Budget-constrained infinite horizon optimal control problems with linear dynamics

A pseudospectral method for budget-constrained infinite horizon optimal control problems

“…Moreover, the conditions of the existence Theorem, cf. Theorem 1 in [11], are fulfilled as well. Now, with the aim of comparison, we apply the indirect pseudo-spectral method from the previous section to arrive at the numerical solution of the budgetconstrained linear-quadratic optimal control problem.…”

“…Under Assumptions 1 -6, the problem (P ) B ∞ possesses an optimal solution, cf. [11]. Further, the following necessary optimality conditions in form of a Pontryagin Type Maximum Principle hold true, cf.…”

“…Theoretical results concerning the existence of optimal solutions and necessary optimality conditions in form of a Pontryagin Type Maximum Principle for this class of problems were considered in [11], [13].…”