A Pontryagin principle for infinite-horizon problems under constraints

Joël Blot (1)

1 SAMM - Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne)

We establish a new Pontryagin principle for discrete-time infinite-horizon Optimal Control problems when the control variable depends on the state variable. Our method use a reduction to finite-horizon problems.

Mots clés: Pontryagin principle; infinite horizon; difference equation; difference inequation; optimal control

Domaines: Optimisation et contrôle [math.OC]

Joël Blot. A Pontryagin principle for infinite-horizon problems under constraints. Dynamics of Continuous, Discrete and Impulsive Systems, series B: Applications & algorithms, 2012, 19, pp.267-275. ⟨hal-00662497⟩