Verification Theorems for Hamilton--Jacobi--Bellman Equations
نویسندگان
چکیده
منابع مشابه
Verification Theorems for Hamilton--Jacobi--Bellman Equations
We study an optimal control problem in Bolza form and we consider the value function associated to this problem. We prove two verification theorems which ensure that, if a function W satisfies some suitable weak continuity assumptions and a Hamilton-Jacobi-Bellman inequality outside a countably H-rectifiable set, then it is lower or equal to the value function. These results can be used for opt...
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Competition glider flying, like other outdoor sports, is a game of stochastic optimization, in which mathematics and quantitative strategies have historically played an important role. We address the problem of uncertain future atmospheric conditions by constructing a nonlinear Hamilton-Jacobi-Bellman equation for the optimal speed to fly, with a free boundary describing the climb/cruise decisi...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2003
ISSN: 0363-0129,1095-7138
DOI: 10.1137/s0363012902392688