On Lipschitz continuity of value functions for infinite horizon problem

MaRDI QIDQ4639423zbMATH OpenFDO

Authors Dmitriĭ V. Khlopin

Publication date 9 May 2018

Full work available at URL https://arxiv.org/abs/1508.06777, http://www.yokohamapublishers.jp/online2/oppafa/vol2/p535.html

zbMATH Keywords

dynamic programming principleinfinite horizon control problemnecessary conditionsoptimal controlvalue function

Mathematics Subject Classification ID

Optimality conditions for problems involving ordinary differential equations (49K15) Sensitivity, stability, well-posedness (49K40) Dynamic programming in optimal control and differential games (49L20) Economic growth models (91B62)

Abstract: We investigate conditions of optimality for an infinite horizon control problem and consider their correspondence with the value function. Assuming Lipschitz continuity of the value function, we prove that sensitivity relations plus the normal form version of the Pontryagin Maximum Principle is a necessary and sufficient condition for the optimality criteria that correspond to this value function. Different criteria of optimality under different asymptotic constraints may be used, including almost strong and classical optimality proposed by D.Bogusz. Special attention is devoted to weakly agreeable criteria. We also obtain the conditions on control system (like controllability) that guarantee the Lipschitz continuity of the value function, without any other asymptotic conditions besides finiteness of the value function. Some examples are discussed. In particular, it was shown that the same control, regarded as agreeable optimal and overtaking optimal control, can correspond to different (everywhere) value functions.

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(11)

• Lipschitz continuity of the value function in optimal control
• Necessary conditions for infinite horizon optimal control problems with state constraints
• On Tauberian theorem for stationary Nash equilibria
• Lipschitz continuity of the value function for the infinite horizon optimal control problem under state constraints
• On Hamiltonian as limiting gradient in infinite horizon problem
• Value function, relaxation, and transversality conditions in infinite horizon optimal control
• Necessary conditions in infinite-horizon control problems that need no asymptotic assumptions
• Turnpike phenomenon for symmetric variational problems
• Multiple turnpikes for variational problems with extended-valued integrands
• Multiple turnpikes of linear control systems with nonconvex integrands
• Multiple turnpikes for an optimal control problem in a compact metric space

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