Title: Necessary conditions of optimality for dynamic optimization problems involving parameter
Abstract: Optimal control problems with unknown or uncertain parameters provide a natural modelling framework for a wide range of applications, including aerospace engineering, machine learning, and biological systems. Depending on the underlying model and objectives, different performance criteria may be adopted. For instance, in some circumstances, average-cost formulations offer an alternative to classical minimax or robust optimization. Such problems may exhibit even multi-level structures, for example when an optimal control problem is coupled with a nonlinear programming problem arising from parameter optimization or estimation. In this talk, we introduce classes of parameter-dependent optimal control problems in which unknown parameters appear in the system dynamics, the cost function, endpoint constraints, and possibly even in the state constraints. For the different cost criteria under consideration, we derive and discuss the corresponding necessary conditions of optimality.