Minimum energy with infinite horizon: From stationary to non-stationary states

We study a non-standard infinite horizon, infinite dimensional linear–quadratic control problem arising in the physics of non-stationary states (see e.g. Bertini et al. (2004, 2005)): finding the minimum energy to drive a given stationary state $\bar{x}=0$ (at time $t=-\infty$) into an arbitrary non-stationary state $x$ (at time $t=0$). This is the opposite to what is commonly studied in the literature on null controllability (where one drives a generic state $x$ into the equilibrium state $\bar{x}=0$). Consequently, the Algebraic Riccati Equation (ARE) associated with this problem is non-standard since the sign of the linear part is opposite to the usual one and since its solution is intrinsically unbounded. Hence the standard theory of AREs does not apply. The analogous finite horizon problem has been studied in the companion paper (Acquistapace and Gozzi, 2017). Here, similarly to such paper, we prove that the linear selfadjoint operator associated with the value function is a solution of the above mentioned ARE. Moreover, differently to Acquistapace and Gozzi (2017), we prove that such solution is the maximal one. The first main result (Theorem 5.8) is proved by approximating the problem with suitable auxiliary finite horizon problems (which are different from the one studied in Acquistapace and Gozzi (2017)). Finally in the special case where the involved operators commute we characterize all solutions of the ARE (Theorem 6.5) and we apply this to the Landau–Ginzburg model.