A discrete maximum principle concerning the optimal cost of deterministic control problems

1982 ◽  
pp. 165-173
Author(s):  
R. Gonzalez ◽  
E. Rofman
Keyword(s):  
Maximum Principle ◽  
Discrete Maximum Principle ◽  
Control Problems ◽  
Optimal Cost ◽  
Deterministic Control

Strong Lagrange duality and the maximum principle for nonlinear discrete time optimal control problems

2019 ◽  
Vol 25 ◽  
pp. 20
Author(s):  
Eero V. Tamminen
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Discrete Time ◽  
Optimal Control Problems ◽  
Discrete Maximum Principle ◽  
Control Problems ◽  
Convexity Condition ◽  
Lagrange Duality ◽  
The Maximum Principle ◽  
Time Optimal

We examine discrete-time optimal control problems with general, possibly non-linear or non-smooth dynamic equations, and state-control inequality and equality constraints. A new generalized convexity condition for the dynamics and constraints is defined, and it is proved that this property, together with a constraint qualification constitute sufficient conditions for the strong Lagrange duality result and saddle-point optimality conditions for the problem. The discrete maximum principle of Pontryagin is obtained in a straightforward manner from the strong Lagrange duality theorem, first in a new form in which the Lagrangian is minimized both with respect to the state and to the control variables. Assuming differentiability, the maximum principle is obtained in the usual form. It is shown that dynamic systems satisfying a global controllability condition with convex costs, have the required convexity property. This controllability condition is a natural extension of the customary directional convexity condition applied in the derivation of the discrete maximum principle for local optima in the literature.

Sign in / Sign up

Export Citation Format

Share Document