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A necessary and sufficient condition for non-smooth linear-state optimal control problems

Martimort, David and Stole, Lars (2009): A necessary and sufficient condition for non-smooth linear-state optimal control problems.

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Abstract

We present a set of necessary and sufficient conditions for a class of optimal control problems with pure state constraints for which the objective function is linear in the state variable but the objective function is otherwise only restricted to be upper semicontinuous in the control variable.

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