Subdifferentials of nonconvex integral functionals in Banach spaces with applications to stochastic dynamic programming
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Gelfand integralgeneralized Leibniz formulasintegral functionalsLyapunov convexity theoremMordukhovich (limiting) subdifferentialoptimal value functionssaturated measure spacesstochastic dynamic programmingsubdifferential mappings
Vector-valued set functions, measures and integrals (28B05) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Nonsmooth analysis (49J52) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Optimality conditions and duality in mathematical programming (90C46) Derivative-free methods and methods using generalized derivatives (90C56)
Abstract: The paper concerns the investigation of nonconvex and nondifferentiable integral functionals on general Banach spaces, which may not be reflexive and/or separable. Considering two major subdifferentials of variational analysis, we derive nonsmooth versions of the Leibniz rule on subdifferentiation under the integral sign, where the integral of the subdifferential set-valued mappings generated by Lipschitzian integrands is understood in the Gelfand sense. Besides examining integration over complete measure spaces and also over those with nonatomic measures, our special attention is drawn to a stronger version of measure nonatomicity, known as saturation, to invoke the recent results of the Lyapunov convexity theorem type for the Gelfand integral of the subdifferential mappings. The main results are applied to the subdifferential study of the optimal value functions and deriving the corresponding necessary optimality conditions in nonconvex problems of stochastic dynamic programming with discrete time on the infinite horizon.
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