Abstarct: In this thesis, at first, the Haar wavelet method is considered. Then after introducing the class of optimal control problems , we apply this method to those problems. The presented optimal control promlems consist of the infinite- horizon optimal control problem, linear regularting systems, optimization of tracking missile time and linear tracking systems. In each chapter, after presenting the class of optimal control problems, we solve some numerical examples to demonstrate the applicability of this collocation direct method. In this examples, we compare the analytical and approximate graphs of trajectories and control together.