Nonsmooth maximum principle for infinite-horizon problems
Nonsmooth maximum principle for infinite-horizon problems
复制标题
无限范围问题的非光滑极大值原理
DOI：
10.1007/bf00939379
复制
发表时间：
1993
影响因子：
1.9
通讯作者：
J. Ye
中科院分区：
文献类型：
--
作者：
J. Ye
在本文中，我们考虑一类具有非光滑问题数据的无限范围贴现最优控制问题。给出了具有 Michel 型横向条件的微分包含体的极大值原理。结果表明，当贴现率足够大时，该问题承认正态乘数，并且强横向条件成立。还给出了动态规划与极大值原理之间的关系。
In this paper, we consider a class of infinite-horizon discounted optimal control problems with nonsmooth problem data. A maximum principle in terms of differential inclusions with a Michel type transversality condition is given. It is shown that, when the discount rate is sufficiently large, the problem admits normal multipliers and a strong transversality condition holds. A relationship between dynamic programming and the maximum principle is also given.