Optimal value functions for weakly coupled systems: a posteriori estimates

DOI10.1002/ZAMM.201100138MaRDI QIDQ5415436zbMATH OpenOpenAlexFDO

Authors Péter Koltai, Oliver Junge

Publication date 12 May 2014

Published in ZAMM - Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.3616

zbMATH Keywords

dynamic programmingoptimal value functionweakly coupled system

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Linear-quadratic optimal control problems (49N10)

Abstract: We consider weakly coupled LQ optimal control problems and derive estimates on the sensitivity of the optimal value function in dependence of the coupling strength. In order to improve these sensitivity estimates a "coupling adapted" norm is proposed. Our main result is that if a weak coupling suffices to destabilize the closed loop system with the optimal feedback of the uncoupled system then the value function might change drastically with the coupling. As a consequence, it is not reasonable to expect that a weakly coupled system possesses a weakly coupled optimal value function. Also, for a known result on the connection of the separation operator and the stability radius a new and simpler proof is given.

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Cites work

• Global optimal control of perturbed systems
• Interconnected Systems with Uncertain Couplings: Explicit Formulae formu-Values, Spectral Value Sets, and Stability Radii
• On the distance to uncontrollability and the distance to instability and their relation to some condition numbers in control
• On the Separation of Two Matrices
• Stability radii of linear systems
• The Sensitivity of the Algebraic and Differential Riccati Equations
• The Sensitivity of the Stable Lyapunov Equation

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