The Bellman equation for constrained deterministic optimal control problems

MaRDI QIDQ688889zbMATH OpenFDO

Authors Stefania Bortoletto

Publication date 1 November 1993

Published in Differential and Integral Equations (Search for Journal in Brave)

zbMATH Keywords

Bellman equationdifferential inclusiondynamic programmingHamilton-Jacobi equationtime optimal control

Mathematics Subject Classification ID

Boundary value problems for nonlinear first-order PDEs (35F30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Review text

The author considers the problem of time optimal control to a given target for the ODE system \(y'= f(y,u)\) with a state dependent control constraint \(u\in U(y)\), where \(U\) is assumed to be Lipschitzian with compact values. She proves that the value function is a viscosity solution of the associated Hamilton-Jacobi equation \(H(x,DW)= 0\). She also proves that, under certain conditions, any viscosity subsolution of the boundary value problem for the \(H\)-\(J\) equation yields a solution to the control problem. If the target is regular, she shows that the optimal value function is continuous, and she also obtains a condition which is both necessary and sufficient for optimality.

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Cited in

(16)

• Bellman functions in the optimization of dynamic systems under uncertainty
• The Bellman equation for time-optimal control of noncontrollable, nonlinear systems
• Hamilton-Jacobi-Bellman equations for optimal control processes with convex state constraints
• Optimality principles and uniqueness for Bellman equations of unbounded control problems with discontinuous running cost
• An approach of deterministic control problems with unbounded data
• A Bellman approach for two-domains optimal control problems in \(\mathbb{R}^N\)
• The solution of riccati's equation asthe hessian of bellman's function
• Semigeodesics and the minimal time function
• scientific article; zbMATH DE number 5521039 (Why is no real title available?)
• scientific article; zbMATH DE number 4112417 (Why is no real title available?)
• The Hamiltonian–Jacobi–Bellman Equation for Time-Optimal Control
• scientific article; zbMATH DE number 1484942 (Why is no real title available?)
• On the equivalence of the integral and differential Bellman equations in impulse control problems
• scientific article; zbMATH DE number 5049458 (Why is no real title available?)
• Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints
• An optimal control problem with a final target

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