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.

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Metadaten
Author: Sabine PickenhainGND, Valeriya Lykina
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
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