A remark on dynamic programming with final state constraints

DOI10.1016/S0167-6911(84)80076-6MaRDI QIDQ796093zbMATH OpenOpenAlexFDO

Authors S. A. Belbas

Publication date 1984

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-6911(84)80076-6

zbMATH Keywords

Hamilton-Jacobi equationpenalty functionstate constaints

Mathematics Subject Classification ID

Nonlinear ordinary differential equations and systems (34A34) Dynamic programming in optimal control and differential games (49L20) Hamilton-Jacobi theories (49L99) Dynamic programming (90C39) Nonlinear systems in control theory (93C10) Control/observation systems governed by ordinary differential equations (93C15)

Review text

A controlled system is described by a set of nonlinear ordinary differential equations in \(R^ n\). The control parameter is taking values in a finite or in a compact set. The penalty function is in the usual integral form with discounting factor plus penalty at the time of exit from a given domain. The solution of the Hamilton-Jacobi equation is shown to coincide with the limit of solutions with altered boundary conditions.

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Cites work

• Control of diffusion processes in \(\mathbb R^N\)
• scientific article; zbMATH DE number 3783507 (Why is no real title available?)
• scientific article; zbMATH DE number 3590940 (Why is no real title available?)
• scientific article; zbMATH DE number 3256013 (Why is no real title available?)
• scientific article; zbMATH DE number 3313067 (Why is no real title available?)

Cited in

(2)

• Dynamic programming for free-time problems with endpoint constraints
• A Note on Positive Dynamic Programming

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