In this paper, we provide a simple proof of the maximum principle for a nonsmooth discrete-time optimal control problem. The methodology is general and encompasses all generalized derivatives for which the Lagrange multiplier rule and the chain rule hold. This includes, but is not limited to, limiting (Mordukhovich) and Michel-Penot subdifferentials.
All Science Journal Classification (ASJC) codes
- Control and Optimization
- Management Science and Operations Research
- Applied Mathematics