Abstract
“Continuous” optimal control problems with constraints on the control variables and on the state variables are considered. For any such problem, P, using ideas from Cullum [10] and Warga [15], a sequence of finite-dimensional optimization problems associated with P is constructed. It is proved (under certain hypotheses on P) that extremals (in particular, optimal solutions) of these finite-dimensional problems approximate, in a desirable sense, extremals of the original “continuous” problem P.
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