Direct Problem: The Euler Equation Approach
作者： David González-Sánchez , Onésimo Hernández-Lerma
DOI: 10.1007/978-3-319-01059-5_2
关键词: Stiff equation 、 Riemann problem 、 Mathematics 、 Semi-implicit Euler method 、 Euler equations 、 Mathematical analysis 、 Euler method 、 Backward Euler method 、 Optimal control 、 Transversality
摘要: This chapter concerns deterministic and stochastic nonstationary discrete-time optimal control problems (OCPs) with an infinite horizon. We show, using Gâteaux differentials, that the so-called Euler equation (EE) a transversality condition (TC) are necessary conditions for optimality. In particular, TC is obtained in more general form under milder hypotheses than previous works. Sufficient also provided. find closed-form solutions to several (discounted) stationary problems. The results this come from Gonzalez–Sanchez Hernandez–Lerma [37].
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