Maximum principle, dynamic programming and their connection in deterministic control

DOI10.1007/BF01102352zbMath0676.49024OpenAlexW2082734851MaRDI QIDQ1122773

S. H. Smith

Publication date: 1990

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01102352

zbMATH Keywords

subdifferentialPontryagin's maximum principleviscositysuperdifferentialHamilton-Jacobi-BellmanBellman's dynamic programming

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonsmooth analysis (49J52) Optimality conditions for problems involving ordinary differential equations (49K15)

Related Items (16)

Value function and optimality condition for semilinear control problems. II: Parabolic case ⋮ The method of characteristics for Hamilton-Jacobi equations and applications to dynamical optimization ⋮ Characterization of optimality for controlled diffusion processes ⋮ Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case ⋮ Dynamic programming principle of control systems on manifolds and its relations to maximum principle ⋮ Neural network architectures using min-plus algebra for solving certain high-dimensional optimal control problems and Hamilton-Jacobi PDEs ⋮ Relationship between the maximum principle and dynamic programming for minimax problems ⋮ Sensitivity results in stochastic optimal control: A Lagrangian perspective ⋮ Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems ⋮ On consistent regularities of control and value functions ⋮ Remarks on optimal controls of stochastic partial differential equations ⋮ Differential equations. Transl. from the Russian ⋮ Value functions and transversality conditions for infinite-horizon optimal control problems ⋮ A note on the value function for constrained control problems ⋮ Regularity along optimal trajectories of the value function of a Mayer problem ⋮ Relationship between maximum principle and dynamic programming in presence of intermediate and final state constraints

Cites Work

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• Local Optimality Conditions and Lipschitzian Solutions to the Hamilton–Jacobi Equation
• Optimization and nonsmooth analysis
• Viscosity Solutions of Hamilton-Jacobi Equations
• The Relationship between the Maximum Principle and Dynamic Programming
• The Maximum Principle under Minimal Hypotheses
• The Pontryagin Maximum Principle From Dynamic Programming and Viscosity Solutions to First-Order Partial Differential Equations

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