Stochastic homogenization of deterministic control problems
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Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Hamilton-Jacobi equations (35F21) Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Abstract: In this paper we study homogenization of a class of control problems in a stationary and ergodic random environment. This problem has been mostly studied in the calculus of variations setting in connection to the homogenization of the Hamilton-Jacobi equations. We extend the result to the control problems with fairly general state dynamics and macroscopically inhomogeneous Lagrangians. Moreover, our approach proves homogenization under weaker growth assumptions on the Lagrangian even in the well-studied calculus of variations setting.
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Cites work
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- Homogenization of “Viscous” Hamilton–Jacobi Equations in Stationary Ergodic Media
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- scientific article; zbMATH DE number 46153 (Why is no real title available?)
- scientific article; zbMATH DE number 1569318 (Why is no real title available?)
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- Weak KAM theory topics in the stationary ergodic setting
Cited in
(13)- A homing problem for diffusion processes with control-dependent variance.
- Stochastic control of a class of dynamical systems via path limits
- Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach
- Stochastic control and principal eigenvaluet†
- Controlled diffusions in a random medium
- Stochastic homogenization of \(L^\infty\) variational problems
- Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control
- A Control Variate Approach Based on a Defect-Type Theory for Variance Reduction in Stochastic Homogenization
- Intrinsic difficulties in stochastic control of unstable convolution operators on Z
- A stochastic approach to the closure of accessible sets of control systems with application on homogeneous spaces
- Homogenization results for a deterministic multi-domains periodic control problem
- Nonconvex homogenization for one-dimensional controlled random walks in random potential
- Homogenization in \(L^\infty\)
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