Necessary Optimality Conditions for Improper Infinite-Horizon Control Problems

Sergey M. Aseev () and Vladimir M. Veliov ()
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Sergey M. Aseev: International Institute for Applied Systems Analysis
Vladimir M. Veliov: Vienna University of Technology

A chapter in Operations Research Proceedings 2011, 2012, pp 21-26 from Springer

Abstract: 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).

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-642-29210-1_4

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DOI: 10.1007/978-3-642-29210-1_4

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