Conjugate Points and Shocks in Nonlinear Optimal Control

Frankowska, H. & Caroff, N. (1994). Conjugate Points and Shocks in Nonlinear Optimal Control. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-94-056

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In this paper the authors use the method of characteristics to extend the Jacobi conjugate points theory to the Bolza problem arising in nonlinear optimal control. This yields necessary and sufficient optimality conditions for weak and strong local minima stated in terms of the existence of a solution to a corresponding matrix Riccati differential equation. The same approach allows to investigate as well smoothness of the value function.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Dynamic Systems (DYN)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:04
Last Modified: 27 Aug 2021 17:14

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