The separation property (4.29) applies, in particular, to , the terminal state perturbation vector corresponding to a temporal perturbation of the control. We know from (4.9) and (4.7) that this vector is given by
Since can be either positive or negative, the inequality (4.29) can be satisfied only if
By virtue of (4.8), this is equivalent to
In other words, equals 0 at the terminal time.4.4 We need to prove that it is 0 everywhere.
Let us show that is a continuous function of time, even though the optimal control need not be continuous. The argument that follows is very similar to the one that the reader presumably used a while ago to solve Exercise 3.3 on page . Let be a point of discontinuity of . Of course, and are continuous everywhere. Applying the Hamiltonian maximization condition (4.35) with and and making approach from the left, we have
Similarly, applying (4.35) with and , in the limit as approaches from the right we obtain
Thus the two quantities must actually be equal, and the continuity claim is established.
Next, let us show that the function is constant. In Section 3.4.4, in the context of the variational approach, we established this property by simply differentiating the Hamiltonian with respect to time, but here we need to be more careful because the existence of has not been assumed. In view of the Hamiltonian maximization condition, we can write
We just saw that is a continuous function of time. For an arbitrary pair of times , , we have the inequalities
We have shown that the function equals 0 at , is continuous everywhere, and has zero derivative almost everywhere. Thus it is identically 0, as claimed. Our proof of the maximum principle for the Basic Fixed-Endpoint Control Problem is now complete. At this point the reader should also finish Exercise 4.2.