7 research outputs found
Necessary Conditions In Infinite-Horizon Control Problem That Need No Asymptotic Assumptions
We consider a Bolza-type infinite-horizon control problem with free right
end. We propose a modification of Halkin's general construction of necessary
conditions of optimality in which the transversality condition is obtained
through the theorems on stability of subdifferentials. For the weakly
overtaking criterion, a necessary boundary condition on co-state arc is
deduced, regardless of any assumptions on the asymptotic behavior of
trajectories, adjoint variables, or their derivatives. Regardless of any
assumptions, the Pontryagin Maximum Principle with this boundary condition
allows to educe some convex hull of co-state arcs, corresponding to the convex
subdifferential of payoff function (fixing the optimal control) at infinity. In
the case of smooth payoff function at infinity, this condition educes the
unique co-state arc, and the corresponding co-state arc coincides with the
solution of the Cauchy-type formula proposed by S.M.Aseev and A.V.Kryazhimskii.
These results are illustrated with a pair of examples