Paper 4, Section II, K

Optimization and Control
Part II, 2016

State transversality conditions that can be used with Pontryagin's maximum principle and say when they are helpful.

Given TT, it is desired to maximize c1x1(T)+c2x2(T)c_{1} x_{1}(T)+c_{2} x_{2}(T), where

x˙1=u1(a1x1+a2x2),x˙2=u2(a1x1+a2x2),\begin{aligned} &\dot{x}_{1}=u_{1}\left(a_{1} x_{1}+a_{2} x_{2}\right), \\ &\dot{x}_{2}=u_{2}\left(a_{1} x_{1}+a_{2} x_{2}\right), \end{aligned}

and u=(u1,u2)u=\left(u_{1}, u_{2}\right) is a time-varying control such that u10,u20u_{1} \geqslant 0, u_{2} \geqslant 0 and u1+u2=1u_{1}+u_{2}=1. Suppose that x1(0)x_{1}(0) and x2(0)x_{2}(0) are positive, and that 0<a2<a10<a_{2}<a_{1} and 0<c1<c20<c_{1}<c_{2}. Find the optimal control at times close to TT. Show that over [0,T][0, T] the optimal control is constant, or makes exactly one switch, the latter happening if and only if

c2ea2T<c1+a1c2a2(ea2T1)c_{2} e^{a_{2} T}<c_{1}+\frac{a_{1} c_{2}}{a_{2}}\left(e^{a_{2} T}-1\right)