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Necessary Optimality Conditions for Improper Infinite-Horizon Control Problems

In: Operations Research Proceedings 2011

Author

Listed:
  • Sergey M. Aseev

    (International Institute for Applied Systems Analysis
    Steklov Mathematical Institute)

  • Vladimir M. Veliov

    (Vienna University of Technology)

Abstract

The paper revisits the issue of necessary optimality conditions for infinitehorizon 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).

Suggested Citation

  • Sergey M. Aseev & Vladimir M. Veliov, 2012. "Necessary Optimality Conditions for Improper Infinite-Horizon Control Problems," Operations Research Proceedings, in: Diethard Klatte & Hans-Jakob Lüthi & Karl Schmedders (ed.), Operations Research Proceedings 2011, edition 127, pages 21-26, Springer.
    • Handle: RePEc:spr:oprchp:978-3-642-29210-1_4
    DOI: 10.1007/978-3-642-29210-1_4
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