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Viscosity solutions and optimal control problems with integral constraints

โœ Scribed by Pierpaolo Soravia

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
113 KB
Volume
40
Category
Article
ISSN
0167-6911

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โœฆ Synopsis

We discuss optimal control problems with integral state-control constraints. We rewrite the problem in an equivalent form as an optimal control problem with state constraints for an extended system, and prove that the value function, although possibly discontinuous, is the unique viscosity solution of the constrained boundary value problem for the corresponding Hamilton-Jacobi equation. The state constraint is the epigraph of the minimal solution of a second Hamilton-Jacobi equation. Our framework applies, for instance, to systems with design uncertainties.

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