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Mathematics  2014 

Sensitivity relations for the Mayer problem with differential inclusions

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Abstract:

In optimal control,sensitivity relations are usually understood as inclusions that identify the pair formed by the dual arc and the Hamiltonian, evaluated along the associated minimizing trajectory, as a suitable generalized gradient of the value function. In this paper, sensitivity relations are obtained for the Mayer problem associated with the differential inclusion $\dot x\in F(x)$ and applied to derive optimality conditions. Our first application concerns the maximum principle and consists in showing that a dual arc can be constructed for every element of the superdifferential of the final cost. As our second application, with every nonzero limiting gradient of the value function at some point $(t,x)$ we associate a family of optimal trajectories at $(t,x)$ with the property that families corresponding to distinct limiting gradients have empty intersection.

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