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Necessary Optimality Conditions in Discrete Nonsmooth Optimal Control

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Abstract

In this paper, we provide a simple proof of the maximum principle for a nonsmooth discrete-time optimal control problem. The methodology is general and encompasses all generalized derivatives for which the Lagrange multiplier rule and the chain rule hold. This includes, but is not limited to, limiting (Mordukhovich) and Michel–Penot subdifferentials.

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Authors and Affiliations

  1. Dept. of Mathematics and Computer Science, Penn State Harrisburg, Middletown, PA, 17110, USA

    Ilya Shvartsman

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  1. Ilya Shvartsman
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Correspondence to Ilya Shvartsman.

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Communicated by Boris Vexler.

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Shvartsman, I. Necessary Optimality Conditions in Discrete Nonsmooth Optimal Control. J Optim Theory Appl 153, 578–586 (2012). https://doi.org/10.1007/s10957-011-9978-0

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  • DOI: https://doi.org/10.1007/s10957-011-9978-0

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