The Pontryagin Maximum Principle and Transversality Conditions for a Class of Optimal Control Problems with Infinite Time Horizons

Aseev SM & Kryazhimskiy AV (2005). The Pontryagin Maximum Principle and Transversality Conditions for a Class of Optimal Control Problems with Infinite Time Horizons. IIASA Research Report (Reprint). IIASA, Laxenburg, Austria: RP-05-003. Reprinted from SIAM Journal on Control and Optimization, 43(3):1094-1119 [2004].

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Abstract

This paper 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. Special attention is paid to the 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 Research Report (Reprint))
Research Programs: Dynamic Systems (DYN)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:18
Last Modified: 19 Jul 2016 07:09
URI: http://pure.iiasa.ac.at/7841

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