Continuity of the value function for deterministic optimal impulse control with terminal state constraint

DOI10.1051/COCV/2021101zbMATH Open1492.49034arXiv2005.09989OpenAlexW3216085193MaRDI QIDQ5084587FDOQ5084587

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Publication date: 27 June 2022

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Abstract: Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be discontinuous in general. The main contribution of this paper is the introduction of an intrinsic condition under which the value function is continuous. Then by a Bellman dynamic programming method, the corresponding Hamilton-Jacobi-Bellman type quasi-variational inequality (QVI, for short) is derived for which the value function is a viscosity solution. The issue of whether the value function is characterized as the unique viscosity solution to this QVI is carefully addressed and the answer is left open challengingly.

Full work available at URL: https://arxiv.org/abs/2005.09989

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zbMATH Keywords

viscosity solutionterminal state constraintoptimal impulse controlcontinuity of value functionHamilton-Jacobi-Bellman quasi-variational inequality

Mathematics Subject Classification ID

Dynamic programming (90C39) Viscosity solutions to PDEs (35D40) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25)

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