Some existence and regularity results for dual linear control problems (Q1065346)

Results analogous to those for continuous time programming are obtained for the linear optimal control problem: \[ \text{minimize } \ell \left(x(t_ 0),x(t_1)\right) + \int^{t_1}_{t_0} [a(t)x(t) + b(t)u(t)] dt \] \[ \text{subject to } \dot x(t) = A(t)x(t) + B(t)u(t) + c(t), \quad C(t)x(t) + D(t)u(t) + d(t)\geq 0, \quad u(t)\geq 0. \] To overcome discontinuities in the state vector a modified version of this problem is considered. A dual problem is given: \[ \text{minimize } m\left(p(t_0),p(t_1)\right) + \int^{t_ 1}_{t_0} [p(t)c(t) + w(t)d(t)]dt \] \[ \text{subject to } \dot p(t) = -p(t)A(t) -w(t)C(t) +a(t), \quad p(t)B(t) + w(t)D(t) - b(t)\leq 0, \quad w(t) \geq 0 \] where \(m(p_ 0,p_ 1) = \sup_{x_0,x_1}\left\{p_0x_0-p_1x_1- \ell(x_0,x_1)\right\}\). Duality and existence theorems are given. The relationship to continuouslinear programming and nonlinear control problems is discussed.