A Bellman approach for two-domains optimal control problems in R^N

DOI10.1051/COCV/2012030MaRDI QIDQ2842250zbMATH OpenOpenAlexFDO

Authors Guy Barles, E. Chasseigne, Ariela Briani

Publication date 13 August 2013

Published in European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.3727

zbMATH Keywords

Bellman equation discontinuous dynamics optimal control viscosity solutions

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Abstract: This article is the starting point of a series of works whose aim is the study of deterministic control problems where the dynamic and the running cost can be completely different in two (or more) complementary domains of the space

R^{N}

. As a consequence, the dynamic and running cost present discontinuities at the boundary of these domains and this is the main difficulty of this type of problems. We address these questions by using a Bellman approach: our aim is to investigate how to define properly the value function(s), to deduce what is (are) the right Bellman Equation(s) associated to this problem (in particular what are the conditions on the set where the dynamic and running cost are discontinuous) and to study the uniqueness properties for this Bellman equation. In this work, we provide rather complete answers to these questions in the case of a simple geometry, namely when we only consider two different domains which are half spaces: we properly define the control problem, identify the different conditions on the hyperplane where the dynamic and the running cost are discontinuous and discuss the uniqueness properties of the Bellman problem by either providing explicitly the minimal and maximal solution or by giving explicit conditions to have uniqueness.

Review text

In this interesting paper, the authors study the problem of defining in a right way the dynamics, the cost and the Bellman equation for an optimal control problem whose dynamics and costs are independently (and differently) given in two half-spaces of \(\mathbb{R}^N\).NEWLINENEWLINEIn particular they consider the hyperplane \({\mathcal H}=\{x_N=0\}\), the two half-spaces \(\Omega_1=\{x_N>0\},\Omega_2=\{x_N<0\}\), two controlled dynamics \(b_i:\Omega_i\times A_i\to\mathbb{R}^N\), two running costs \(\ell_i:\Omega_i\times A_i\to\mathbb{R}^N\), and the two corresponding Hamilton-Jacobi-Bellman equations \(H_i(x,u,Du)=0\), \(i=1,2\). By convexification, they suitably define a controlled dynamics on \({\mathcal H}\), and study the following problem:NEWLINENEWLINENEWLINE\[NEWLINE \begin{cases} H_1(x,u,Du)=0&\text{in } \Omega_1,\\ H_2(x,u,Du)=0&\text{in } \Omega_2,\\ \min\{H_1(x,u,Du),H_2(x,u,Du)\}\leq0&\text{on } {\mathcal H}\\ \displaystyle \max\{H_1(x,u,Du),H_2(x,u,Du)\}\geq0&\text{on } {\mathcal H}. \end{cases} NEWLINE\]NEWLINENEWLINENEWLINEThey prove an ad-hoc comparison result for viscosity super- and subsolutions (here the usual double varying technique does not hold). Then they prove that two suitably defined value functions are the minimal viscosity supersolution and the maximal viscosity subsolution of the problem. They also give some further properties of one of these two solutions on \(\mathcal H\). Finally, in the one dimensional setting, they consider two possible approximations/relaxations of the problem.NEWLINENEWLINEThe problem studied here is rather new and with many interesting possible applications, think for instance to the control of hybrid systems.NEWLINENEWLINEThe reviewer would like to point out that another possible approximation/relaxation of the problem can be given by a so-called delayed thermostatic approximation of the switching across the hyperplane. See for instance the following papers (and the references therein):NEWLINENEWLINE[\textit{F. Bagagiolo}, Discrete Contin. Dyn. Syst., Ser. B 5, No. 2, 239--264 (2005; Zbl 1120.49021)],NEWLINENEWLINE [\textit{F. Bagagiolo} and \textit{K. Danieli}, Nonlinear Anal., Hybrid Syst. 6, No. 2, 824--838 (2012; Zbl 1242.49057)].

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