We want to talk about influencing natural phenomena.1
Let $\mathcal{X} _0, \mathcal{X} _1, \dots ,
\mathcal{X} _{T}$ and $\mathcal{U} _0,
\mathcal{U} _1, \dots , \mathcal{U} _{T-1}$ be sets.
For $t = 0$, $\dots $, $T-1$, let $f_{t}:
\mathcal{X} _t \times \mathcal{U} _t \to
\mathcal{X} _{t+1}$.
We call the triple
\[
((\mathcal{X} _t)_{t = 0}^{T}), (\mathcal{U} _t)_{t=0}^{T-1},
(f_t)_{t=1}^{T-1})
\]
Let $x_0 \in \mathcal{X} _0$.
Let $u_0 \in \mathcal{U} _0, \dots , u_{T-1} \in
\mathcal{U} _{T-1}$. Define a state sequence $x_1
\in \mathcal{X} _1, \dots , x_T \in
\mathcal{X} _T$ by
\[
x_{t+1} = f_t(x_t, u_t).
\]
We call $T$ the horizon. In the case that we have an infinite sequence of state sets, input sets, and dynamics, then we refer to a infinite-horizon dynamical system. To use language in contrast with this case, we refer to the dynamical system when $T$ is finite as a finite-horizon dynamical system.
The current action $u_t$ affects future states $x_{s}$ for $s > t$, but not the current or past states. The current state $x_t$ depends on the initial state $x_0$ and the sequence of past actions $u_0, \dots , u_{t-1}$. So the state is a “link” between the past and the future. Given $x_t$ and $u_t, \dots , u_{s-1}$, for $s > t$, we can compute $x_s$. In other words, the prior actions $u_0, \dots , u_{t-1}$ are not relevant.
This nonrelevancy of prior actions and prior states simplifies the sequential decision problem (see Sequential Decisions).
The dynamical system is called time-invariant if $\mathcal{X} _{t}$, $\mathcal{U} _t$ and $f_t$ do not depend on $t$. A simple variation is that $\mathcal{U} _t$ depends on $x_t$.2
A dynamical system is finite if the state and action sets are finite. For example, $\mathcal{X} = \set{1, \dots , n}$ and $\mathcal{U} = \set{1, \dots , m}$. Then $f_t: \mathcal{X} \times \mathcal{U} \to \mathcal{U} $ is called a transition map.
Or else, let $(V, E)$ be a directed graph, then $\mathcal{X} = V$, $\mathcal{U} _{x_t} = \Set{(u, v) \in E}{u = x_t}$ and $f_t(x_t, u_t) = v$ when $u_t = (x_t, v)$ is a dynamical system. Roughly this system models “moving” on the graph.
Let $\mathcal{X} = \R ^n$ and $\mathcal{U} =
\R ^m$.
Define $f_t: \mathcal{X} \times \mathcal{U}
\to \mathcal{X} $ by
\[
x_{t+1} = f_t(x_t, u_t) = A_t x_t + B_t u_t + c_t
\]