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IMA Journal of Mathematical Control and Information 1992 9(3):197-220; doi:10.1093/imamci/9.3.197
© 1992 by Institute of Mathematics and its Applications
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A variational approach to the discrete maximum principle

R. PYTLAK

Centre for Process Systems Engineering, Imperial College of Science, Technology and Medicine London, SW1 2BY, UK{dagger}

In this paper, the nondifferentiable optimal control problem with discrete time is considered. For this problem, the discrete maximum principle is derived under weak assumptions concerning the performance index and inequality constraints. The technique of the proof is also used to formulate a globaily convergent algorithm based on the discrete maximum principle. At every iteration of this algorithm, a convex optimal control problem must be solved. An efficient version of a proximity algorithm is proposed for this convex problem.


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