Existence of Lagrange multipliers under Gâteaux differentiable data with applications to stochastic optimal control problems

DOI10.1137/18M1223411MaRDI QIDQ5215516zbMATH OpenFDO

Authors Francisco J. Silva, Abderrahim Jourani

Publication date 12 February 2020

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

Full work available at URL https://arxiv.org/abs/1810.11617

zbMATH Keywords

calmnessGâteaux differentiabilityLagrange multipliersmetric regularityoptimality conditionsstochastic optimal control problems

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Optimality conditions for problems in abstract spaces (49K27) Optimal stochastic control (93E20)

Abstract: The main objective of this work is to study the existence of Lagrange multipliers for infinite dimensional problems under G^ateux differentiability assumptions on the data. Our investigation follows two main steps: the proof of the existence of Lagrange multipliers under a calmness assumption on the constraints and the study of sufficient conditions, which only use the G^ateaux derivative of the function defining the constraint, that ensure this assumption.

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Cited in

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