This book provides a rather complete treatment of optimal control theory for dynamic systems, both linear and nonlinear, discrete and continuous, and deterministic and stochastic, using only simple calculus, matrix notation, and the elements of probability theory. This is accomplished by consistent and exclusive use of the intuitively clear and appealing concepts of dynamic programming in the development of the subject, in contrast to the majority of introductory texts, which follow the more traditional developments based on the calculus of variations. Some rather advanced results of the subject, including those in the stochastic area, are thus made available to readers with a more modest mathematical background than has generally been the case in the past. More so than any previous text, this book illustrates the power and simplicity of the dynamic programming approach to optimal control problems, and firmly makes the point with solutions to nontrivial example problems, reduced to computational algorithms.
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