On using of bundle methods in nondifferentiable optimal control problems. (English) Zbl 0607.49020

Outrata, J. V.; Schindler, Z.

Probl. Control Inf. Theory 15, 275-285 (1986).

Restrictive hypotheses are given under which an element of Clarke’s generalized gradient set can be computed for use in a descent algorithm. The hypotheses are verified in two economic applications. Although the ”bundle method” is never described in detail, numerical results of its application are given for a certain discrete-time optimal control problem with a dead band.

Reviewer: P.Loewen

MSC:

90C52	Methods of reduced gradient type
49J52	Nonsmooth analysis
65K10	Numerical optimization and variational techniques
91B28	Finance etc. (MSC2000)
93C55	Discrete-time control/observation systems
49J99	Existence theories in calculus of variations and optimal control

Keywords:

Clarke’s generalized gradient; economic applications; bundle method; discrete-time optimal control