Uniformly overtaking and weakly overtaking optimal solutions in infinite-horizon optimal control: When optimal solutions are agreeable

In this paper, we investigate the relationship between two classes of optimality which have arisen in the study of dynamic optimization problems defined on an infinite-time domain. We utilize an optimal control framework to discuss our results. In particular, we establish relationships between limiting objective functional type optimality concepts, commonly known as overtaking optimality and weakly overtaking optimality, and the finite-horizon solution concepts of decision-horizon optimality and agreeable plans. Our results show that both classes of optimality are implied by corresponding uniform limiting objective functional type optimality concepts, referred to here as uniformly overtaking optimality and uniformly weakly overtaking optimality. This observation permits us to extract sufficient conditions for optimality from known sufficient conditions for overtaking and weakly overtaking optimality by strengthening their hypotheses. These results take the form of a strengthened maximum principle. Examples are given to show that the hypotheses of these results can be realized.This research was supported by the National Science Foundation, Grant No. DMS-87-00706, and by the Southern Illinois University at Carbondale, Summer Research Fellowship Program.     

System Regularity and Overtaking Rules in Bus Services

A detailed analysis on the effects of different overtaking rules upon scheduled and unscheduled urban bus services was carried out. The analysis used computer models, which were developed to simulate bus operation strategies with or without overtaking and possibly parallel loading.Permitting overtaking in unscheduled services was found to reduce the journey time of the buses but resulted in a higher degree of irregularity in the service. Scheduled services, in contrast, appeared to be more reliable when overtaking was permitted. In such services, permission for overtaking reduced the waiting times of passengers as a result of faster journeys and a more regular service.     

On the existence of overtaking trajectories

A study is made of the conditions sufficient for the existence of overtaking trajectories for a class of infinite time-horizon, time-variant optimal control systems. Nonautonomy is restricted to disturbances with limits at infinity. The convergence property of the overtaking trajectories to the optimal steady-state limit is shown.     

Optimal birth control of age-dependent competitive species III. Overtaking problem

A study is made of an overtaking optimal problem for a population system consisting of two competing species, which is controlled by fertilities. The existence of optimal policy is proved and a maximum principle is carefully derived under less restrictive conditions. Weak and strong turnpike properties of optimal trajectories are established.     

Controlled diffusion processes on infinite horizon with the overtaking criterion

The optimal control of diffusion processes on the infinite time interval are studied. All the costs diverge to infinity and we employ the overtaking criterion, as well as considering minimal growth rate controls. The Bellman equation for the problem is considered and its solution is given an interpretation connected with the overtaking optimality notion. Control problems with a cost including a generalized discount factor (which is not integrable on [(, )) are also studied. Both cases, where the diffusion is inR ⁿ or where it is reflected from the boundary of a bounded set, are considered.This research was supported in part by the Institute for Mathematics and its Applications with funds provided by the National Science Foundation.     

Overtaking optimality for controlled Markov-modulated diffusions

This article concerns controlled Markov-modulated diffusions (also known as piecewise diffusions or switching diffusions or diffusions with Markovian switchings). Our main objective is to give conditions for the existence and characterization of overtaking optimal policies. To this end, first, we use fact that the average reward Hamilton–Jacobi–Bellman equation gives that the family of the so-called canonical control policies is nonempty. Then, within this family, we search policies with some special feature, for instance, canonical policies that in addition maximize the bias, which turn out to be overtaking optimal.     

Nonconvex and relaxed infinite-horizon optimal control problems

In this paper, we consider the Lagrange problem of optimal control defined on an unbounded time interval in which the traditional convexity hypotheses are not met. Models of this form have been introduced into the economics literature to investigate the exploitation of a renewable resource and to treat various aspects of continuous-time investment. An additional distinguishing feature in the models considered is that we do not assume a priori that the objective functional (described by an improper integral) is finite, and so we are led to consider the weaker notions of overtaking and weakly overtaking optimality. To treat these models, we introduce a relaxed optimal control problem through the introduction of chattering controls. This leads us naturally to consider the relationship between the original problem and the convexified relaxed problem. In particular, we show that the relaxed problem may be viewed as a limiting case for the original problem. We also present several examples demonstrating the applicability of our results.     

Existence and global asymptotic stability of optimal trajectories for a class of infinite-horizon,nonconvex systems

Sufficient conditions for the existence of optimal trajectories and for the global asymptotic stability of these trajectories are given for a class of nonconvex and nonautonomous systems controlled over an infinite-time horizon. The concept ofG-supported trajectory is introduced. It is shown that, under some assumptions, aG-supported trajectory is overtaking and is globally asymptotically stable. The concept of overtaking trajectory has been previously defined as a notion of optimality on an infinite-time domain. For autonomous systems, under weaker conditions, one guarantees the existence of weakly overtaking trajectories. Finally, it is shown howG-supported trajectories can be obtained, and an application to the study of a pre-predator ecosystem optimally harvested is sketched.This research has been partially supported by the Canada Council, Grant No. S.741122X2, and by the Programme FCAC de la DGES, Ministère de l'Education du Québec, Québec, Canada.     

Tracking nonperiodic trajectories with the overtaking criterion

A tracking problem on an infinite time interval is studied, where the plant is linear with quadratic cost, and the tracked trajectory is not necessarily period. Optimal solutions with respect to the overtaking criterion are studied. Existence and uniqueness of such optimal solutions are proved and they are shown to be given by a linear feedback law which is the same as in the periodic case. A close relation between the solutions of tracking problems where the tracked trajectories are different only for very large times is established.     

Limit of the solutions for the finite horizon problems as the optimal solution to the infinite horizon optimization problems

In this paper, we consider how to construct the optimal solutions for the undiscounted discrete time infinite horizon optimization problems. We present the conditions under which the limit of the solutions for the finite horizon problems is optimal among all attainable paths for the infinite horizon problem under two modified overtaking criteria, as well as the conditions under which it is the unique optimum under the sum-of-utilities criterion. The results are applied to a parametric example of a simple one-sector growth model to examine the impacts of discounting on the optimal path.     

Discrete vs. continuous time implementation of a ring car following model in which overtaking is allowed

Car following models seek to describe the interactions between individual vehicles as they move along a stretch of road where the behaviour of each vehicle is dependent on the motion of the vehicle directly in front and overtaking is typically not permitted. In this work we study a modified version of the traditional car following model in which the vehicles are travelling on a closed loop and the ‘no overtaking’ restriction has been removed. The resulting model is described firstly in terms of a set of coupled continuous time delay differential equations and then in terms of their discrete time equivalents and both forms of the model are then solved numerically to analyse their post transient behaviour under a periodic perturbation. For certain parameter choices both the continuous and discrete forms of the model can exhibit chaotic behaviour but a comparison of the behaviour of the two models over a wide range of parameter values shows that the discretization can dramatically affect the type of post transient behaviour exhibited. This becomes increasingly evident as the time step used in the discrete time model is increased.     

On the Bellman equation of the overtaking criterion: Addendum

In a previous note, we discussed the properties of solutions to the Bellman equation of the Gale overtaking criterion. The purpose of this note is to show that the dynamic programming approach may also be used for the Brock criterion.We are indebted to an anonymous referee who contributed to improve this paper.     

On the correlation of sojourn times in open networks of exponential multiserver queues

We consider the joint distribution of successive sojourn times of customers traversing a path in Jackson network. It is shown in a general setting that sojourn times exhibit positive dependence. This especially applies to paths which admit overtaking due to the network topology as well as due to the internal node structure.     

Some Perturbation Problems on 2x2 Nonlinear Hyperbolic Conservation Laws

We study in this paper the perturbation of elementary waves with interactions: overtaking of shock waves belonging to the same characteristic family and penetrating of a shock wave and a rarefaction wave belonging to the different characteristic family for 2 × 2 genuinely nonlinear strictly hyperbolic conservation laws. The entropy solutions for the perturbed problems are obtained by the Glimm's scheme.     

Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains

This paper deals with denumerable-state continuous-time controlled Markov chains with possibly unbounded transition and reward rates. It concerns optimality criteria that improve the usual expected average reward criterion. First, we show the existence of average reward optimal policies with minimal average variance. Then we compare the variance minimization criterion with overtaking optimality. We present an example showing that they are opposite criteria, and therefore we cannot optimize them simultaneously. This leads to a multiobjective problem for which we identify the set of Pareto optimal policies (also known as nondominated policies).     

Bias and Overtaking Equilibria for Zero-Sum Stochastic Differential Games

This paper deals with zero-sum stochastic differential games with long-run average payoffs. Our main objective is to give conditions for existence and characterization of bias and overtaking optimal equilibria. To this end, first we characterize the family of optimal average payoff strategies. Then, within this family, we impose suitable conditions to determine the subfamilies of bias and overtaking equilibria. A key step to obtain these facts is to show the existence of solutions to the average payoff optimality equations. This is done by the usual “vanishing discount” approach. Finally, a zero-sum game associated to a certain manufacturing process illustrates our results.     

Dependence structure of sojourn times via partition separated ordering

We investigate the joint distribution of successive sojourn times of a customer traversing a path in a Jackson network. It is shown in a general setting that sojourn times for a broad class of such paths exhibit positive dependence. This applies to paths which admit overtaking due to the network topology as well as due to the internal node structure. Our proofs utilize the concept of partition separated orders on multidimensional ordered spaces.     

Definition and properties of cooperative equilibria in a two-player game of infinite duration

A two-player multistage game, with an infinite number of stages is considered. The concepts of overtaking and weakly overtaking payoff sequences are introduced. The class of strategies considered consists of memory strategies, which are based on the past history of the control and the initial state from where the game has been played. Weak equilibria are defined in this class of strategies. It is then shown how such equilibria can be constructed by composing into a trigger strategy a nominal cooperative control sequence and two threat strategies representing the announced retaliation by each player in the case where the other player does not play according to the nominal control. When the threats consists of a feedback equilibrium pair, the resulting cooperative equilibrium is perfect. Another result shows that, if each player can use a most effective threat based on a saddle-point feedback strategy, then any weak equilibrium in the class of memory strategies is in some sense related to this particular kind of equilibrium in the class of trigger strategies.Dedicated to G. LeitmannThis research was supported by SSHRC Grant No. 410-81-0722 and FCAC Grant No. EQ-428 to the first author. This research has also been made possible by a financial support from the University of Puerto Rico.     

Hamiltonian Boussinesq formulation of wave–ship interactions

In this paper a new approach is described for the fully nonlinear treatment of the dynamic wave–ship interaction for potential flows. A major reduction of computational complexity is obtained by describing the fluid motion in horizontal variables only, the surface elevation and the potential at the surface. In such Boussinesq type of equations, the internal fluid motion is not calculated, but modeled in a consistent approximative way. The equations for the wave–ship interaction are based on a Lagrangian variational principle, leading to the formulation of the coupled system as a Hamiltonian system. With the ship position and orientation as canonical coordinates, the canonically conjugate momentum variables are the sum of the ship momemta and the fluid momenta. A beneficial consequence of this is that the momentum exchange between fluid and ship will be described without the need to calculate the pressure, which simplifies the numerical implementation of the equations considerably. Provided that the potentials with mixed Dirichlet–Neumann data can be calculated, the presented ship dynamics can be inserted in existing free surface flow solvers.