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Optimal control on an infinite domain

Published online by Cambridge University Press:  17 February 2009

B. D. Craven
B. D. Craven
Affiliation:
Department of Mathematics and Statistics, University of Melbourne, VIC 3010, Australia; e-mail: craven@ms.unimelb.edu.au.
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Abstract

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For an optimal control problem with an infinite time horizon, assuming various terminal state conditions (or none), terminal conditions for the costate are obtained when the state and costate tend to limits with a suitable convergence rate. Under similar hypotheses, the sensitivity of the optimum to small perturbations is analysed, and in particular the stability of the optimum when the infinite horizon is truncated to a large finite horizon. An infinite horizon version of Pontryagin's principle is also obtained. The results apply to various economic models.

Information

Type
Research Article
Information
The ANZIAM Journal , Volume 47 , Issue 2 , October 2005, pp. 143 - 153
Copyright
Copyright © Australian Mathematical Society 2005

References

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