CONDITIONAL COST FUNCTION AND NECESSARY OPTIMALITY CONDITIONS FOR INFINITE HORIZON OPTIMAL CONTROL PROBLEMS

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Abstract

Infinite horizon optimal control problem with general endpoint constraints is reduced to a family of standard problems on finite time intervals containing the value of the conditional cost of the phase vector as a terminal term. New version of the Pontryagin maximum principle containing an explicit characterization of the adjoint variable is obtained for the problem with a general asymptotic endpoint constraint. In the case of the problem with free final state this approach leads to a normal form version of the maximum principle formulated completely in the terms of the conditional cost function.

About the authors

S. M. Aseev

Steklov Mathematical Institute of Russian Academy of Sciences; Lomonosov Moscow State University

Author for correspondence.
Email: aseev@mi-ras.ru
Russian Federation, Moscow; Russian Federation, Moscow

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