Hamilton-Jacobi-Bellman equations for the optimal control of a state equation with memory

Guillaume Carlier; Rabah Tahraoui

ESAIM: Control, Optimisation and Calculus of Variations (2010)

  • Volume: 16, Issue: 3, page 744-763
  • ISSN: 1292-8119

Abstract

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This article is devoted to the optimal control of state equations with memory of the form: x ˙ ( t ) = F ( x ( t ) , u ( t ) , 0 + A ( s ) x ( t - s ) d s ) , t > 0 , with initial conditions x ( 0 ) = x , x ( - s ) = z ( s ) , s > 0 . Denoting by y x , z , u the solution of the previous Cauchy problem and: v ( x , z ) : = inf u V { 0 + e - λ s L ( y x , z , u ( s ) , u ( s ) ) d s } where V is a class of admissible controls, we prove that v is the only viscosity solution of an Hamilton-Jacobi-Bellman equation of the form: λ v ( x , z ) + H ( x , z , x v ( x , z ) ) + D z v ( x , z ) , z ˙ = 0 in the sense of the theory of viscosity solutions in infinite-dimensions of Crandall and Lions.

How to cite

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Carlier, Guillaume, and Tahraoui, Rabah. "Hamilton-Jacobi-Bellman equations for the optimal control of a state equation with memory." ESAIM: Control, Optimisation and Calculus of Variations 16.3 (2010): 744-763. <http://eudml.org/doc/250723>.

@article{Carlier2010,
abstract = { This article is devoted to the optimal control of state equations with memory of the form: $\dot\{x\}(t)=F(x(t),u(t), \int_0^\{+\infty\} A(s) x(t-s) \{\rm d\}s), \; t>0,$with initial conditions $x(0)=x, \; x(-s)=z(s), s>0$. Denoting by $y_\{x, z, u\}$ the solution of the previous Cauchy problem and:$ v(x,z):=\inf_\{u\in V\} \lbrace \int_0^\{+\infty\} \{\rm e\}^\{-\lambda s \} L(y_\{x,z,u\}(s), u(s))\{\rm d\}s\rbrace $ where V is a class of admissible controls, we prove that v is the only viscosity solution of an Hamilton-Jacobi-Bellman equation of the form:$ \lambda v(x,z)+H(x,z,\nabla_x v(x,z))+\langle D_z v(x,z), \dot\{z\} \rangle=0 $ in the sense of the theory of viscosity solutions in infinite-dimensions of Crandall and Lions. },
author = {Carlier, Guillaume, Tahraoui, Rabah},
journal = {ESAIM: Control, Optimisation and Calculus of Variations},
keywords = {Dynamic programming; state equations with memory; viscosity solutions; Hamilton-Jacobi-Bellman equations in infinite dimensions; dynamic programming},
language = {eng},
month = {7},
number = {3},
pages = {744-763},
publisher = {EDP Sciences},
title = {Hamilton-Jacobi-Bellman equations for the optimal control of a state equation with memory},
url = {http://eudml.org/doc/250723},
volume = {16},
year = {2010},
}

TY - JOUR
AU - Carlier, Guillaume
AU - Tahraoui, Rabah
TI - Hamilton-Jacobi-Bellman equations for the optimal control of a state equation with memory
JO - ESAIM: Control, Optimisation and Calculus of Variations
DA - 2010/7//
PB - EDP Sciences
VL - 16
IS - 3
SP - 744
EP - 763
AB - This article is devoted to the optimal control of state equations with memory of the form: $\dot{x}(t)=F(x(t),u(t), \int_0^{+\infty} A(s) x(t-s) {\rm d}s), \; t>0,$with initial conditions $x(0)=x, \; x(-s)=z(s), s>0$. Denoting by $y_{x, z, u}$ the solution of the previous Cauchy problem and:$ v(x,z):=\inf_{u\in V} \lbrace \int_0^{+\infty} {\rm e}^{-\lambda s } L(y_{x,z,u}(s), u(s)){\rm d}s\rbrace $ where V is a class of admissible controls, we prove that v is the only viscosity solution of an Hamilton-Jacobi-Bellman equation of the form:$ \lambda v(x,z)+H(x,z,\nabla_x v(x,z))+\langle D_z v(x,z), \dot{z} \rangle=0 $ in the sense of the theory of viscosity solutions in infinite-dimensions of Crandall and Lions.
LA - eng
KW - Dynamic programming; state equations with memory; viscosity solutions; Hamilton-Jacobi-Bellman equations in infinite dimensions; dynamic programming
UR - http://eudml.org/doc/250723
ER -

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