Publications in Scientific Journals:
V. Lykina, S. Pickenhain:
"Pontryagin Type Maximum Principle for budget-constrained infinite horizon optimal control problems with linear dynamics";
Journal of Mathematical Analysis and Applications,
457
(2018),
2;
1591
- 1612.
English abstract:
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.
Keywords:
Budget constraint, Infinite horizon, Optimal control, Pontryagin Type Maximum Principle, Weighted Sobolev spaces, Linear-quadratic regulator
"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)
http://dx.doi.org/10.1016/j.jmaa.2017.08.002
Created from the Publication Database of the Vienna University of Technology.