A Weak Maximum Principle for Discrete Optimal Control Problems with Mixed Constraints

Roberto Andreani (), John Frank Matos Ascona () and Valeriano Antunes Oliveira ()
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Roberto Andreani: State University of Campinas (Unicamp)
John Frank Matos Ascona: State University of Mato Grosso (UNEMAT)
Valeriano Antunes Oliveira: São Paulo State University (UNESP)

Journal of Optimization Theory and Applications, 2024, vol. 203, issue 1, No 21, 562-599

Abstract: Abstract In this study, first-order necessary optimality conditions, in the form of a weak maximum principle, are derived for discrete optimal control problems with mixed equality and inequality constraints. Such conditions are achieved by using the Dubovitskii–Milyutin formalism approach. Nondegenerate conditions are obtained under the constant rank of the subspace component (CRSC) constraint qualification, which is an important generalization of both the Mangasarian–Fromovitz and constant rank constraint qualifications. Beyond its theoretical significance, CRSC has practical importance because it is closely related to the formulation of optimization algorithms. In addition, an instance of a discrete optimal control problem is presented in which CRSC holds while other stronger regularity conditions do not.

Keywords: Discrete optimal control problems; Mixed constraints; Nondegenerate necessary optimality conditions; Discrete maximum principle; Constant rank of the subspace component constraint qualification; 49K99; 90C99; 93C55 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10957-024-02524-0

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