scientific article; zbMATH DE number 1300164
Continuing previous work of \textit{S. Stojanovic} and \textit{J. Yong} [J. Math. Anal. Appl. 138, No. 2, 418-438 (1989; Zbl 0677.49003); ibid. 439-460 (1989; Zbl 0677.49004)], the author gives a direct and apparently simpler proof of a theorem stating that the value function \(V(.)=(V^1(.),\dots \;V^m(.))\) of the so-called ``optimal switching problem on a Hilbert space \(X\) is the unique \(B\)-continuous viscosity solution of an associated Hamilton-Jacobi-Bellman (HJB) system. The optimal switching problem considered in the paper consists in minimizing all the (cost) functionals: \[ J_x^d(d(.)):=\int_0^\infty f^0(y_x(t),d(t))e^{-\lambda t}dt +\sum_{i\geq 1} k(d_{i-1},d_i)e^{-\lambda \theta_i} \] subject to: \[ y'_x(t)=Ay_x(t)+f(y_x(t),d(t)), \;y_x(0)=x\in X, \;d\in \Lambda :=\{1,2,\dots \;,m \}, \] over a certain class, \(A^d=\{d(.)=\sum_{i\geq 1}d_{i-1}\chi_{[\theta_{i-1}, \theta_i]}(.):[0,\infty) \to \Lambda , \;d_0=d \}\), of ``admissible controls; for each \(d\in \Lambda\), the component \(V^d(.)\) of the so-called ``value function is defined as usual as: \[ V^d(x):=\inf \{J^d_x(d(.)); \;d(.)\in A^d \}, \;x\in X, \;d\in \Lambda, \] and the vector \(V(.)=(V^1(.),\dots, V^m(.))\) is proved to be a ``viscosity solution (in a sense that is analogous to the usual one) of an associated HJB system that is also unique in the class of \(B\)-continuous mappings for a given positive, selfadjoint operator \(B\in L(X)\), which induces a seminorm on \(X\).
- Optimal Switching for Ordinary Differential Equations
- Systems governed by ordinary differential equations with continuous, switching and impulse controls
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