Bellman functions in the optimization of dynamic systems under uncertainty

MaRDI QIDQ1086830zbMATH OpenFDO

Authors È. N. Simakova

Publication date 1986

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

Bellman's equationBellman's functiondynamic systems under uncertaintysufficient optimality conditions

Mathematics Subject Classification ID

Optimality conditions for problems involving ordinary differential equations (49K15) Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Positional games (pursuit and evasion, etc.) (91A24) Game theory (91A99)

Review text

The author discusses a specific optimization problem of dynamic systems under uncertainty namely, the game of two cars of \textit{R. Isaacs} [Differential games (1965; Zbl 0125.380)]. It is shown that the well known sufficient optimality conditions expressed in terms of the solution to Bellman's equation (Bellman's function) for a deterministic system do not hold here. However, assuming that no allowed disturbances can move the path of the system out of the domain of definition of the obtained Bellman function before this path reaches the terminal set of the system, then sufficient optimality conditions for the deterministic case hold even for the nondeterministic system.

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Cited in

(4)

• Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
• Bellman Function for Extremal Problems in BMO II: Evolution
• The game of two identical cars: an analytical description of the barrier
• Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function

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