an:01462425
Zbl 0958.49019
Artstein, Z.; Gaitsgory, V.
The value function of singularly perturbed control systems
EN
Appl. Math. Optimization 41, No. 3, 425-445 (2000).
00062831
2000
j
49L25 49L20 34E15
optimal control; singular perturbations; dynamic programming; Hamilton-Jacobi equation; viscosity solution; limit Hamiltonian
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. Bagagiolo} and \textit{M. Bardi}, SIAM J. Control Optimization 36, No. 6, 2040-2060 (1998; Zbl 0953.49031)] and [\textit{P.-L. Lions}, ``Generalized solutions of Hamilton-Jacobi equations'' (1982; Zbl 0497.35001)], where problems ``without order reduction hypothesis'' are considered.
Stefan Mirica (Bucure??ti)
Zbl 0953.49031; Zbl 0497.35001