Necessary optimality conditions for optimal control problems with equilibrium constraints

DOI10.1137/15M1013493MaRDI QIDQ2827481zbMATH OpenOpenAlexFDO

Authors Lei Guo, Jane J. Ye

Publication date 20 October 2016

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.00158

zbMATH Keywords

Clarke stationarityMordukhovich stationaritynecessary optimality conditionoptimal control problem with equilibrium constraintsstrong stationarityweak stationarity

Mathematics Subject Classification ID

Optimality conditions for problems involving ordinary differential equations (49K15) Optimality conditions for problems involving relations other than differential equations (49K21) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Abstract: This paper introduces and studies the optimal control problem with equilibrium constraints (OCPEC). The OCPEC is an optimal control problem with a mixed state and control equilibrium constraint formulated as a complementarity constraint and it can be seen as a dynamic mathematical program with equilibrium constraints. It provides a powerful modeling paradigm for many practical problems such as bilevel optimal control problems and dynamic principal-agent problems. In this paper, we propose weak, Clarke, Mordukhovich and strong stationarities for the OCPEC. Moreover, we give some sufficient conditions to ensure that the local minimizers of the OCPEC are Fritz John type weakly stationary, Mordukhovich stationary and strongly stationary, respectively. Unlike Pontryagain's maximum principle for the classical optimal control problem with equality and inequality constraints, a counter example shows that for general OCPECs, there may exist two sets of multipliers for the complementarity constraints. A condition under which these two sets of multipliers coincide is given.

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