The Pontryagin Maximum Principle for Infinite-Horizon Optimal Controls

Aseev SM & Kryazhimskiy AV (2003). The Pontryagin Maximum Principle for Infinite-Horizon Optimal Controls. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-03-013

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Abstract

this paper (motivated by recent works on optimization of long-term economic growth) suggests some further developments in the theory of first-order necessary optimality conditions for problems of optimal control with infinite time horizons. We describe an approximation technique involving auxiliary finite-horizon optimal control problems and use it to prove new versions of the Pontryagin maximum principle. A special attention is paid to behavior of the adjoint variables and the Hamiltonian. Typical cases, in which standard transversality conditions hold at infinity, are described. Several significant earlier results are generalized.

Item Type: Monograph (IIASA Interim Report)
Research Programs: Dynamic Systems (DYN)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:15
Last Modified: 29 Oct 2016 23:37
URI: http://pure.iiasa.ac.at/7068

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