Limit value for optimal control with general means

DOI10.3934/DCDS.2016.36.2113zbMATH Open1326.93129arXiv1503.05238OpenAlexW1691197524MaRDI QIDQ887698FDOQ887698

Authors: Xiaoxi Li, Marc Quincampoix, Jérôme Renault 

Publication date: 27 October 2015

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Abstract: We consider optimal control problem with an integral cost which is a mean of a given function. As a particular case, the cost concerned is the Ces`aro average. The limit of the value with Ces`aro mean when the horizon tends to infinity is widely studied in the literature. We address the more general question of the existence of a limit when the averaging parameter converges, for values defined with means of general types. We consider a given function and a family of costs defined as the mean of the function with respect to a family of probability measures -- the evaluations -- on R_+. We provide conditions on the evaluations in order to obtain the uniform convergence of the associated value function (when the parameter of the family converges). Our main result gives a necessary and sufficient condition in term of the total variation of the family of probability measures on R_+. As a byproduct, we obtain the existence of a limit value (for general means) for control systems having a compact invariant set and satisfying suitable nonexpansive property.

Full work available at URL: https://arxiv.org/abs/1503.05238

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zbMATH Keywords

optimal controllimit valuegeneral meanslong time average value

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20) Ergodic theory (37A99)

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Cited In (10)

• Existence of asymptotic values for nonexpansive stochastic control systems
• Representation formulas for limit values of long run stochastic optimal controls
• Acyclic Gambling Games
• On Tauberian theorem for stationary Nash equilibria
• Tauberian theorem for value functions
• On the existence of a limit value in some nonexpansive optimal control problems
• A note on general Tauberian-type results for controlled stochastic dynamics
• The folk theorem for repeated games with time-dependent discounting
• On representation formulas for long run averaging optimal control problem
• Asymptotics of values in dynamic games on large intervals

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