Abstract
In this paper, we consider a class of infinite-horizon discounted optimal control problems with nonsmooth problem data. A maximum principle in terms of differential inclusions with a Michel type transversality condition is given. It is shown that, when the discount rate is sufficiently large, the problem admits normal multipliers and a strong transversality condition holds. A relationship between dynamic programming and the maximum principle is also given.
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Communicated by H. Halkin
The author is indebted to Francis Clarke for helpful suggestions and discussions.
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Ye, J.J. Nonsmooth maximum principle for infinite-horizon problems. J Optim Theory Appl 76, 485–500 (1993). https://doi.org/10.1007/BF00939379
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DOI: https://doi.org/10.1007/BF00939379