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

DOI10.1137/19M1279368zbMATH Open1452.49017arXiv1908.01747OpenAlexW3095160273MaRDI QIDQ5136128FDOQ5136128

Authors: Mikhail Gomoyunov 

Publication date: 25 November 2020

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

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.

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

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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)

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Cited In (21)

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