J. Math. Anal. Appl.

323 (2006) 768789

www.elsevier.com/locate/jmaa

Necessary and sufficient conditions for discrete

and differential inclusions of elliptic type
E.N. Mahmudov
Istanbul University, Engineering Faculty, Department of Industrial Engineering, 34850, Avcilar, Istanbul, Turkey
Received 31 May 2005
Available online 6 December 2005
Submitted by H. Frankowska

Abstract
This paper deals for the first time with the Dirichlet problem for discrete (PD ), discrete approximation
problem on a uniform grid and differential (PC ) inclusions of elliptic type. In the form of EulerLagrange
inclusion necessary and sufficient conditions for optimality are derived for the problems under considera-
tion on the basis of new concepts of locally adjoint mappings. The results obtained are generalized to the
multidimensional case with a second order elliptic operator.
2005 Published by Elsevier Inc.

Keywords: Discrete approximation; Discrete and differential inclusion; Dirichlet problems; Nonsmooth analysis;
Locally adjoint mappings; Necessary and sufficient conditions

1. Introduction

The present paper is devoted to an investigation of problems described by so-called discrete

and differential inclusions of elliptic type. The past decade has seen an ever more intensive de-
velopment of the theory of extremal problems concerned by multivalued mappings with lumped
and distributed parameters [4,5,7,9,16,26,28,3338].
A lot of problems in economic dynamics, as well as classical problems on optimal control in
vibrations, chemical, engineering, heat, diffusion processes, differential games, and so on, can
be reduced to such investigations. We refer the reader to the survey papers [14,1014,22,26,30,

* Fax : +90 212 5911997.

E-mail address: [email protected].

0022-247X/$ see front matter 2005 Published by Elsevier Inc.

doi:10.1016/j.jmaa.2005.10.069
 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789 769

33,3538]. Now let us explain the principal method that we use to obtain mentioned results. The
present paper is divided conditionally into six parts.
In Section 2 first are given some suitable definitions and supplementary notions that constitute
a certain method which facilitates obtaining necessary and sufficient conditions. Besides, adjoint
and locally adjoint multivalued (LAM) functions are defined and the connection between them is
established. Then a certain extremal Dirichlets problem is formulated for elliptic discrete (PD )
and differential (PC ) inclusions with elliptic Laplaces operator.
In Section 3 for problem (PD ) we use one of the constructions of convex and nonsmooth
analysis to get necessary and sufficient conditions for optimality. The latter can be reduced to
finite-dimensional problems of mathematical programming, namely to minimization of func-
tions on the intersection of the finite number of sets. In the reviewed results the arisen adjoint
inclusions are stated in the EulerLagrange form [16,28,29]. These results turn out that this form
automatically implies the WeierstrassPontryagin maximum condition. Note that it happens be-
cause the LAM is not the same as in [25,29,30]. Another definition of the LAM is introduced
by Mordukhovich and is called coderivative of multifunctions at a given point [29]. Moreover,
it appears that the use of the convex upper approximations (CUA) for nonconvex functions and
locally tents [30] are very suitable to obtain the optimality conditions for posed problems. Ob-
serve that the main successful application of locally approximations and transition to convex
approximations of sets is the establishment of necessary conditions for nonconvex optimization
problems. In the field of different convex and nonconvex approximations of functions and sets
the reader can also consult Clarke [6,7], Demianov [8], Frankowska [13], Mordukhovich [25,28,
29], Pshenichnyi [30], Rockafellar [27,31] for related and additional material.
In Section 4 we use difference approximations of partial derivatives and grid functions on a
uniform grid to approximate the Dirichlet problem for differential inclusions of elliptic type and
to derive the necessary and sufficient conditions for optimality for the discrete-approximation
problem. The latter is possible by passing to necessary conditions for an extremum of an discrete
elliptic inclusions (PD ) in Section 3. It turns out that the concerned method requires some special
equivalence theorems of a LAM, which arose in discrete and discrete approximation problems.
These equivalence theorems that we proved allow us to make a bridge between problems (PD )
and (PC ). Obviously, such difference problems, in addition to being of independent interest, can
play an important role also in computational procedures.
In Section 5 we are able to use the result in Section 4 to get sufficient conditions for optimality
for differential inclusions of elliptic type. The derivation of sufficient conditions is implemented
by passing to the formal limit as the discrete steps tend to zero. Of course, by using the suggested
methods for ordinary differential inclusions of Mordukhovich [27,29] or Pshenichnyi [30] it can
be proved that the obtained sufficient conditions are also necessary for optimality. At the end of
Section 5 we consider linear optimal control problem of elliptic type. This example shows that in
known problems the adjoint inclusion coincides with the adjoint equation which is traditionally
obtained with the help of the Hamiltonian function.
In Section 6 the results obtained are generalized to the multi-dimensional case with a second
order elliptic operator (PM ).
Some duality relations and optimality conditions for an extremum of different control prob-
lems with partial differential inclusions can be found in [2,4,5,9,1721].
It must be pointed out that in elliptic differential inclusions the solution is taken in the space
of classical solutions. However, as it will be seen from the context, the definition below of the
concept of a solution in this or that sense is introduced only for simplicity and does not in any
770 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789

way restrict the class of problems under consideration. Therefore, at the end of the paper we
indicate general ways of extending the results to the case of generalized solutions [24].

2. Necessary concepts and problems statements

Let R n be the n-dimensional Euclidean space, (u1 , u2 ) is a pair of elements u1 , u2 R n

n
and u1 , u2  is their inner product. A multivalued mapping F : R 4n 2R is convex if its graph
gph F = {(u1 , u2 , u3 , u4 , v): v F (u1 , u2 , u3 , u4 )} is a convex subset of R 5n . It is convex-valued
if F (u) is a convex set for each u = (u1 , u2 , u3 , u4 ) dom F = {u: F (u) = }. F is closed if
gph F is a closed set in R 5n .
Let us introduce the notations:
 
M(u, v ) = sup v, v : v F (u) , v R n ,
v
 
F (u, v ) = v F (u): v, v  = M(u, v ) .
For convex F we let M(u, v ) = if F (u) = . Let ri A be the relative interior of a set
A R n , i.e., the set of interior points of A with respect to its affine hull Aff A.
The cone KA (u0 ) of tangent directions of the set A at a point u0 A is called a local tent [1]
if for each u0 ri KA (u0 ) there exists a convex cone K KA (u0 ) and a continuous mapping
(u) defined in a neighborhood of the origin such that

(1) u0 ri K, Lin K = Lin KA (u0 ), where Lin K is the linear span of K,

(2) (u) = u + r(u), u1 r(u) 0,
(3) u0 + (u) A, u K S (0) for some > 0, where S (0) is the ball of radius and with
center the origin.

For a convex mapping F at a point (u0 , v 0 ) gph F , u0 = (u01 , u02 , u03 , u04 ) R 4n , v 0 R n ,
    
Kgph F u0 , v 0 = cone gph F u0 , v 0
     
= (u, v): u = u u0 , v = v v 0 , > 0, (u, v) gph F .

Definition 2.1. For a convex mapping F a multivalued mapping from R n into R 4n defined by
   
F v , (u, v) = u : (u , v ) Kgph

F (u, v)

is called the locally adjoint mapping (LAM) to F at the point (u, v) gph F , where Kgph F (u, v)
is the dual to the cone Kgph F (u, v).

We refer to [6,25,29,30] for various definitions in this direction. Note that in Definition 4.3
in [29] is used the normal cone construction and LAM to F is called the coderivative of F at a
given point.
The function h(, u) is called a convex upper approximation (CUA) of a function g() : R n
R {} at every fixed point u dom g = {u: |g(u)| < +} if
1

(1) h(u, u)  (u, u) for all u = 0, where

g(u + u + r()) g(u)
(u, u) = sup lim sup .
r() 0
 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789 771

Here the exterior supremum is taken on all r() such that 1 r() 0, where 0,
(2) h(, u) is a convex closed (lower semicontinuous) positive-homogeneous function.

Further, the set h(0, u) = {u R n : h(u, u)  u, u , u R n } is called the subdifferential

of g at a point u and is denoted by g(u). For convex functions continuous at u this definition
coincides with the usual definition of subdifferential [14,30]. A function g is said to be proper if
it does not take the value and is not identically equal to +.
Let us prove some supplementary results.
n
Lemma 2.1. Let F : R n 2R be a convex multivalued mapping. Then

  M(u, v ), v F (u, v ),
F v , (u, v) = u
, v/ F (u, v ).

Proof. Note that for convex F support function M is concave on u and convex on v function if
F (u) is closed. So u M(u, v ) = u [M(u, v )] is a set of u such that
M(u1 , v ) M(u, v )  u , u1 u (2.1)

for all u1 R n . Let u F (v , (u, v)). By the definition of the dual cone Kgph F (u, v) it means
that
u, u  v, v   0, (u, v) Kgph F (u, v),
or
u1 u, u  v1 v, v   0, (u1 , v1 ) gph F. (2.2)
If u1 = u, v1 F (u), this inequality implies v, v   v1 , v  that is v F (u, v ) and v, v  =
M(u, v ). Then it follows from (2.2) that
v1 , v  M(u, v )  u1 u, u .
The supremum on v1 F (u1 ) gives us the inequality
M(u1 , v ) M(u, v )  u , u1 u
or u u M(u, v ). Let now u u M(u, v ), v F (u, v ), then by going in the reverse direc-
tion, it is not hard to see that u F (v , (u, v)). This completes the proof of the lemma. 2

Definition 2.2. The following multivalued mapping defined by

        
F v , u0 , v 0 = u : M(u, v ) M u0 , v  u , u u0 , (u, v) gph F ,
 
v 0 F u0 , v ,
is called the LAM to nonconvex mapping F at a point (u0 , v 0 ) gph F .

It is clear that for convex F the function M(, v ) is concave and by Lemma 2.1 this definition
of LAM coincides with the definition of LAM in convex case.

Lemma 2.2. If for a convex multivalued mapping F the set F (u) is closed, then
v M(u, v ) = F (u, v ).
772 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789

Proof. The proof of the lemma follows immediately from [30, Theorem 3.11] and so it is omit-
ted. 2

Definition 2.3. Let O + gph F be the recessive cone [31] to a convex mapping F , i.e.,
 
O + gph F = (u, v): (u + u, v + v) gph F,  0, (u, v) gph F .
Then multivalued mapping F defined by
   
F (u ) = u : (u , v ) O + gph F
is called an adjoint to the convex F .

It is clear that if gph F is a convex cone, then this definition coincides with the definition of
Pshenichnyi [30]. By the standard way it can be proved that the following results are true.

Proposition 2.1. If gph F is a convex and closed set in R 2n then

Kgph F (u, v) = O + gph F
(u,v)gph F

holds.

Proposition 2.2. If gph F is a convex closed set in R 2n then

 + 

Kgph F (u, v) = O gph F ,
(u,v)gph F

where the bar denotes closure.

Corollary 2.1. Let F be a convex closed mapping. Then the adjoint mapping and LAM to F are
connected with the relation

 
F (v ) = F v , (u, v) , v F (u, v ).
(u,v)gph F

Proof. By Proposition 2.2, we obtain the required equality at once. It remains to observe only
/ F (u, v ) by Lemma 2.1 F (v , (u, v)) = . This completes the proof of
that for pair (u, v), v
the corollary. 2

Let us denote
 
H (u , v ) = inf u, u  v, v : (u, v) gph F .
It is clear that
 
H (u , v ) = inf u, u  M(u, v ) . (2.3)
u

Corollary 2.2. u is an element of the LAM F , i.e., if and only if the equality H (u , v ) =
u, u  M(u, v ) holds.
 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789 773

Proof. By Lemma 2.1, the inclusion u F (v , (u, v)) is equivalent to

u u M(u, v ), v F (u, v ),
and so the inequality (2.1) holds. Rewriting (2.1) in the form
u, u  M(u, v )  u1 , u  M(u1 , v )
and taking infimum on u1 , we have the relation
H (u , v )  u, u  M(u, v ).
Now comparing this inequality with the reverse inequality following from (2.3) ends the proof
of the corollary. 2

Definition 2.4. Multivalued mapping F we call quasisuperlinear if its graph can be represented
as gph F = + K where is a convex compactum, K is a convex closed cone.

Corollary 2.3. For a convex mapping F we have

   
dom H := (u , v ): H (u , v ) > O + gph F .
In the case of quasisuperlinearity dom H = K .

Proof. Let assume the contrary: let (u0 , v0 ) dom H , but (u0 , v0 )
/ (O + gph F ) . It means that
+
there exists a pair (u0 , v0 ) O gph F for which u0 , u0  v0 , v0  < 0. By Definition 2.3 we
can write (u + u0 , v + v0 ) gph F for all (u, v) gph F and > 0. Then
           
u + u0 , u0 v + v0 , v0 = u, u0 v, v0 + u0 , u0 v0 , v0 ,
when +,
obtained contradiction proves the first statement of the lemma. Furthermore, when F is quasisu-
perlinear, we get
dom H = dom(H + HK ) = dom H dom HK = dom HK = K ,
where
 
HA (u , v ) = inf u, u  v, v  .
(u,v)A

The lemma is proved. 2

The following example shows that the inverse inclusion generally is not true. In fact, let
F : R 1 2R is given as F (u) = {v: v  u2 }, gph F = {(u, v): v  u2 }. Obviously O + gph F =
1

{0} R 1+ , where R 1+ is the positive ordinate. Therefore (O + gph F ) = {(u , v ): u R 1 ,

v R 1+ }. Then it is clear that (1, 0)
/ dom H , but (1, 0) (O + gph F ) .

Corollary 2.4. Let F be a quasisuperlinear mapping and M(., v ) be a proper closed function.
Then the duality relation



inf

u, u  H (u , v ) = sup v, v 
u F (v ) vF (u)

holds.
774 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789

Proof. By the previous Corollary 2.3, dom H = K is correct. Therefore with regard to Theo-
rem 4.4.III of [30] it is not hard to see that
   
inf

u, u  H (u , v ) = inf

u, u  H (u , v ): u F (v ) = sup v, v .
u u vF (u)

Remark 2.1. If gph F is a convex cone, then H (u , v ) = 0 for u F (v ) and so the equality
inf u, u  = sup v, v 
u F (v ) vF (u)

holds.

In the next section we consider the following optimization problem for discrete elliptic inclu-
sions:

minimize gx1 ,x2 (ux1 ,x2 ) (2.4)
x1 =1,...,T 1, x2 =1,...,L1
subject to ux1 +1,x2 Fx1 ,x2 (ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 ), (2.5)
and
ux1 ,0 = 0x1 , ux1 ,L = Lx1 , u0,x2 = 0x2 , uT ,x2 = T x2 ,
x1 = 1, . . . , T 1; x2 = 1, . . . , L 1, (2.6)
where gx1 ,x2 : R n R 1 {} are functions taking values on the extended line, Fx1 ,x2 are
n
multivalued mappings, Fx1 ,x2 : R 4n 2R , and 0x1 , Lx1 , 0x2 , T x2 are fixed vectors, T , L
are some natural numbers. We label this problem (PD ) and call it Dirichlet problem for discrete
inclusion of elliptic type.
Let us denote D = {(x1 , x2 ): x1 = 0, . . . , T ; x2 = 0, . . . , L, (x1 , x2 ) = (0, 0), (0, L), (T , 0),
(T , L)}. Then a set of points {ux1 ,x2 }D = {ux1 ,x2 : (x1 , x2 ) D} is called a feasible solution for
the problem (PD ) if it satisfies the inclusions (2.6). It is easy to see that for each fixed T and
L the boundary condition (2.6) enable us to choose some feasible solution, and the number of
points to be determined and discrete inclusions are equal. In this sense the name discrete elliptic
inclusions is justified. The following condition is assumed below for the functions gx1 ,x2 and
the mappings Fx1 ,x2 (x1 = 1, . . . , T 1; x2 = 1, . . . , L 1).

Hypothesis (H1). Assume that in the problem (PD ) the mappings Fx1 ,x2 are such that the cone of
tangent directions Kgph Fx1 ,x2 (ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 , ux1 +1,x2 ) are local tents, where
ux1 ,x2 are the points of the optimal solution {ux1 ,x2 }D . Assume, moreover, that the functions
gx1 ,x2 admit a CUA hx1 ,x2 (u, ux1 ,x2 ) at the points ux1 ,x2 that is continuous with respect to u. The
latter means that the subdifferentials gx1 ,x2 (ux1 ,x2 ) := hx1 ,x2 (0, ux1 ,x2 ) are defined.

The problem (PD ) is said to be convex if the mappings Fx1 ,x2 are convex and gx1 ,x2 are convex
proper functions.

Hypothesis (H2). Let the considered problem (PD ) is convex and {u0x1 ,x2 }D is some feasible
solution for it. Then suppose that
 0 
ux1 1,x2 , u0x1 ,x2 1 , u0x1 ,x2 , u0x1 ,x2 +1 , u0x1 +1,x2 ri gph Fx1 ,x2 ,
u0x1 ,x2 ri dom gx1 ,x2 , x1 = 1, . . . , T 1; x2 = 1, . . . , L 1.
 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789 775

In Section 5 we study the following problem for elliptic differential inclusion:


   
minimize J u(.) := g u(x), x dx (2.7)
R
 
subject to u(x) F u(x), x , x R, (2.8)
and
u(x) = (x), x B, (2.9)
where is a Laplaces operator:
2 2
:= + ,
x12 x22
n
F (., x) : R n 2R is a multivalued mapping for all fixed x = (x1 , x2 ), R is a bounded region
of R 2 , a closed piecewise-smooth simple curve B is the boundary of R, g : R n R R 1 and
are continuous functions, dx = dx1 dx2 .
We label this continuous problem (PC ) and call it Dirichlet problem for elliptic differential
inclusions. The problem is to find a solution u() of the boundary value problem (2.8), (2.9) that
minimizes J (u(.)). Here, a feasible solution is understood to be a classical solution for simplicity
of the exposition. At the end of Section 6 we introduce the concept of a generalized solution and
show that it is possible to carry over the results obtained in this case.
The subject of the research in Section 6 is the following multidimensional optimal control
problem (PM ) for elliptic differential inclusions:

   
minimize J u(.) := g u(x), x dx (2.10)
G
 
subject to Lu(x) F u(x), x , x G, (2.11)
and
u(x) = (x), x S, (2.12)
1
where F (., x) : R 1 2R is a convex closed multivalued mapping for all n-dimensional vectors
x = (x1 , . . . , xn ), G is a bounded set of R n , a closed piecewise-smooth surface S is the boundary
of G, g : R 1 G R 1 is a continuous and convex on u function, is continuous and dx =
dx1 dx2 . . . dxn . L is a second-order elliptic operator:
n   n
u u
Lu := aij + bi (x) + c(x)u,
xi xj xi
i,j =1 i=1

aij (x) C (G), bi (x) C 1 (G), c(x) C(G),

1

where aij (x) is a positively definite matrix, C(G) and C 1 (G) are the spaces of continuous
functions and functions having a continuous derivative in G, respectively.
A function u(x) in C 2 (G) C(G), that satisfies the inclusion (2.11) in G and the boundary
condition (2.12) on S we call a classical solution of the problem posed, where C 2 (G) is the space
2u
of functions u() having continuous second-order derivatives xi x j
, i, j = 1, . . . , n. It is required
to find a classical solution u() of the boundary value problem (PM ) that minimizes J (u(.)).
776 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789

3. Necessary and sufficient conditions for the Dirichlet problem of discrete elliptic
inclusions

At first we consider the convex problem (PD ).

Theorem 3.1. Assume that Fx1 ,x2 , x1 = 1, . . . , T 1, x2 = 1, . . . , L 1 are convex multival-

ued mappings, and gx1 ,x2 are convex proper functions continuous at the points of some feasible
solution {u0x1 ,x2 }D . Then for the {ux1 ,x2 }D to be an optimal solution of the problem (PD ), it is
necessary that there exist a number = 0 or 1 and vectors {x1 ,x2 }, {x1 ,x2 }, {x1 ,x2 }, {ux1 ,x2 }
simultaneously not all equal to zero such that:
 
(i) x1 ,x2 , x1 ,x2 , ux1 1,x2 , x1 ,x2
 
Fx1 ,x2 ux1 ,x2 , (ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 , ux1 +1,x2 )
 
+ {0} {0} x1 +1,x2 + x1 ,x2 +1 + x1 ,x2 1 gx1 ,x2 (ux1 ,x2 ) {0};

(ii) 0,x2
= 0, uT ,x2 = 0, x2 = 1, . . . , L 1;
x1 ,0 = 0, x1 ,L = 0, x1 = 1, . . . , T 1.

Under Hypothesis (H2), the conditions (i) and (ii) are also sufficient for the optimality of
{ux1 ,x2 }D .

Proof. One of the essential points in the proofs is the use of convex programming results. With
this goal we form the (m = 2n(L 1) + n(T 1)(L + 1))-dimensional vector w = (u0 , u1 ,
. . . , uT ), where for x1 = 1, . . . , T 1, (ux1 = (ux1 ,0 , ux1 ,1 , . . . , ux1 ,L ) R n(L+1) n(L + 1))-
dimensional vector and u0 = (u0,1 , . . . , u0,L1 ) R n(L1) , uT = (uT ,1 , . . . , uT ,L1 ) R n(L1) .
Let us consider the following convex sets defined in the space R m :

Mx1 ,x2 = w = (u0 , u1 , . . . , uT ):

(ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 , ux1 +1,x2 ) gph Fx1 ,x2 ,
x1 = 1, . . . , T 1, x2 = 1, . . . , L 1,
 
H1 = w = (u0 , . . . , uT ): ux1 ,0 = 0x1 , x1 = 1, . . . , T 1 ,
 
H2 = w = (u0 , . . . , uT ): u0,x2 = 0x2 , x2 = 1, . . . , L 1 ,
 
HL = w = (u0 , . . . , uT ): ux1 ,L = Lx1 , x1 = 1, . . . , T 1 ,
 
HT = w = (u0 , . . . , uT ): uT ,x2 = T x2 , x2 = 1, . . . , L 1 .
Now setting

g(w) = gx1 ,x2 (ux1 ,x2 ),
x1 =1,...,T 1; x2 =1,...,L1

we can easily show that the convex problem (PD ) is equivalent to the following convex mini-
mization problem in the space R m :
 

g(w) inf, w N = Mx1 ,x2 H1 H2 HL HT . (3.1)
x1 =1,...,T 1
x2 =1,...,L1
 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789 777

Then we try to write out the necessary and sufficient conditions [15,18,23,25,30,34] for convex
minimization problem (3.1). For this, it is necessary to calculate the dual cones KM (w),
x1 ,x2

KH1 (w), KH2 (w), KHL (w), KHT (w), w N .

Lemma 3.1.

  
KM x
(w) = w = u0 , . . . , uT :
1 ,x2
 
ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 , ux1 +1,x2
KFx (ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 , ux1 +1,x2 ), ui,j = 0,
1 ,x2

(i, j ) = (x1 1, x2 ), (x1 , x2 1), (x1 , x2 ), (x1 , x2 + 1), (x1 + 1, x2 )
x1 = 1, . . . , T 1, x2 = 1, . . . , L 1.

Proof. Let w KM (w), w N . This means that w + w Mx1 ,x2 for sufficiently small
x1 ,x2
> 0 or in other words,

ux1 1,x2 + ux1 1,x2 , ux1 ,x2 1 + ux1 ,x2 1 , ux1 ,x2 + ux1 ,x2 , ux1 ,x2 +1 + ux1 ,x2 +1 ,

ux1 +1,x2 + ux1 +1,x2 gph Fx1 ,x2 .
Thus

KMx1 ,x2 (w) = w = (u0 , . . . , uT ):
(ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 , ux1 +1,x2 )

KFx1 ,x2 (ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 , ux1 +1,x2 ) . (3.2)
On the other hand, w
KM (w) is equivalent to the condition
x1 ,x2
 
w, w  = ui,j , ui,j  0, w KMx1 ,x2 (w),
x1 =1,...,T 1
x2 =1,...,L1

where the components ui,j of the vector w (see (3.2)) are arbitrary. Therefore, the last relation is
valid only for ui,j = 0, (i, j ) = (x1 1, x2 ), (x1 , x2 1), (x1 , x2 ), (x1 , x2 + 1), (x1 + 1, x2 ). This
ends the proof of the lemma. 2

It is also easy to show that

   
KH (w) = w = u0 , . . . , uT : ux1 ,x2 = 0, x1 = 1, . . . , T 1, x2 = 0, u0 = uT = 0 ,

1
   
KH (w) = w = u0 , . . . , uT : ux1 = 0, x1 = 1, . . . , T ,

2
   
KH (w) = w = u0 , . . . , uT : ux1 ,x2 = 0, x1 = 1, . . . , T 1, x2 = L, u0 = uT = 0 ,

L
   
KH T
(w) = w = u0 , . . . , uT : u0 = 0, ux1 = 0, x1 = 1, . . . , T 1 . (3.3)
Further, by the hypothesis of the theorem w = (u0 , u1 , . . . , uT ) is a solution of the convex mini-
mization problem (3.1) and g() is continuous at the point w 0 = (u00 , . . . , u0T ). Then we can assert
the existence of vectors
w (x1 , x2 ) KM

x
(w), w KH

(w), w KH

(w),
w L KH (w),
1 ,x2 1 2 L

w T KH

T
(w), w 0 w g(w)
778 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789

and of a number = 0 or 1 not equal to zero simultaneously, such that

w (x1 , x2 ) + w + w + w L + w T = w 0 . (3.4)
x1 =1,...,T 1
x2 =1,...,L1

This equality plays a central role in the investigations to follow. Let [w ]x1 ,x2 denotes the com-
ponents of the vector w for the given pair (x1 , x2 ). Then using Lemma 3.1 and the relations
(3.3), we get
 

T
w (x1 , x2 ) + w + w + w + wL

x1 =1,...,T 1 x1 ,x2
x2 =1,...,L1

u (1, x2 ) + u0,x2 , x1 = 0, x2 = 1, . . . , L 1,
0,x2


u (T 1, x2 ) + uT ,
T ,x2 T ,x2 x1 = T , x2 = 1, . . . , L 1,
= (x , 1) + u , (3.5)

u x1 ,0 1 x1 = 1, . . . , T 1, x2 = 0,


x1 ,0

ux1 ,L (x1 , L 1) + uL
x1 ,L , x1 = 1, . . . , T 1, x2 = L,
where it is taken into account that
 T   L 
[w ]0,x2 = u0,x2 ,
w T ,x = uTT ,x , [w ]x1 ,0 = ux1 ,0 , w x = uL
x1 ,L .
22 1 ,L

Because of arbitrariness of vectors u0,x2 , uTT ,x

, x = 1, . . . , L1, u , uL , x = 1, . . . , T 1,
2
2 x1 ,0 x1 ,L 1
it follows from the relations (3.4) and (3.5) that the equalities
u0,x2 (1, x2 ) + u0,x2 = 0, uT ,x2 (T 1, x2 ) + uTT ,x

2
= 0,
ux1 ,0 (x1 , 1) + ux1 ,0 = 0, ux1 ,L (x1 , L) + uL
x1 ,L = 0,
x1 = 1, . . . , T 1, x2 = 1, . . . , L 1,
always hold. Thus (3.4) implies
ux1 ,x2 (x1 + 1, x2 ) + ux1 ,x2 (x1 , x2 + 1) + ux1 ,x2 (x1 , x2 ) + ux1 ,x2 (x1 , x2 1)
+ ux1 ,x2 (x1 1, x2 ) = u0
x1 ,x2 ,
u1,x2 (0, x2 ) = 0, ux1 ,1 (x1 , 0) = 0, ux1 ,L1 (x1 , L) = 0, uT 1,x2 (T , x2 ) = 0,
 0 
w x ,x = u0 x1 ,x2 , x1 = 1, . . . , T 1, x2 = 1, . . . , L 1. (3.6)
1 2

Using Lemma 3.1 and Definition 2.1 of a LAM, it can be concluded that
 
ux1 1,x2 (x1 , x2 ), ux1 ,x2 1 (x1 , x2 ), ux1 ,x2 (x1 , x2 ), ux1 ,x2 +1 (x1 , x2 )
  
Fx1 ,x2 ux1 +1,x2 (x1 , x2 ), ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 , ux1 +1,x2
x1 = 1, . . . , T 1, x2 = 1, . . . , L 1. (3.7)
Then introducing the new notations
ux1 1,x2 (x1 , x2 ) = x1 ,x2 , ux1 ,x2 1 (x1 , x2 ) = x1 ,x2 , ux1 ,x2 +1 (x1 , x2 ) = x1 ,x2 ,
ux1 +1,x2 (x1 , x2 ) = ux1 ,x2 ,
we see from (3.6) and (3.7) that the first part of the theorem is valid. On the other hand, it
follows from Hypothesis (H2) that the representation (3.4) holds with parameter = 1 for the
 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789 779

point w 0 w g(w) KN (w). Hence the conditions (i) and (ii) are sufficient for optimality of
{ux1 ,x2 }D . This completes the proof of the theorem. 2

Now let us try to write the result of Theorem 3.1 in a more symmetrical form. Note that the
function M defined in Section 2 is a convex on v if the set F (u1 , u2 , u3 , u4 ) is convex and
closed. Then taking into account Lemmas 2.1 and 2.2, we obtain the following result.

Corollary 3.1. Let the conditions of the previous Theorem 3.1 are satisfied and in addition
F (u1 , u2 , u3 , u4 ) is a closed set for every (u1 , u2 , u3 , u4 ). Then for the optimality of {ux1 ,x2 }D it
is necessary that there exist a number = 0 or 1 and vectors {x1 ,x2 }, {x1 ,x2 }, {x1 ,x2 }, {ux1 ,x2 }
simultaneously not equal to zero, such that
 
ux1 ,x2 v Mx1 ,x2 ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 , ux1 ,x2 ,
 
x1 ,x2 , x1 ,x2 , ux1 1,x2 , x1 ,x2
 
u Mx1 ,x2 ux1 1,x2 , ux1 ,x2 1 , ux1 ,x2 , ux1 ,x2 +1 , ux1 ,x2
 
+ {0} {0} x1 +1,x2 + x1 ,x2 +1 + x1 ,x2 1 gx1 ,x2 (ux1 ,x2 ) {0},

0,x2
= 0, uT ,x2 = 0, x2 = 1, . . . , L 1,
x1 ,0 = 0, x1 ,L = 0, x1 = 1, . . . , T 1.
If Hypothesis (H2) is fulfilled the conditions (i), (ii) are sufficient for optimality.

Remark 3.1. If in convex problem (PD ) the functions and multi-functions are polyhedral then
Hypothesis (H2) is superfluous.

Theorem 3.2. Assume Hypothesis (H1) for the nonconvex problem (PD ). Then for {ux1 ,x2 }D to
be an optimal solution of this nonconvex problem (PD ) it is necessary that there exist a number
= 0 or 1 and vectors {x1 ,x2 }, {x1 ,x2 }, {x1 ,x2 }, {ux1 ,x2 } simultaneously not all equal to zero,
satisfying the conditions (i), (ii) of Theorem 3.1.

Proof. In this case Hypothesis (H1) ensures the relation (3.4) for nonconvex problem (PD ) or
(3.1). Therefore we get the necessary condition as in Theorem 3.1 by starting from the relation
(3.4), written out for the nonconvex problem (PD ). 2

Remark 3.2. Suppose D1 is a set of pairs (x1 , x2 ) consisting of the integer numbers x1 and x2 .
Then the set of interior points of D1 for which the points of the form (x1 1, x2 ) and (x1 , x2 1)
belong to this set which we denote by D. And let D has a connectivity property that is all points
of D can be connected with some zigzag whose segments are parallel either to axes 0x1 or 0x2 .
Moreover, assume that is the set of boundary points of D so that D1 = D . Now, instead
of (2.6) we consider the following condition:
ux1 ,x2 = x1 ,x2 , (x1 , x2 ) , (3.8)
where x1 ,x2 are a fixed vectors for every (x1 , x2 ). It is understood that for every point belonging
to there exists some interior point (x1 , x2 ) D for which the given boundary point is one
of the form (x1 , x2 1), (x1 1, x2 ). In this case the set of points of the form (x1 + 1, x2 ),
(x1 1, x2 ), (x1 , x2 + 1), (x1 , x2 1) we call right, left, upper, lower sets respectively
and denote Qr , Qle , Qu , Qlo . Obviously = Qr Qle Qu Qlo .
780 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789

Then by analogue it can be shown that for problems (2.4), (2.5) and (3.8) the boundary con-
dition (ii) of Theorem 3.1 consists of the following:

x1 ,x2 = 0, (x1 , x2 ) Qle ; x1 ,x2 = 0, (x1 , x2 ) Qlo ;

x1 ,x2 = 0, (x1 , x2 ) Qu ; ux1 ,x2 = 0, (x1 , x2 ) Qr .

4. Approximation of the continuous problem and necessary condition for the discrete
approximation problem

In this section we use difference derivatives to approximate the problem (PC ) and with help
of Theorems 3.1 and 3.2 we formulate a necessary (and sufficient in the convex case) condition
for it. We choose steps and h on the x1 and x2 axes, respectively, using the grid functions
ux1 ,x2 = uh (x1 , x2 ) on a uniform grid on R.
Let u = A1 u + A2 u, where Ai u = 2 u/xi2 (i = 1, 2). We introduce the following differ-
ence operators, defined on the three-point models [32], i.e., each of the operators A1 u, A2 u we
approximate with the A1 u and A2 u:
u(x1 + , x2 ) 2u(x1 , x2 ) + u(x1 , x2 )
A1 u(x) := ,
2
u(x1 , x2 + h) 2u(x1 , x2 ) + u(x1 , x2 h)
A2 u(x) := .
h2
The point (x1 , x2 ) is called regular [32] if the four points (x1 , x2 ), x1 , x2 h belong to
R = R B. Otherwise the point (x1 , x2 ) is nonregular.
The set of regular knot points are denoted by h and nonregular points by . The set
h
of intersection of lines x1 = i, x2 = j h, i, j = 0, 1, 2, 3, . . . , and arc B are called
boundary knot points and denoted by h . Thus according to the set R, we have grid h =
. Assume that is a connected set. According to (2.3), we have u (x , x ) =
h h h h h 1 2
(x1 , x2 ), (x1 , x2 ) h .
For nonregular knot points, there are different conditions. For such points we use the value
(x) of the function where x h is a closest knot point for a given nonregular point u(x) =
uh (x) = (x), x h .

Now with respect to the problem (PC ), we associate the following difference boundary value
problem approximating it:
   
(PA ) minimize Jh u(x1 , x2 ) := hg u(x1 , x2 ), x1 , x2
(x1 ,x2)h 
subject to A1 u(x) + A2 u(x) F u(x), x , x = (x1 , x2 ) h ,
and u(x) = (x), x h .
At first for simplicity assume that (PA ) is a discrete approximation problem for problem (PC ),
where R = (0, 1) (0, 1) so that
 
h = (x1 , x2 ): x1 = 0, , . . . , 1; x2 = 0, h, . . . , 1, (x1 , x2 ) = (0, 0), (0, 1), (1, 0), (1, 1) .
Now we reduce the problem (PA ) to a problem of the form (PD ). To this end we introduce a
n
new mapping Q(., x) : R 4n 2R :
2
Q(u1 , u2 , u3 , u4 , x) := 2(1 + )u3 u1 (u4 + u2 ) + 2 F (u3 , x), = , (4.1)
h2
 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789 781

and we rewrite the problem (PA ) as follows:

 
minimize Jh u(.,.) , (4.2)
 
subject to u(x1 + , x2 ) Q u(x1 , x2 ), u(x1 , x2 h), u(x1 , x2 ), u(x1 , x2 + h), x1 , x2
(x1 , x2 ) h , u(x1 , x2 ) = (x1 , x2 ), (x1 , x2 ) h . (4.3)
By Theorem 3.1 for optimality of the feasible solution {u(x1 , x2 )}, (x1 , x2 ) h , in prob-
lem (4.2), (4.3) it is necessary that there exist vectors {u (x1 , x2 )}, { (x1 , x2 )}, { (x1 , x2 )},
{ (x1 , x2 )} and a number = h {0, 1}, not all zero, such that
 
(x1 , x2 ), (x1 , x2 ), u (x1 , x2 ), (x1 , x2 )
 
Q u (x1 , x2 ), u(x1 , x2 ), u(x1 , x2 h), u(x1 , x2 ), u(x1 , x2 + h),

u(x1 + , x2 ), x1 , x2 + {0} {0}
  
(x1 + , x2 ) + (x1 , x2 + h) + (x1 , x2 h) g u(x1 , x2 ), x1 , x2 {0},
(0, x2 ) = 0, u (1, x2 ) = 0, x2 = h, . . . , 1 h,

(x1 , 0) = 0, (x1 , 1) = 0, x1 = , . . . , 1 . (4.4)
The main problem in (4.4) is to express LAM Q in terms of F .

Theorem 4.1. Let Q(., x) be a multivalued mapping such that the cone of tangent directions
Kgph Q(.,x) (u1 , u2 , u3 , u4 , v), (u1 , u2 , u3 , u4 , v) gph Q(., x) is a local tent. Then
 
v + u1 + (u2 + u4 ) 2(1 + )u3
Kgph Q(.,x) u3 ,
2
is a locally tent to gph F (., x) and the following inclusions are equivalent:

(a) (u1 , u2 , u3 , u4 ) Kgph Q(.,x) (u1 , u2 , u3 , u4 , v),

 
v + u1 + (u2 + u4 ) 2(1 + )u3
(b) u3 ,
2
 
v + u1 + (u2 + u4 ) 2(1 + )u3
Kgph F (.,x) u3 , .
2

Proof. By the definition of a local tent there exist functions ri (z), i = 0, 1, 2, 3, 4, z =

(u1 , u2 , u3 , u4 , v) such that ri (z)z1 0 as z 0 and
 
v + v + r0 (z) 2(1 + ) u3 + u3 + r3 (z) u1 u1 r1 (z)
   
u4 + u2 + u4 + u2 + r4 (z) + r2 (z) + 2 F u3 + u3 + r3 (z), x
for sufficiently small z K, where K ri Kgph Q(.,x) (z) is a convex cone.
Transforming this inclusion, we get
v 2(1 + )u3 + u1 + (u2 + u4 ) v 2(1 + )u3 + u1 + (u2 + u4 )
+
2 2
r0 (z) 2(1 + )r3 (z) + r1 (z) + (r4 (z) + r2 (z))  
+ F u3 + u3 + r3 (z), x .
2
From this relation it is clear that
782 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789

 
v + u1 + (u2 + u4 ) 2(1 + )u3
u3 ,
2
 
v + u1 + (u2 + u4 ) 2(1 + )u3
Kgph F (.,x) u3 , . (4.5)
2
By going in the reverse direction, it is also not hard to see from (4.5) that
(u1 , u2 , u3 , u4 ) Kgph Q(.,x) (u1 , u2 , u3 , u4 , v). (4.6)
Therefore (4.5) and (4.6) are equivalent. 2

In what follows the next theorem is very important.

Theorem 4.2. Assume that the mapping Q(., x) is such that the cones of tangent directions
Kgph Q(.,x) (u1 , u2 , u3 , u4 , v) determine a local tent. Then the following inclusions are equivalent
under the conditions that v + u1 = 0, u2 = u4 = v :
   
(a) u1 , u2 , u3 , u4 Q v , (u1 , u2 , u3 , u4 , v), x ,
   
u3 2(1 + )v v + u1 + (u2 + u4 ) 2(1 + )u3
(b) F v , u 3 , ,x .
2 2

Proof. Suppose that the condition (a) is fulfilled. On a definition of LAM it means that in the
case of (4.6),
       
u1 , u1 + u2 , u2 + u3 , u3 + u4 , u4 v, v   0. (4.7)
Let us rewrite the inequality (4.7) in the form:
 

 v + u1 + (u2 + u4 ) 2(1 + )u3
u3 , 3 ,  0, (4.8)
2
where it is taken into account that the inclusions (4.5) and (4.6) are equivalent. Here 3 and
are to be determined. Carrying out the necessary transformations in (4.8) and comparing it with
(4.7) it is not hard to see that
= v, = u1 , = u2 , = u4 , 2 3 + 2(1 + ) = u3 .
These equalities imply that v + u1 = 0, u2 = u4 = v and 3 = (u3 2(1 + )v )/ 2 . Then
from Theorem 4.1, we see the accuracy of the inclusion (b), i.e., (a) (b). By analogy it can be
shown that (b) (a). This ends the proof of the theorem. 2

Remark 4.1. If the mapping F (., x) is a convex, then using Lemma 2.1, Theorem 4.2 can
be proved by another way, namely by calculating the subdifferential u M(u, v , x), u =
(u1 , u2 , u3 , u4 ) and expressing it via subdifferential of support function of mapping (4.1).

Let us return to the inclusion in (4.5). By equivalence Theorem 4.2, this condition has the
form
u (x1 , x2 ) (x1 + , x2 ) (x1 , x2 + h) (x1 , x2 h) 2(1 + )u (x1 , x2 )
2


  
F u (x1 , x2 ), u(x1 , x2 ), A1 u(x1 , x2 ) + A2 u(x1 , x2 ) , x1 , x2
 
g u(x1 , x2 ), x1 , x2 , (4.9)
 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789 783

u (x1 , x2 ) = (x1 , x2 ), (x1 , x2 ) = (x1 , x2 ) = u (x1 , x2 ),

2
= 2 , x1 = , 2, . . . , 1 , x2 = h, 2h, . . . , 1 h. (4.10)
h
Further, using (4.10) it is not hard to verify that left side of the inclusion (4.9) has the form
1  
2
u (x1 , x2 ) + u (x1 + , x2 ) + u (x1 , x2 + h) + u (x1 , x2 h)

2(1 + )u (x1 , x2 )
u (x1 + , x2 ) 2u (x1 , x2 ) + u (x1 , x2 )
=
2
u (x1 , x2 + h) 2u (x1 , x2 ) + u (x1 , x2 h)

+ . (4.11)
h2
On the other hand, from the boundary conditions in (4.5) and from (4.10) we obtain
u (x1 , 0) = 0, u (x1 , 1) = 0, x1 = , . . . , 1 ,

u (0, x2 ) = 0, u (1, x2 ) = 0, x2 = h, 2h, . . . , 1 h. (4.12)
Taking into account the relations (4.9) and (4.11), (4.12), we can formulate the following result
for problem (PA ).

Theorem 4.3. Suppose g(., x) is a convex proper function and continuous at the points on some
feasible solution {u0 (x)}, x h . Then for the optimality of the solution {u(x)} in the con-
vex problem (PA ) it is necessary that there exist a number = h {0, 1} and grid functions
{u (x)}, x h , simultaneously not equal to zero such as:
     
(i) A1 u (x) + A2 u (x) F u (x), u(x), A1 u(x) + A2 u(x) , x g u(x), x .
(ii) u (x1 , 0) = u (x1 , 1) = 0, x1 = , . . . , 1 ,

u (0, x2 ) = u (1, x2 ), x2 = h, . . . , 1 h.

Under the condition (H2), these conditions are also sufficient for the optimality of {u(x)},
x h .

Remark 4.2. As in Theorem 3.1 the conditions (i), (ii) of Theorem 4.3 are necessary for opti-
mality in the nonconvex case of the problem (PA ) under Hypothesis (H1).

Remark 4.3. Observe that for problem (PC ) with nonsquare region R the boundary condition (ii)
of Theorem 4.3 for boundary points consist of the following: u (x) = 0, x h B.

5. Sufficient conditions for optimality for differential inclusions of elliptic type

Using results in Section 4, we formulate a sufficient condition of optimality of the continuous

problem (PC ). Therefore, let us pass to the formal limit in condition (i) of Theorem 4.3 and in
the boundary condition (see Remark 4.3) as , h 0 and set = 1. Then we have
     
(a) u (x) F u (x), u(x), u(x) , x g u(x), x , x = (x1 , x2 ) R,
(b) u (x) = 0, x B.
784 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789

Along with this we get the following condition (c) ensuring that the LAM F (., ., x) is non-
empty for every fixed x R (see Lemma 2.1 in Section 2):

(c) u(x) F (u(x), u (x), x).

The arguments in Section 4 guarantee the sufficiency of the conditions (a)(c) for optimality. It
turns out that the following assertion is true.

Theorem 5.1. Assume that a continuous function g is convex with respect to u, and F (., x) is a
convex mapping for all fixed x. Then for the optimality of the solution u() among all feasible
solutions in convex problem (PC ) it is sufficient that there exist a classical solution u () such
that the conditions (a)(c) hold.

Proof. By Lemma 2.1 of Section 2,

 
F v , (u, v), x = u M(u, v , x), v F (u, v , x).
Then applying the MoreauRockafellar theorem [14,30,31] and the fact that g(., x) =
(g(., x)) from condition (a) we obtain
    
u (x) u M u(x), u (x), x g u(x), x , x R,
or
       
M u(x), u (x), x M u(x), u (x), x g u(x), x + g u(x), x
 
 u (x), u(x) u(x) .
Now taking into account the condition (c) of Theorem 5.1, definition of a function M and by
integrating both sides of the last inequality over the domain R, we get
 
        
g u(x), x g u(x), x dx u(x) u(x) , u (x) dx
R R

 
+ u(x) u(x), u (x) dx  0. (5.1)
R
On the other hand, by the familiar Greens theorem [24, 32] we have

     
u(x) u(x), u (x) u(x) u(x) , u (x) dx
R
     
u (x) (u(x) u(x))
= u(x) u(x), , u (x) ds, (5.2)
n n
B
where ds is a symbolic arc length element and n is the other normal for a curve B.
Since u() and u() are feasible solutions, that is u(x) = u(x) = (x), x B and the condi-
tion (b) of theorem is fulfilled the integral (5.2) is equal to zero. Therefore from inequality (5.1)
it follows that
 
   
g u(x), x dx  g u(x), x dx
R R
for arbitrarily feasible solutions u(). The theorem is proved. 2
 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789 785

Corollary 5.1. In addition to assumptions of Theorem 5.1 let F (., x) be a closed mapping. Then
the conditions (a), (c) of Theorem 5.1 can be rewritten as follows:

(i) u (x) u M(u(x), u (x), x) g(u(x), x),

(ii) u(x) v M(u(x), u (x), x).

Proof. In fact, on one hand by Lemma 2.1 the following equality is correct:
 
F v , (u, v), x = u M(u, v , x), v F (u, v , x).
On the other hand, by Lemma 2.2, we have
v M(u, v , x) = F (u, v , x).
Therefore (i), (ii) are equivalent to the conditions (a), (c) of Theorem 5.1. 2

Remark 5.1. It follows from the condition (ii) of Corollary 5.1 and the condition (c) of Theo-
rem 5.1 that
   
u (x), u(x) = M u(x), u (x), x .
So, in particular, if F (., x) is a quasisuperlinear mapping and M(, v , x) is a convex proper
function, then by Corollary 2.4 this equality can be written as follows:
     
u (x), u(x) = inf

u (x), u(x) H u (x), u (x), x .
u (x)F (u (x),x)

Theorem 5.2. Let us consider the nonconvex problem (PC ). Moreover, let u() be some feasible
solution of this nonconvex problem and u () is a classical solution satisfying the following
conditions:

(i) u (x) + u (x) F (u (x), (u(x), u(x)), x),

(ii) g(u, x) g(u(x), x)  u (x), u u(x) for all u,
(iii) u (x), u(x) = M(u(x), u (x), x),

where the LAM F (, , x) is given by Definition 2.2. Consequently the feasible solution u() is
optimal.

Proof. Taking into account Definition 2.2 it follows from the condition (i) of theorem that for all
feasible solutions u() is valid the inequality
     
M u(x), u (x), x M u(x), u (x), x  u (x) + u (x), u(x) u(x) , x R.
Then using the condition (iii), we have from this inequality
     
u(x) u(x) , u (x)  u (x) + u (x), u(x) u(x) . (5.3)
Now, from the condition (ii) of theorem for arbitrarily feasible solution u() and from inequal-
ity (5.3) it is easy to see that
         
g u(x), x g u(x), x u(x) u(x) , u (x) + u(x) u(x), u (x)  0, x R.
Then by integrating this inequality over the domain R, we see that the obtained inequality takes
the form (5.1). Thus in view of (5.1) it is easy to show as in the proof of Theorem 5.1 that u() is
optimal. The proof is complete. 2
786 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789

Let us consider the following example:


   
minimize J u() = g u(x), x dx,
R
subject to u(x) = Au(x) + Bw(x), w(x) V , (5.4)
where A is n n matrix, B is a rectangular n r matrix V R r is a closed convex set and g is
continuously differentiable function on x. It is required to find a controlling parameter w(x) V
such that the feasible solution corresponding to it minimizes J (u()).
Let introduce a convex mapping F (u) = Au + BV . By elementary calculations, it can be
shown that

  A v , B v KV (w),
F v , (u, v) =
, / KV (w).
B v
Here v = Au + Bw and KV (w) is the cone dual to the cone of tangent directions KV (w) at a
point w V . Then using Theorem 5.1, we get the relations
 
u (x) = A u (x) g  u(x), x , x R,
u (x) = 0, x B,
   
B u(x), u (x) = inf Bu, u (x) . (5.5)
wV

Thus we obtain the following result.

Theorem 5.3. The feasible solution u() corresponding to the control w() minimizes J (u()) in
the problem (5.4) if there exists a classical solution u () satisfying the conditions (5.5).

6. Multidimensional optimal control problem for elliptic differential inclusion

In this section we study the following problem (PM ) with elliptic operator L considered in
Section 2:

   
(PM ) minimize J u() = g u(x), x dx,
G 
subject to Lu(x) F u(x), x ,
u(x) = (x), x S.

Theorem 6.1. If g is a continuous function convex with respect to u, and F (., x) is a convex
closed mapping for every fixed x G. Then a solution u() minimizes the functional J (u())
among all feasible solutions of the problem (PM ) if there exists a classical solution u () of the
following boundary value problem:

(i) L u (x) F (u (x), (u(x), Lu(x)), x) g(u(x), x)u (x) = 0, x S,

(ii) Lu(x) F (u(x), u (x), x),

where L is the operator adjoint to L.

 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789 787

Proof. By arguments analogous to those in the proof of the preceding Theorem 5.1 and the
condition (i) it is easy to see that
   
M u(x), u (x), x M u(x), u (x), x
     
 g u(x), x g u(x), x + L u (x) u(x) u(x) ,
where due to (ii),
 
M u(x), u (x), x = u (x)Lu(x).
And so

    
g u(x), x g u(x), x dx
G
 

   
 u (x)L u(x) u(x) dx L u (x) u(x) u(x) dx. (6.1)
G G

Then using the boundary conditions of (i) and the fact that the functions u() are feasible
solutions, i.e., u(x) = u(x) = (x), x S, we get from the familiar Greens formula in the mul-
tidimensional case, that right-hand side of the inequality (6.1) is equal to zero. It means that
J (u(x))  J (u(x)) for all feasible solutions in problem (PM ). The theorem is proved. 2

Remark 6.1. In addition to assumptions of Theorem 6.1, let F (, x) is a closed mapping. Then
the conditions (i), (ii) of Theorem 6.1 can be rewritten as follows (see Corollary 5.1):

(i) L u (x) u M(u(x), u (x), x) g(u(x), x),

(ii) Lu(x) v M(u(x), u (x), x).

Replacing Laplace operator with elliptic operator L and extending the proof of Theorem 5.2
to the problem (PM ) for nonconvex case it is not hard to get the following theorem.

Theorem 6.2. Suppose u() is some feasible solution of the nonconvex problem (PM ) and u ()
is a classical solution satisfying the following conditions:

(i) L u (x) + u (x) F (u (x), (u(x), Lu(x)), x), u (x) = 0, x S,

(ii) u (x), Lu(x) = M(u(x), u (x), x),
(iii) g(u, x) g(u(x), x)  u (x), u u(x) for all u,

where the LAM F (, , x) is given by Definition 2.2, then the feasible solution u() is optimal.

In conclusion we consider the possibility of passing to more general function spaces of so-
lutions in the problems discussed above. It is known that for the theory of partial differential
equations, the concept of generalized solution is important both from the theoretical and from
the practical point of view [24,31]. The definition of such solutions associates with a given equa-
tion, a certain integral identity that uses, in turn, the class of generalized derivatives.
Therefore, on this path the most natural approach for elliptic differential inclusions is appar-
ently the use of single-valued branches (selections) of a multi-valued mapping [14].
788 E.N. Mahmudov / J. Math. Anal. Appl. 323 (2006) 768789

Thus suppose that we have the problem (PM ) with homogeneous boundary conditions and
let H 1 (G) is the Hilbert space consisting of the elements u() L2 (G) having square-integrable
generalized derivatives on G, where the inner product and norm are defined by the expressions,
respectively
 
 
u1 , u2 H 1 (G) = u1 u2 + u1x u2x dx, uH 1 (G) = u, uH 1 (G) .
G

By analogy with the classical theory of the Dirichlet problem for elliptic equation [24,32]
we call a function u() H (G) a generalized solution of our problem if it satisfies the integral
identity
 
 
aij uxi x j bi uxi cu dx = g dx
G G

for all () H 1(G) (for a more detailed study see, for example, [24,32]). Here g = g(u, x) is
an arbitrary measurable selection of the multi-valued mapping F (u, x). A generalized solution
is defined analogously for the adjoint boundary value problem.
We now emphasize that for all the results obtained here have been used the formula of inte-
gration by parts and the Green and GaussOstrogradskii formulae following from it. The latter
can be used for getting the indicated classes of generalized solutions. Therefore, it is not difficult
to verify the validity of all the assertions in this general case.

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