Hamilton-Jacobi-Bellman equations and optimal control
The paper presents an overview of some applications of the theory of viscosity solutions of Hamilton-Jacobi-Bellman equations connected to nonlinear optimal control problems for systems governed by ordinary differential equations. Several optimal control problems are formulated and the corresponding HJB equations are given. The notion of viscosity solution (originally introduced by \textit{M. G. Crandall} and \textit{P.-J. Lions} [ Trans. Am. Math. Soc. 277, 1-42 (1983; Zbl 0599.35024)]) and some basic facts about them are reviewed including some sample results concerning comparison, uniqueness and stability properties. As an example, a result which characterizes the value function of the infinite horizon discounted regulator problem in terms of HJB equation is described, and necessary and sufficient conditions of optimality are deduced. A convergence theorem on the approximate synthesis problem is formulated, and an outlook to some important topics not discussed in the paper is outlined. For the entire collection see [Zbl 0885.00052].
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- Dynamic programming and viscosity solutions for the optimal control of quantum spin systems
- Nonlinear potentials for Hamilton-Jacobi-Bellman equations. II
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