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Nonsmooth maximum principle for infinite-horizon problems

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Abstract

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.

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Authors and Affiliations

  1. Department of Mathematics and Statistics, University of Victoria, British Columbia, Canada

    J. J. Ye (Assistant Professor)

Authors
  1. J. J. Ye
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Additional information

Communicated by H. Halkin

The author is indebted to Francis Clarke for helpful suggestions and discussions.

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Ye, J.J. Nonsmooth maximum principle for infinite-horizon problems. J Optim Theory Appl 76, 485–500 (1993). https://doi.org/10.1007/BF00939379

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  • DOI: https://doi.org/10.1007/BF00939379

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