Please use this identifier to cite or link to this item: http://hdl.handle.net/10995/102360
Title: Necessity of limiting co-state arcs in Bolza-type infinite horizon problem
Authors: Khlopin, D. V.
Issue Date: 2015
Publisher: Taylor and Francis Ltd.
Citation: Khlopin D. V. Necessity of limiting co-state arcs in Bolza-type infinite horizon problem / D. V. Khlopin. — DOI 10.1080/02331934.2014.971413 // Optimization. — 2015. — Vol. 64. — Iss. 11. — P. 2417-2440.
Abstract: We investigate necessary conditions of optimality for the Bolza-type infinite horizon problem with free right end. The optimality is understood in the sense of weakly uniformly overtaking optimal control. No previous knowledge in the asymptotic behaviour of trajectories or adjoint variables is necessary. Following Seierstad’s idea, we obtain the necessary boundary condition at infinity in the form of a transversality condition for the maximum principle. Those transversality conditions may be expressed in the integral form through an Aseev–Kryazhimskii-type formulae for co-state arcs. The connection between these formulae and limiting gradients of pay-off function at infinity is identified; several conditions under which it is possible to explicitly specify the co-state arc through those Aseev–Kryazhimskii-type formulae are found. For infinite horizon problem of Bolza type, an example is given to clarify the use of the Aseev–Kryazhimskii formula as an explicit expression of the co-state arc. © 2014 Taylor & Francis.
Keywords: INFINITE HORIZON PROBLEM
LIMITING SUBDIFFERENTIAL
OPTIMAL CONTROL
PROBLEM OF BOLZA TYPE
SHADOW PRICES
TRANSVERSALITY CONDITION FOR INFINITY
UNBOUNDED COST
UNIFORMLY OVERTAKING OPTIMAL CONTROL
URI: http://hdl.handle.net/10995/102360
Access: info:eu-repo/semantics/openAccess
SCOPUS ID: 84940579909
PURE ID: 306829
8923afd8-4648-48b6-b845-12ee1139594e
ISSN: 2331934
DOI: 10.1080/02331934.2014.971413
Appears in Collections:Научные публикации, проиндексированные в SCOPUS и WoS CC

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