Linear-Quadratic Optimal Control Problem with Constrained Control

An analytical-numerical method for solving a boundary value optimal control problem with constrained control is suggested. The embedding principle underlying the method is based on the general solution of a Fredholm integral equation of the first kind and its analytic representation; the method permits one to reduce the boundary value optimal control problem with constraints to an optimization problem with free right end of the trajectory. Keywords - Linear-quadratic optimal control problem, constrained control, imbedding principle, admissible control, optimal control.