Pontryagin Type Maximum Principle for Budget-Constrained Infinite Horizon Optimal Control Problems with Linear Dynamics
- In this paper a class of infinite horizon optimal control problems with an isoperimetrical constraint, also interpreted as a budget constraint, is considered. Herein a linear both in the state and in the control dynamic is allowed. The problem setting includes a weighted Sobolev space as the state space. For this class of problems, we establish the necessary optimality conditions in form of a Pontryagin Type Maximum Principle including a transversality condition. The proved theoretical result is applied to a linear-quadratic regulator problem.
Author: | Sabine PickenhainGND, Valeriya Lykina |
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Publisher: | Brandenburgische Technische Universität, Mathematisches Institut |
Place of publication: | Cottbus-Senftenberg |
Document Type: | Report |
Language: | English |
Year of publication: | 2017 |
Tag: | Pontryagin Type Maximum Principle; budget constraint; infinite horizon; linear-quadratic regulator; optimal control; weighted Sobolev spaces |
Number of pages: | 22 |
Series ; volume number: | Reihe Mathematik: Preprint ; 2017,1 |
Faculty/Chair: | Fakultät 1 MINT - Mathematik, Informatik, Physik, Elektro- und Informationstechnik / FG Mathematik insbesondere Optimierung |