Necessary optimality conditions for improper infinite-horizon control problems

Aseev SM & Veliov VM (2012). Necessary optimality conditions for improper infinite-horizon control problems. In: Operations Research Proceedings 2011. Eds. Klatte, D, Luthi, HJ & Schmedders, K, Berlin-Heidelberg: Springer. DOI:10.1007/978-3-642-29210-1_4.

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Abstract

The paper revisits the issue of necessary optimality conditions for infinite horizon optimal control problems. It is proved that the normal form maximum principle holds with an explicitly specified adjoint variable if an appropriate relation between the discount rate, the growth rate of the solution and the growth rate of the objective function is satisfied. The main novelty is that the result applies to general non-stationary systems and the optimal objective value needs not be finite (in which case the concept of overtaking optimality is employed).

Item Type: Book Section
Research Programs: Advanced Systems Analysis (ASA)
Bibliographic Reference: In: D Klatte, HJ Luthi, K Schmedders (eds); Operations Research Proceedings 2011; Springer, Berlin-Heidelberg, Germany pp.21-26
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 08:47
Last Modified: 17 Feb 2016 12:33
URI: http://pure.iiasa.ac.at/10055

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