Anderson, Brian, and John Moore. Linear Optimal Control. Upper Saddle River, NJ: Prentice
Hall, 1971. ISBN: 9780135368701.