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A necessary and sufficient condition for non-smooth linear-state optimal control problems

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  • Martimort, David
  • Stole, Lars

Abstract

We present a set of necessary and sufficient conditions for a class of optimal control problems with pure state constraints for which the objective function is linear in the state variable but the objective function is otherwise only restricted to be upper semicontinuous in the control variable.

Suggested Citation

  • Martimort, David & Stole, Lars, 2009. "A necessary and sufficient condition for non-smooth linear-state optimal control problems," MPRA Paper 32887, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:32887
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    References listed on IDEAS

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    1. Jullien, Bruno, 2000. "Participation Constraints in Adverse Selection Models," Journal of Economic Theory, Elsevier, vol. 93(1), pages 1-47, July.
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    More about this item

    Keywords

    Optimal control; non-smooth optimization; convex analysis;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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