Strong Lagrange duality and the maximum principle for nonlinear discrete time optimal control problems

Department of Mathematics and Systems Analysis, Aalto University, 00076 Aalto, Helsinki, Finland

^* Corresponding author: eero.tamminen@pp2.inet.fi

Received: 9 March 2017
Accepted: 2 February 2018

Abstract

We examine discrete-time optimal control problems with general, possibly non-linear or non-smooth dynamic equations, and state-control inequality and equality constraints. A new generalized convexity condition for the dynamics and constraints is defined, and it is proved that this property, together with a constraint qualification constitute sufficient conditions for the strong Lagrange duality result and saddle-point optimality conditions for the problem. The discrete maximum principle of Pontryagin is obtained in a straightforward manner from the strong Lagrange duality theorem, first in a new form in which the Lagrangian is minimized both with respect to the state and to the control variables. Assuming differentiability, the maximum principle is obtained in the usual form. It is shown that dynamic systems satisfying a global controllability condition with convex costs, have the required convexity property. This controllability condition is a natural extension of the customary directional convexity condition applied in the derivation of the discrete maximum principle for local optima in the literature.