The value function of singularly perturbed control systems
type: Item
instance of: scholarly article
title: The value function of singularly perturbed control systems
zbMATH Open document ID: 0958.49019
published in: Applied Mathematics and Optimization
publication date: 2000-11-20T00:00:00Z
review text: In this paper the authors significantly extend certain existing results concerning the asymptotic behaviour as \(\varepsilon \to 0\) of the value function \[ V_\varepsilon (t,x,y)=\inf_{u(.)} \left\{\int_t^1L(x(\tau),y(\tau),u(\tau))d\tau +\psi (x(1))\right\}, \quad (t,x,y)\in [0,1)\times \mathbb{R}^m\times \mathbb{R}^n \] where the infimum is taken over all measurable (control) functions \(u(.):[t,1]\to U\subset \mathbb{R}^l\) that ``produce'' the unique (absolutely continuous) solution \((x(.),y(.))\) of the problem: \[ x'(\tau)=f(x(\tau),y(\tau),u(\tau)), \;x(t)=x, \;\varepsilon y'(\tau)= g(x(\tau),y(\tau),u(\tau)), \;y(t)=y. \] Under some hypotheses on the value function itself one proves first that for any sequence \(\varepsilon_k \to 0\) there exist a subsequence, say \(\varepsilon_j\to 0\), and a ``cluster function'' \(V(.,.)\), such that \(V_{\varepsilon_j}(t,x,y)\to V(t,x)\) uniformly on compact subsets; next, the authors introduce the rather abstract ``limit Hamiltonians'': \[ H_0(x,\lambda):=\lim_{s\to \infty}H(x,\lambda,s,y) \] \[ H(x,\lambda,s,y)=-\inf_{u(.)}\left\{ {{1}\over {s}}\int_0^s[ L(x,y(\tau), u(\tau)) +\lambda f(x,y(\tau),u(\tau))] d\tau \right\} \] where \(u(.)\) are measurable control functions and \(y(.)\) is the unique solution of the problem: \( y'(\tau)=g(x,y(\tau),u(\tau)), \;y(0)=y\) and prove (on some 5 pages) their main result, Theorem 5.3, stating that under certain hypotheses on \(V\varepsilon(.,.,.)\), \(H(.,.,.,.)\), \(H_0(.,.)\), any ``cluster function'' \(V(.,.)\), of \(V_\varepsilon\), is a viscosity solution of the (``limit'') Hamilton-Jacobi equation: \[ -{{\partial V}\over {\partial t}}+H_0(x, {{\partial V}\over {\partial x}})=0, \;V(1,x)=\psi (x). \] In Theorem 6.3 one identifies certain (more explicit) properties of the data that imply the rather implicit hypotheses of the main result and in a number of comments and examples the authors compare their results with previous work, in particular with those in [\textit{F. Baga…
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 34E15
zbMATH DE Number: 1462425
zbMATH Keywords: optimal control
zbMATH Keywords: singular perturbations
zbMATH Keywords: dynamic programming
zbMATH Keywords: Hamilton-Jacobi equation
zbMATH Keywords: viscosity solution
zbMATH Keywords: limit Hamiltonian
author: V. Gaitsgory
author: Zvi Artstein
reviewed by: Ştefan Mirică
MaRDI profile type: Publication
full work available at URL: s002459911022
OpenAlex ID: W2076100084
DOI: 10.1007/S002459911022
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description: scientific article; zbMATH DE number 1462425