Value function,relaxation, and transversality conditions in infinite horizon optimal control |
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Authors: | P Cannarsa H Frankowska |
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Institution: | 1. Dipartimento di Matematica, Università di Roma “Tor Vergata”, Via della Ricerca Scientifica 1, 00133 Roma, Italy;2. CNRS, Institut de Mathématiques de Jussieu – Paris Rive Gauche, UMR 7586, Sorbonne Universités, UPMC Univ Paris 06, Case 247, 4 Place Jussieu, 75252 Paris, France |
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Abstract: | We investigate the value function of the infinite horizon problem in optimal control for a general—not necessarily discounted—running cost and provide sufficient conditions for its lower semicontinuity, continuity, and local Lipschitz regularity. Then we use the continuity of to prove a relaxation theorem and to write the first order necessary optimality conditions in the form of a, possibly abnormal, maximum principle whose transversality condition uses limiting/horizontal supergradients of at the initial point. When is merely lower semicontinuous, then for a dense subset of initial conditions we obtain a normal maximum principle augmented by sensitivity relations involving the Fréchet subdifferentials of . Finally, when V is locally Lipschitz, we prove a normal maximum principle together with sensitivity relations involving generalized gradients of V for arbitrary initial conditions. Such relations simplify drastically the investigation of the limiting behavior at infinity of the adjoint state. |
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Keywords: | Infinite horizon problem Value function Relaxation theorem Sensitivity relation Maximum principle |
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