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Operations Research Proceedings 2011 pp 21–26Cite as

Necessary Optimality Conditions for Improper Infinite-Horizon Control Problems

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Abstract

The paper revisits the issue of necessary optimality conditions for infinitehorizon optimal control problems. It is proved that the normal form maximum principle holds with an explicitly specified adjoint variable if an appropriate relation between the discount rate, the growth rate of the solution and the growth rate of the objective function is satisfied. The main novelty is that the result applies to general non-stationary systems and the optimal objective value needs not be finite (in which case the concept of overtaking optimality is employed).

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Author information

Authors and Affiliations

  1. International Institute for Applied Systems Analysis, Schlossplatz 1, A-2361, Laxenburg, Austria

    Sergey M. Aseev

  2. Steklov Mathematical Institute, Gubkina 8, 119991, Moscow, Russia

    Sergey M. Aseev

  3. Institute of Mathematical Methods in Economics, Vienna University of Technology, Argentinierstr. 8/E105-4, A-1040, Vienna, Austria

    Vladimir M. Veliov

Authors
  1. Sergey M. Aseev
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  2. Vladimir M. Veliov
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Corresponding author

Correspondence to Sergey M. Aseev .

Editor information

Editors and Affiliations

  1. Institut für, Betriebswirtschaftslehre, Universität Zürich, Moussonstrasse, Zurich, 8044, Switzerland

    Diethard Klatte

  2. Inst. Operations Research, ETH Zürich, Rämistr. 101, Zürich, 8092, Switzerland

    Hans-Jakob Lüthi

  3. Institut für, Betriebswirtschaftslehre, Universität Zürich, Moussonstrasse 15, Zurich, 8044, Switzerland

    Karl Schmedders

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© 2012 Springer-Verlag Berlin Heidelberg

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Aseev, S.M., Veliov, V.M. (2012). Necessary Optimality Conditions for Improper Infinite-Horizon Control Problems. In: Klatte, D., Lüthi, HJ., Schmedders, K. (eds) Operations Research Proceedings 2011. Operations Research Proceedings. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-29210-1_4

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