-Solving optimal control problems with uncertainty has been intensively developed during resent years. Several procedures are presented to solve these problems. In this thesis, optimal control problems with uncertainty in the initial state measurement or the cost function, as well as, where there are uncertain parameters in the state equations are investigated. In these problems we want to find an input such that the system has the best response in the worst case. Thus, a min-max control is sought. In optimal control problems without uncertainty we use calculus of variations to minimize the cost. One way to find an input for an uncertain system is to use robust control. In this case the control input isn't optimal. In this thesis we present a procedure for optimizing uncertain systems.
