Regularization of the Hamilton-Jacobi-Bellman equation with nonlinearity of the module type in optimal control problems (Q2487444)

As a procedure to ``regularize'' a non-smooth Hamilton-Jacobi equation of the form \[ S_\tau-y_1S_{x_1}+x_1\omega^2S_{y_1}+| S_{y_1}| =0, \;S(y_1,x_1,0)=y_1^2+\omega^2x_1^2 \] that is associated to some optimal control problems, the authors suggest the study of a sequence of smooth (regularized) problems \[ N_\tau-y_1N_{x_1}+x_1\omega^2N_{y_1}+\varphi_i(N_{y_1})=0, \;N(y_1,x_1,0)=y_1^2+\omega^2x_1^2 \] defined by a decreasing sequence \(\epsilon_i\searrow 0\) and by the functions \(\varphi_i(.)\) defined by \[ \varphi_i(p):={{p(-1+\exp(p/\varepsilon_i))}\over{1+\exp(p/\varepsilon_i)}} \] that are approximating \(| p| \) as \(\varepsilon_i\searrow 0\). For the smooth problems the authors are using Cauchy's method of characteristics to obtain certain (rather complicated) formulas that define the so-called ``switching lines'', \({{\partial N}\over{\partial y_1}}=0\), and the so-called ``focal point''.