This paper proposes the design of an optimal control for a dynamic combustion engine test bench using a dynamic extension of the corresponding Hamilton-Jacobi-Bellman partial differential equation thus avoiding its explicit solution. To this end, first a dynamic control law is designed based on a simplified and approximate model of the test bench and then modified in order to cope with non-modeled dynamics or nonlinearities. The control is designed on this basis and its performance of the control law is tested and validated on an accurate simulator of the combustion engine test bench.