Averaging in optimal switching control problems

DOI10.1007/S11766-000-0015-6MaRDI QIDQ1976464zbMATH OpenOpenAlexFDO

Authors Fenglin Xu

Publication date 10 May 2000

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-000-0015-6

zbMATH Keywords

averagingHamilton-Jacobi-Bellman equationsoptimal switchingswitching controlvalue functionviscosity solutions

Mathematics Subject Classification ID

Averaging method for ordinary differential equations (34C29) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Nonlinear systems in control theory (93C10) Stabilization of systems by feedback (93D15)

Review text

This paper presents two cases in optimal switching control problems: (1) the switching cost does not depend on \(\varepsilon\) and (2) the switching cost vanishes as \(\varepsilon\) tends to zero. It is proved that the value function of the original fast problem converges locally uniformly to the value function of the averaged problem in both cases. In case (1) the limit problem is a switching control problem. The limit problem in case (2) is a classical control problem and the controls are involved in averaging.

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Cites work

• Analyse Asymptotique et Probleme Homogeneise en Controle Optimal avec Vibrations Rapides
• Averaging and Deterministic Optimal Control
• Averaging in Lagrange and Minimax Problems of Optimal Control
• Optimal Switching for Ordinary Differential Equations
• Pontryagin maximum principle for semilinear second order elliptic partial differential equations and variational inequalities with state constraints
• Systems governed by ordinary differential equations with continuous, switching and impulse controls
• The perturbed test function method for viscosity solutions of nonlinear PDE

Cited in

(4)

• Improving performance in model predictive control: switching cost functionals under average dwell-time
• Averaging in Lagrange and Minimax Problems of Optimal Control
• On representation formulas for long run averaging optimal control problem
• Controlled Switching Diffusions Under Ambiguity: The Average Criterion

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