On nonuniqueness of solutions of Hamilton-Jacobi-Bellman equations

DOI10.1007/S00245-016-9393-XzbMATH Open1392.35324arXiv1505.06567OpenAlexW2552092901WikidataQ59473391 ScholiaQ59473391MaRDI QIDQ722078FDOQ722078

Authors: Arkadiusz Misztela 

Publication date: 20 July 2018

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: An example of a nonunique solution of the Cauchy problem of Hamilton-Jacobi-Bellman (HJB) equation with surprisingly regular Hamiltonian is presented. The Hamiltonian H(t,x,p) is locally Lipschitz continuous with respect to all variables, convex in p and with linear growth with respect to p and x. The HJB equation possesses two distinct lower semicontinuous solutions with the same final conditions; moreover, one of them is the value function of the corresponding Bolza problem. The definition of lower semicontinuous solution was proposed by Barron-Jensen (1990) and Frankowska (1993). Using the example an analysis and comparison of assumptions in some uniqueness results in HJB equations is provided.

Full work available at URL: https://arxiv.org/abs/1505.06567

Recommendations

• Lower Semicontinuous Solutions of Hamilton–Jacobi–Bellman Equations
• scientific article
• Lower semicontinuous solutions for a class of Hamilton-Jacobi-Bellman equations
• Uniqueness of lower semicontinuous solutions for Hamilton Jacobi equations arising from \(L^{\infty}\) control problem
• scientific article; zbMATH DE number 2222954

zbMATH Keywords

Hamilton-Jacobi-Bellman equationnonsmooth analysisviscosity solutionoptimal control theory

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) PDEs in connection with control and optimization (35Q93) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

• Variational Analysis
• Stable representation of convex Hamiltonians
• Viscosity Solutions of Hamilton-Jacobi Equations
• Optimal Control of Unbounded Differential Inclusions
• Value functions for Bolza problems with discontinuous Lagrangians and Hamilton-Jacobi inequalities
• Lower Semicontinuous Solutions of Hamilton–Jacobi–Bellman Equations
• Set-valued analysis
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Semicontinuous Viscosity Solutions For Hamilton–Jacobi Equations With Convex Hamiltonians
• Title not available (Why is that?)
• Remarks on the existence and uniqueness of unbounded viscosity solutions of Hamilton-Jacobi equations
• Bolza Problems with General Time Constraints
• New Necessary Conditions for the Generalized Problem of Bolza
• On representation formulas for Hamilton Jacobi's equations related to calculus of variations problems
• Cosmically Lipschitz set-valued mappings
• Extended Hamilton--Jacobi Characterization of Value Functions in Optimal Control
• The value function representing Hamilton-Jacobi equation with Hamiltonian depending on value of solution
• Faithful Representations for Convex Hamilton--Jacobi Equations
• Optimal control problems with upper semicontinuous Hamiltonians

Cited In (8)

• Representation of Hamilton-Jacobi equation in optimal control theory with unbounded control set
• Existence and multiplicity for Hamilton-Jacobi-Bellman equation
• Reduction of lower semicontinuous solutions of Hamilton-Jacobi-Bellman equations
• Representation of Hamilton-Jacobi equation in optimal control theory with compact control set
• Title not available (Why is that?)
• Non-uniqueness of solutions of the Hamilton-Jacobi-Bellman equation for time-average control
• On the fragility of the basis on the Hamilton-Jacobi-Bellman equation in economic dynamics
• Title not available (Why is that?)

This page was built for publication: On nonuniqueness of solutions of Hamilton-Jacobi-Bellman equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q722078)