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On unbounded solutions of Bellman's equation associated with optimal switching control problems with state constraints |
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| Authors: | R L V Gonzalez E Rofman |
| Institution: | (1) Instituto de Matemática Beppo Levi, Facultad de Ciencias Exactas, Ingeniería y Agrimensura, Universidad Nacional de Rosario, Avda. Pellegrini 250, 2000 Rosario, Argentina;(2) INRIA Rocquencourt, 78153 Le Chesnay Cedex, France |
| Abstract: | We study a quasi-variational inequality system with unbounded solutions. It represents the Bellman equation associated with an optimal switching control problem with state constraints arising from production engineering. We show that the optimal cost is the unique viscosity solution of the system.This work was supported by the National Research Council of Argentina, Grant No. PID-BID 213. |
| Keywords: | Bellman equation Hamilton-Jacobi equation Quasi-variational inequality Viscosity solution Unbounded solutions Optimal switching Optimal control State constraints Production engineering |
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