Lightenings of assumptions for Pontryagin principles in infinite horizon and discrete time

DOI10.1007/S10957-016-0971-5MaRDI QIDQ2359770zbMATH OpenOpenAlexFDO

Authors Thoi-Nhan Ngo, Joël Blot

Publication date 22 June 2017

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.08147

zbMATH Keywords

discrete-timeGateaux differentiabilityinfinite-horizon optimal controlPontryagin's maximum principleweak maximum principle

Mathematics Subject Classification ID

Difference equations (39A99) Existence theories for optimal control problems involving relations other than differential equations (49J21) Fréchet and Gateaux differentiability in optimization (49J50) Numerical mathematical programming methods (65K05)

Abstract: In the infinite-horizon and discrete-time framework we establish maximum principles of Pontryagin under assumptions which weaker than these ones of existing results. We avoid several assumptions of continuity and of Fr{'e}chet-differentiability and of linear independence. MSC 2010: 49J21, 65K05, 39A99.

Review text

The aim of this paper is to establish maximum principles of Pontryagin type under assumptions which are weaker than those of existing results. Authors establish weak maximum principles where the values of the optimal control belong to the interior of the sets of controls for systems which are governed by difference inequations. These results are new and only use the Gateaux differentiability of the criterion, of the vector field and of the inequality constraints. Neither continuity nor Frechet differentiability is necessary. Also, authors establish a weak maximum principle when the sets of controls are defined by inequalities when the system is governed by difference inequations. This result also only uses the Gateaux differentiability of the criterion, of the vector field and of the inequality constraints and a condition of separation of the origin and of the convex hull of the Gateaux differentials of the inequalities constraints in the spirit of a Mangarasian-Fromowitz condition. Secondly, they establish a weak maximum principle when the sets of controls are defined by equalities and inequalities when the system is governed by a difference inequation.

Recommendations

• Infinite-horizon Pontryagin principles with constraints
• Infinite-horizon Pontryagin principles without invertibility
• Infinite-horizon discrete-time Pontryagin principles via results of Michel
• Infinite horizon discrete time control problems for bounded processes
• Pontryagin principles in infinite horizon in the presence of asymptotical constraints

Cites work

• Discrete time Pontryagin principles with infinite horizon
• scientific article; zbMATH DE number 52448 (Why is no real title available?)
• scientific article; zbMATH DE number 6165827 (Why is no real title available?)
• Infinite-horizon discrete-time Pontryagin principles via results of Michel
• Infinite-horizon optimal control in the discrete-time framework
• Infinite-horizon Pontryagin principles without invertibility
• On the multiplier rules
• Semidifferentiable functions and necessary optimality conditions

Cited in

(6)

• The maximum principle for discrete-time control systems and applications to dynamic games
• Necessary conditions of Pareto optimality for multiobjective optimal control problems under constraints
• Infinite-horizon Pontryagin principles without invertibility
• Pontryagin's maximum principle for dynamic systems on time scales
• Infinite Dimensional Multipliers and Pontryagin Principles for Discrete-Time Problems
• Discrete time Pontryagin principles in Banach spaces

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