1. **State the problem:**
We want to maximize the integral $$\max \int_0^T \left(2u - \frac{1}{2} u^2 + 2x\right) e^{-2t} dt$$
subject to the dynamic constraint $$\dot{x} = x - u$$ with initial condition $$x(0) = x_0$$ and free terminal state $$x(T)$$.
2. **Formulate the Hamiltonian:**
The Hamiltonian for this optimal control problem is
$$H = \left(2u - \frac{1}{2} u^2 + 2x\right) e^{-2t} + \lambda (x - u)$$
where $$\lambda(t)$$ is the costate variable.
3. **Optimality condition for control:**
To maximize $$H$$ with respect to $$u$$, set
$$\frac{\partial H}{\partial u} = 0$$
which gives
$$\frac{\partial}{\partial u} \left( (2u - \frac{1}{2} u^2) e^{-2t} + \lambda (x - u) \right) = 0$$
4. **Calculate the derivative:**
$$\frac{\partial H}{\partial u} = (2 - u) e^{-2t} - \lambda = 0$$
5. **Solve for control $$u$$:**
$$ (2 - u) e^{-2t} = \lambda \implies 2 - u = \lambda e^{2t} \implies u = 2 - \lambda e^{2t} $$
6. **Costate equation:**
The costate dynamics are given by
$$ \dot{\lambda} = -\frac{\partial H}{\partial x} $$
Calculate
$$ \frac{\partial H}{\partial x} = 2 e^{-2t} + \lambda $$
so
$$ \dot{\lambda} = - (2 e^{-2t} + \lambda) = -2 e^{-2t} - \lambda $$
7. **State equation:**
Recall
$$ \dot{x} = x - u = x - (2 - \lambda e^{2t}) = x - 2 + \lambda e^{2t} $$
8. **System of differential equations:**
$$ \begin{cases} \dot{x} = x - 2 + \lambda e^{2t} \\ \dot{\lambda} = -2 e^{-2t} - \lambda \end{cases} $$
9. **Boundary conditions:**
$$ x(0) = x_0, \quad \lambda(T) = 0 \quad \text{(since } x(T) \text{ is free)} $$
10. **Summary:**
The optimal control is
$$ u^*(t) = 2 - \lambda(t) e^{2t} $$
where $$x(t)$$ and $$\lambda(t)$$ satisfy the above system with given boundary conditions.
This fully characterizes the optimal state and control variables maximizing the Hamiltonian.
Optimal Control 0A98B0
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