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

Tahraoui, Rabah; Carlier, Guillaume

Tahraoui, Rabah; Carlier, Guillaume (2010), Hamilton-Jacobi-Bellman equations for the optimal control of a state equation with memory, ESAIM. COCV, 16, 3, p. 744-763. http://dx.doi.org/10.1051/cocv/2009024

Type

Article accepté pour publication ou publié

External document link

http://hal.archives-ouvertes.fr/hal-00363273/en/

Date

2010

Journal name

ESAIM. COCV

Volume

Number

Publisher

EDP Sciences

Pages

744-763

Abstract (EN)

This article is devoted to the optimal control of state equations with memory of the form: ?[x(t) = F\left(x(t),u(t), \int_0^{+\infty} A(s) x(t-s) ds\right), \; 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: \[v(x,z):=\inf_{u\in V} \left\{ \int_0^{+\infty} e^{-\lambda s } L(y_{x,z,u}(s), u(s))ds \right\}\] 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: \[\lambda v(x,z)+H(x,z,\nabla_x v(x,z))+\=0\] in the sense of the theory of viscosity solutions in infinite-dimensions of M. Crandall and P.-L. Lions.

Subjects / Keywords

Hamilton-Jacobi-Bellman equations in infinite dimensions; Dynamic programming; state equations with memory; viscosity solutions