Nonsmooth maximum principle for infinite-horizon problems
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In this paper, we consider a class of infinite-horizon discounted optimal control problems with nonsmooth problem data. A maximum principle in terms of differential inclusions with a Michel type transversality condition is given. It is shown that, when the discount rate is sufficiently large, the problem admits normal multipliers and a strong transversality condition holds. A relationship between dynamic programming and the maximum principle is also given.
Key WordsInfinite-horizon problems optimal control transversality condition maximum principle nonsmooth analysis
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