Necessary Optimality Conditions in Discrete Nonsmooth Optimal Control

Ilya Shvartsman ()
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Ilya Shvartsman: Penn State Harrisburg

Journal of Optimization Theory and Applications, 2012, vol. 153, issue 3, No 2, 578-586

Abstract: Abstract In this paper, we provide a simple proof of the maximum principle for a nonsmooth discrete-time optimal control problem. The methodology is general and encompasses all generalized derivatives for which the Lagrange multiplier rule and the chain rule hold. This includes, but is not limited to, limiting (Mordukhovich) and Michel–Penot subdifferentials.

Keywords: Optimal control; Discrete systems; Nonsmooth analysis; Subdifferential (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10957-011-9978-0

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