Dynamic Programming Principle and Hamilton--Jacobi--Bellman Equations for Fractional-Order Systems

DOI10.1137/19M1279368MaRDI QIDQ5136128zbMATH OpenOpenAlexFDO

Authors Mikhail Gomoyunov

Publication date 25 November 2020

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.01747

zbMATH Keywords

feedback controlfractional derivativesHamilton-Jacobi-Bellman equationoptimal controldynamic programming principlecoinvariant derivatives

Mathematics Subject Classification ID

Dynamic programming (90C39) Hamilton-Jacobi equations (35F21) Dynamic programming in optimal control and differential games (49L20) Optimal feedback synthesis (49N35)

Abstract: We consider a Bolza-type optimal control problem for a dynamical system described by a fractional differential equation with the Caputo derivative of an order $alphain(0,1)$. The value of this problem is introduced as a functional in a suitable space of histories of motions. We prove that this functional satisfies the dynamic programming principle. Based on a new notion of coinvariant derivatives of the order $alpha$, we associate the considered optimal control problem with a Hamilton-Jacobi-Bellman equation. Under certain smoothness assumptions, we establish a connection between the value functional and a solution to this equation. Moreover, we propose a way of constructing optimal feedback controls. The paper concludes with an example.

Recommendations

• Solving a class of fractional optimal control problems by the Hamilton-Jacobi-Bellman equation
• The fractional Hamilton-Jacobi-Bellman equation
• Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function
• Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
• Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
• Fractional variations for dynamical systems: Hamilton and Lagrange approaches
• Hamilton–Jacobi–Bellman Equation for Control Systems With Friction

Cites work

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 3987773 (Why is no real title available?)
• scientific article; zbMATH DE number 3177889 (Why is no real title available?)
• scientific article; zbMATH DE number 192835 (Why is no real title available?)
• scientific article; zbMATH DE number 733955 (Why is no real title available?)
• scientific article; zbMATH DE number 2075140 (Why is no real title available?)
• scientific article; zbMATH DE number 1374044 (Why is no real title available?)
• scientific article; zbMATH DE number 2217537 (Why is no real title available?)
• A priori estimates for solutions of boundary value problems for fractional-order equations
• Controlled singular Volterra integral equations and Pontryagin maximum principle
• Differential Games
• Differentiation of real functions
• Extremal shift to accompanying points in a positional differential game for a fractional-order system
• Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function
• Fractional derivatives of convex Lyapunov functions and control problems in fractional order systems
• Fractional differential equations and Lyapunov functionals
• Generation of nonlocal fractional dynamical systems by fractional differential equations
• Hamilton-Jacobi functional equations and differential games for neutral-type systems
• History path dependent optimal control and portfolio valuation and management
• Lyapunov functions for fractional order systems
• Minimum energy control of fractional positive electrical circuits with bounded inputs
• No nonlocality. No fractional derivative
• On chain rule for fractional derivatives
• On the adaptive sliding mode controller for a hyperchaotic fractional-order financial system
• On the theory of differential games of systems with aftereffect
• Optimal control of a fractional-order model for the HIV/AIDS epidemic
• Path-dependent Hamilton-Jacobi equations in infinite dimensions
• Pontryagin maximum principle for general Caputo fractional optimal control problems with Bolza cost and terminal constraints
• Solution to a zero-sum differential game with fractional dynamics via approximations
• Solving a class of fractional optimal control problems by the Hamilton-Jacobi-Bellman equation
• Stability of Caputo fractional differential equations by Lyapunov functions.
• Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost
• The analysis of fractional differential equations. An application-oriented exposition using differential operators of Caputo type
• Two person zero-sum game in weak formulation and path dependent Bellman-Isaacs equation

Cited in

(21)

• Value functional and optimal feedback control in linear-quadratic optimal control problem for fractional-order system
• On optimal positional strategies in fractional optimal control problems
• On differentiability of solutions of fractional differential equations with respect to initial data
• Path-dependent Hamilton-Jacobi equations: the minimax solutions revised
• On the relationship between the Pontryagin maximum principle and the Hamilton-Jacobi-Bellman equation in optimal control problems for fractional-order systems
• On linear-quadratic differential games for fractional-order systems
• Minimax solutions of Hamilton-Jacobi equations with fractional coinvariant derivatives
• Optimal feedback in a linear-quadratic optimal control problem for a fractional-order system
• Causal state feedback representation for linear quadratic optimal control problems of singular Volterra integral equations
• Minimax solutions of Hamilton-Jacobi equations in dynamic optimization problems for hereditary systems
• scientific article; zbMATH DE number 7726320 (Why is no real title available?)
• On viscosity solutions of path-dependent Hamilton-Jacobi-Bellman-Isaacs equations for fractional-order systems
• Abstract McKean-Vlasov and Hamilton-Jacobi-Bellman equations, their fractional versions and related forward-backward systems on Riemannian manifolds
• Differential games in fractional-order systems: inequalities for directional derivatives of the value functional
• Minimax solutions of homogeneous Hamilton-Jacobi equations with fractional-order coinvariant derivatives
• Game-theoretical problems for fractional-order nonstationary systems
• Infinite horizon linear quadratic optimal control problems for singular Volterra integral equations
• A control parameterization method for solving combined fractional optimal parameter selection and optimal control problems
• Sensitivity analysis of value functional of fractional optimal control problem with application to feedback construction of near optimal controls
• Solving a class of fractional optimal control problems by the Hamilton-Jacobi-Bellman equation
• Global stabilization of uncertain nonlinear systems via fractional-order PID

This page was built for publication: Dynamic Programming Principle and Hamilton--Jacobi--Bellman Equations for Fractional-Order Systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5136128)