Ok, so I am reading about decision making and I came across this subject. Fortunately it has a Wiki, but the point is I want to see some examples, and learn to solve regular problems of this field. Of course I can go for the book by Pontryagin but then I don't think that would be an educative book. Does anyone has a suggestion? I would be happy if it also covers LQ problems.
P.S. I studied math, therefore I appreciate a book with rigorous approach to the subject.
Best Answer
A good reference is the recent book Calculus of Variations and Optimal Control Theory: A Concise Introduction by Daniel Liberzon http://press.princeton.edu/titles/9760.html
Optimal Control Theory: An Introduction is an older, somewhat more engineering-oriented book, reprinted by Dover Books. It is a good classic.
Start with 1 or 2 of these. Most other texts are heavier reading than both of these together.