We consider a class of linear-quadratic infinite horizon optimal control problems in Lagrange form involving the Lebesgue integral in the objective. The key idea is to introduce weighted Sobolev spaces W 1 2 (IR + , μ) as state spaces and weighted Lebesgue spaces L 2 (IR + , μ) as control spaces into the problem setting. Then, the problem becomes an optimization problem in Hilbert spaces. We use the weight functions μ(t) = e ρt , ρ = 0 in our consideration. This problem setting gives us the possibility to extend the admissible set and simultaneously to be sure that the adjoint variable belongs to a Hilbert space too. For the class of problems proposed, existence results as well as a Pontryagin-type Maximum Principle, as necessary and sufficient optimality condition, can be shown. Based on this principle we develop a Galerkin method, coupled with the Gauss-Laguerre quadrature formulas as discretization scheme, to solve the problem numerically. Results are presented for the introduced model and different weight functions.
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