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JOURNALS // Trudy Instituta Matematiki i Mekhaniki UrO RAN // Archive

Trudy Inst. Mat. i Mekh. UrO RAN, 2018 Volume 24, Number 1, Pages 76–92 (Mi timm1498)

This article is cited in 5 papers

Variations of the $v$-change of time in problems with state constraints

A. V. Dmitrukab, N. P. Osmolovskiicd

a Central Economics and Mathematics Institute Russian Academy of Sciences, Moscow
b Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
c Moscow State University of Civil Engineering
d University of Technology and Humanities in Radom

Abstract: For a general optimal control problem with a state constraint, we propose a proof of the maximum principle based on a $v$-change of the time variable $t\mapsto \tau,$ under which the original time becomes yet another state variable subject to the equation $dt/d\tau = v(\tau),$ while the additional control $v(\tau)\ge 0$ is piecewise constant and its values are arguments of the new problem. Since the state constraint generates a continuum of inequality constraints in this problem, the necessary optimality conditions involve a measure. Rewriting these conditions in terms of the original problem, we get a nonempty compact set of collections of Lagrange multipliers that fulfil the maximum principle on a finite set of values of the control and time variables corresponding to the $v$-change. The compact sets generated by all possible piecewise constant $v$-changes are partially ordered by inclusion, thus forming a centered family. Taking any element of their intersection, we obtain a universal optimality condition, in which the maximum principle holds for all values of the control and time.

Keywords: Pontryagin maximum principle, $v$-change of time, state constraint, semi-infinite problem, Lagrange multipliers, Lebesgue-Stieltjes measure, function of bounded variation, finite-valued maximum condition, centered family of compact sets.

UDC: 517.97

MSC: 49K15

Received: 26.07.2017

DOI: 10.21538/0134-4889-2018-24-1-76-92


 English version:
Proceedings of the Steklov Institute of Mathematics (Supplementary issues), 2019, 305, suppl. 1, S49–S64

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