First Order Necessary Optimality Conditions for a Class of Infinite Horizon Optimal Control Problems
Authors: Aseev SM, Kryazhimskiy AV, Tarasyev AM
Publication Year: 2001
Reference: IIASA Interim Report IR-01-007
Abstract
In this paper we investigate a class of nonlinear infinite horizon optimal control problems arising in mathematical economics in consideration of economic growth problems and problems of innovations dynamics. First order necessary optimality conditions in a form of the Pontryagin maximum principle are developed together with some extra conditions on the adjoint function and the behavior of the Hamiltonian at the infinity. These conditions allow us to guarantee in some cases the validity of the standard transversality conditions at the infinity.