Abstract
In practice, we often encounter optimization problems involving unknown parameters. A straight-forward synthesizing method of optimal control for this class of problems is proposed in this paper. The essential idea is that the parameter is to be determined so as to minimize the criterion and the parameter value so determined is a function of the initial state of the system. This implies that once the initial state is specified, the parameter is determined.
Accordingly, the system dynamics and the criterion function are fixed all and the remaining procedure is gained in the same way to solve the conventional optimization problem. That is all we have to do is to find optimal control law through conventional optimization technique. The detail of this method is illustrated through three examples each of which has important technical meaning.
