Suppose that we are given a (time-invariant) control system
and the difference between states and tangent vectors becomes ``hidden" once again.
Let us assume for simplicity that an optimal control problem is formulated in the Mayer form (i.e., with terminal cost only). We know that problems with running cost can always be converted to this form by appending an additional state , which would yield a system on the augmented manifold (cf. Sections 3.3.2 and 4.2.1). The basic ingredients of the maximum principle are the costate and the Hamiltonian . In the case when , the Hamiltonian for the Mayer problem took the form . For a general manifold , we need to ask ourselves which space should belong to and how should be (re)defined. Our first natural guess might be that , like , should be a tangent vector to . However, in contrast with , there is no clear geometric reason why should be a tangent vector. Also, taking to be a tangent vector, we cannot assign a new meaning to our earlier definition of unless we equip the tangent space with an inner product. (Introducing an inner product on each tangent space --called a Riemannian metric on --is possible but, as we will see, is neither necessary nor relevant for our present purposes.) Another option that might come to mind is that should live in itself; however, this choice offers even fewer clues towards any natural interpretation of the Hamiltonian.
Can we perhaps take a more direct guidance from the fact that in our old definition of the Hamiltonian, appears in an inner product with the velocity vector ? In fact, we already remarked in Section 3.4.2 that never appears by itself but always inside inner products such as ; in other words, it acts on velocity vectors. This observation suggests that the intrinsic role of the costate is not that of a tangent vector, but that of a covector. To better understand the difference between these two types of objects and why the latter one correctly captures the notion of a costate, let us look at how they propagate along a flow induced by a dynamical system on .
Fix a number and let be a map. While the construction that we are about to describe is valid for every such map, the map that we have in mind here is the one obtained by flowing forward for units of time along the trajectory of the system (7.2) corresponding to some fixed control (which, ultimately, is taken to be an optimal control for a given initial condition). Let us first discuss the transformation that induces on tangent vectors. Pick a point and a tangent vector . We know that is tangent to some curve in passing through , namely, where for real (around 0) and . The image of this curve under the map is a curve in which passes through , as illustrated in Figure 7.1. Denote the tangent vector at associated with this new curve by ; in other words, define
The above quantity depends only on the vector and not on the choice of a particular curve with this tangent vector. In this way we obtain a natural definition of a linear map
called the derivative (or differential) of at . It extends to manifolds the standard notion of the differential of a function (described by its Jacobian matrix) from vector calculus; more generally, functions from to another manifold can be considered, and we already discussed the case in Section 7.1.1. In fact, in the proof of the maximum principle we performed a closely related computation, showing that an infinitesimal state perturbation propagates along an optimal trajectory of (7.2) according to the variational equation
Now suppose that we are given a covector at , i.e., a linear function on . Let us denote it by so as to have for each . For the same map as before, can we define in a natural way a linear function on ? We must decide what the value should be for every . While it is tempting to say that should equal the value of on the preimage of under the map , this preimage is not well defined unless the map is invertible. In fact, the reader will quickly realize that there is no apparent candidate map for propagating covectors along similarly to how the derivative map acts on tangent vectors. The reason is that, instead of trying to push covectors forward, we should pull them back. This revised objective is readily accomplished as follows: given a covector on , define a covector on by
Now everything is beginning to fall into place. The Hamiltonian for our Mayer problem on a manifold should be defined as