CIRANO /Summary / A New Proof Of The Maximum Principle

A New Proof Of The Maximum Principle

We offer a new proof of the maximum principle for optimal control problems with fixed endpoint. We allow for inequality constraints involving state variables and control variables. Our proof relies on an application of the envelope theorem.

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Release date January 1, 2002

Reference number 2002s-04

Author(s) Ngo Van Long and Koji Shimomura

Publication type Working Papers

Keywords Maximum Principle, Envelope Theorem

Référence bibliographique Long, N. V., & Shimomura, K. (2002). A New Proof Of The Maximum Principle (2002s-04, Working Papers, CIRANO.) https://www.cirano.qc.ca/en/summaries/2002s-04

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