Impulse Control in Operations Research: Necessary Optimality Conditions, Sufficiency and Existence (replaced by CentER DP 2011-133)

M. Chahim, R.F. Hartl, P.M. Kort

Research output: Working paperDiscussion paperOther research output

Abstract

This paper considers a class of optimal control problems that allows jumps in the state variable. We present the necessary optimality conditions of the Impulse Control Maximum Principle based on the current value formulation. By reviewing the existing impulse control models in the literature, we point out that meaningful problems do not satisfy the sufficiency conditions. In particular, such problems either have a concave cost function, contain a fixed cost, or have a control-state interaction, which have in common that they each violate the concavity property of the underlying model. The implication is that the corresponding problem in principle has multiple solutions that satisfy the necessary optimality conditions. Moreover, we argue that problems with fixed cost do not satisfy the conditions under which the necessary optimality conditions can be applied. However, we design a transformation, which ensures that the application of the Impulse Control Maximum Principle still provides the optimal solution. Finally, we show for the first time that for some existing models in the literature no optimal solution exists.
Original languageEnglish
Place of PublicationTilburg
PublisherOperations research
Volume2011-052
Publication statusPublished - 2011

Publication series

NameCentER Discussion Paper
Volume2011-052

Keywords

  • Impulse Control Maximum Principle
  • Optimal Control
  • discrete continuous system
  • state-jumps
  • present value formulation

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