Infinite horizon optimal control: Transversality conditions and sensitivity relations

@article{Cannarsa2017InfiniteHO,
  title={Infinite horizon optimal control: Transversality conditions and sensitivity relations},
  author={Piermarco Cannarsa and H{\'e}l{\`e}ne Frankowska},
  journal={2017 American Control Conference (ACC)},
  year={2017},
  pages={2630-2635}
}
We investigate the infinite horizon problem in optimal control with a general—not necessarily discounted—running cost. The dynamic programming approach associates to it the value function V that may be discontinuous and may take infinite values. In general, the first order necessary optimality conditions have the form of a maximum principle, that may be abnormal and does not include any transversality condition. We show that a normal maximum principle and a sensitivity relation involving the Fr… CONTINUE READING
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