On linear quadratic regulator for the heat equation with general boundary conditions

We consider the linear quadratic regulator of the heat equation on a finite interval. Previous frequency-domain methods for this problem rely on discrete Fourier transform and require symmetric boundary conditions. We use the Fokas method to derive the optimal control law for general Dirichlet and Neumann boundary conditions. The Fokas method uses the continuous Fourier transform restricted to the bounded spatial domain, with the frequency domain extended from the real line to the complex plane. This extension, together with results from complex analysis, allows us to eliminate the dependence of the optimal control on the unknown boundary values. As a result, we derive an integral representation of the control similar to the inverse Fourier transform. This representation contains integrals along complex contours and only depends on known initial and boundary conditions. We also show that for the homogeneous Dirichlet boundary value problem, the integral representation recovers an existing series representation of the optimal control. Moreover, the integral representation exhibits numerical advantages compared to the traditional series representation.