It should be emphasized that the problem investigated here is not restricted to quadratic cost functionals. One of the more interesting results of this analysis is that quadratic cost functionals do not generally yield simple control laws when the jump states are unknown. As a consequence;
while the results contained herein are equally valid for any well-posed cost functional;
the results are in the nature of an algorithm Received 22 November. t This research was supported in part by the Office of Naval Research under contract #NOOt4-80-C-0199;
the Department of Energy under contract #DE-ACOI-80-BA 50256and the Center for Automation and Intelligent System Research at Case Western Reserve University. t Department of Systems Engineering;
Case Western Reserve University;
Cleveland;
Ohio;
44106;
U.S.A. § This author is currently with the Analytic Sciences Corporation;
Reading;
Massachusetts;