Comment: 10 pages. Keywords: linear, dynamic optimization, optimal value function, dynamic programming, optimal decision rule, Euler condition, transversality condition, strictly alternating problems, eventually conclusive problems, strongly eventually conclusive problems, two-phase problems. JEL Classification Codes: C44, C61We introduce a model of infinite horizon linear dynamic optimization with linear constraints and obtain results concerning feasibility of trajectories and optimal solutions necessarily satisfying conditions that resemble the Euler condition and transversality condition. We prove results about optimal trajectories of strictly alternating problems, eventually conclusive problems, strongly eventually conclusive problems and two-phase problems.