Verification Theorems for Hamilton--Jacobi--Bellman Equations

نویسنده

  • Mauro Garavello
چکیده

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 optimal synthesis approach.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Statistical control of control-affine nonlinear systems with nonquadratic cost functions: HJB and verification theorems

In statistical control, the cost function is viewed as a random variable and one optimizes the distribution of the cost function through the cost cumulants. We consider a statistical control problem for a control-affine nonlinear system with a nonquadratic cost function. Using the Dynkin formula, the Hamilton–Jacobi–Bellman equation for the nth cost moment case is derived as a necessary conditi...

متن کامل

Introduction to Optimal Control , Fall 2009

Topics considered here include: examples of optimal control problems; dynamic programming and the Hamilton-Jacobi-Bellman equation; verification theorems; the Pontryagin Maximum Principle Principle. The examples include many with an economic flavor, but others too (including the Hopf-Lax solution formula for ut + H(Du) = 0 with H convex). There’s much more here than we’ll have time to do in lec...

متن کامل

Equations for the Optimal Control of Differential Equations with Delays and State Constraints , I : Regularity and Applications . ∗

We study a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to build, see [1, 2, 25]. We embed the problem in a suitable Hilbert space H and consider the associated Hamilton-Jacobi-Bellman (HJB) equation. This kind of infin...

متن کامل

Error Bounds for Monotone Approximation Schemes for Hamilton-Jacobi-Bellman Equations

We obtain error bounds for monotone approximation schemes of Hamilton-Jacobi-Bellman equations. These bounds improve previous results of Krylov and the authors. The key step in the proof of these new estimates is the introduction of a switching system which allows the construction of approximate, (almost) smooth supersolutions for the Hamilton-Jacobi-Bellman equation.

متن کامل

Stochastic Optimal Control of Delay Equations Arising in Advertising Models

We consider a class of optimal control problems of stochastic delay differential equations (SDDE) that arise in connection with optimal advertising under uncertainty for the introduction of a new product to the market, generalizing classical work of Nerlove and Arrow [30]. In particular, we deal with controlled SDDE where the delay enters both the state and the control. Following ideas of Vinte...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:
  • SIAM J. Control and Optimization

دوره 42  شماره 

صفحات  -

تاریخ انتشار 2003