Penalty approximation of a Sobolev optimal control problem with state constraints

In this paper, we study the approximation by the penalty method of a control problem governed by a pseudo-parabolic equation with a noncoercive control functional and with control and state constraints. The existence of solutions to the penalized problems is established. In addition, the convergence of the penalized problems to the solution, the Lagrange multipliers, and the minimum value of the original problem is studied. The results apply to Sobolev and parabolic equations as well.This work was partially supported by the National Science Foundation, Grant No. MCS-79-02037. The author would like to thank Professor A. B. Schwarzkopf for his helpful comments on this paper.     

Eponential Decay To Stable States In Phase Transitions Via A Double Log–Transformation

Motivated by various Hamilton–Jacobi–Bellman equations arising in deteministic optimal control we will modify the concept of viscosity solution introduced by Crandall and Lions for convex (or concave) hamiltonians and semicontinuous solutions. We will see that we can dispense with the Crandall–Lions requirement that we touch the solution by test functions from both above and below and require only touching from one side, Which side depends on whether the solution is upper or lower semicontinuous and the hamiltonian is concave. The advantage of testing from only one side is that Semicontinuous solutions can only be touched from one side. It is shown that this is sufficient to characterize the solution.     

Optimal control of infinite-dimensional uncertain systems

In this paper, we consider a minimax problem of optimal control for a class of strongly nonlinear uncertain evolution equations on a Banach space. We prove the existence of optimal controls. A nontrivial example of a class of systems governed by a nonlinear partial differential equation with uncertain spatial parameters is presented for illustration.This work was supported in part by the National Science and Engineering Research Council of Canada under Grant No. A7109 and The Engineering Faculty Development Fund, University of Ottawa.The authors would like to thank the anonymous reviewers for their valuable comments and suggestions.     

Solutions sous-analytiques globales de certaines équations d'Hamilton–Jacobi

In the 1980 Crandall and Lions introduced the concept of viscosity solution in order to get existence and/or unicity results for Hamilton–Jacobi equations. In this Note we focus on the Dirichlet problem for Hamilton–Jacobi equations stemming from calculus of variations, and assert that if the data are analytic then the viscosity solution is moreover subanalytic. We extend this result to generalized eikonal equations, stemming from sub-Riemannian geometry problems. To cite this article: E. Trélat, C. R. Acad. Sci. Paris, Ser. I 337 (2003).     

A level set approach for computing discontinuous solutions of Hamilton-Jacobi equations

We introduce two types of finite difference methods to compute the L-solution and the proper viscosity solution recently proposed by the second author for semi-discontinuous solutions to a class of Hamilton-Jacobi equations. By regarding the graph of the solution as the zero level curve of a continuous function in one dimension higher, we can treat the corresponding level set equation using the viscosity theory introduced by Crandall and Lions. However, we need to pay special attention both analytically and numerically to prevent the zero level curve from overturning so that it can be interpreted as the graph of a function. We demonstrate our Lax-Friedrichs type numerical methods for computing the L-solution using its original level set formulation. In addition, we couple our numerical methods with a singular diffusive term which is essential to computing solutions to a more general class of HJ equations that includes conservation laws. With this singular viscosity, our numerical methods do not require the divergence structure of equations and do apply to more general equations developing shocks other than conservation laws. These numerical methods are generalized to higher order accuracy using weighted ENO local Lax-Friedrichs methods as developed recently by Jiang and Peng. We verify that our numerical solutions approximate the proper viscosity solutions obtained by the second author in a recent Hokkaido University preprint. Finally, since the solution of scalar conservation law equations can be constructed using existing numerical techniques, we use it to verify that our numerical solution approximates the entropy solution.

     

THE BERNSTEIN ESTIMATES OF VISCOSITY SOLUTIONS OF LINEAR PARABOLIC EQUATIONS

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N-person differential games governed by infinite-dimensional systems

This paper discussesN-person differential games governed by infinite-dimensional systems. The minimax principle, which is a necessary condition for the existence of open-loop equilibrium strategies, is proved. For linear-quadraticN-person differential games, global necessary and sufficient conditions for the existence of open-loop and closed-loop equilibrium strategies are derived.This work was supported by the Science Fund of the Chinese Academy of Sciences and the Research Foundation of Purdue University.The problems discussed in this paper were proposed by Professor G. Chen, during the author's visit to Pensylvania State University, and were completed at Purdue University. The author would like to thank Professors L. D. Berkovitz and G. Chen for their hospitality.     

On the Hamilton-Jacobi-Bellman equations in Banach spaces

This paper is concerned with a certain class of distributed parameter control problems. The value function of these problems is shown to be the unique viscosity solution of the corresponding Hamiltonian-Jacobi-Bellman equation. The main assumption is the existence of an increasing sequence of compact invariant subsets of the state space. In particular, this assumption is satisfied by a class of controlled delay equations. This research was partly supported by the Institute for Mathematics and Its Applications with funds provided by the National Science Foundation and the Office of Naval Research. The author is indebted to Professor P. L. Lions for stimulating discussions and helpful suggestions.     

Stabilization of a class of hybrid systems arising in flexible spacecraft

We consider the problem of rigorous modelling of flexible spacecraft and their stabilization. It is shown that the dynamics of the flexible spacecraft can be described by a coupled system of ordinary differential equations and partial differential equations (hybrid system). Lyapunov's approach is used to prove the stabilizability of the system. Simple feedback controls are suggested for stabilization of flexible spacecraft.This work was supported in part by the Natural Science and Engineering Research Council of Canada under Grant No. A7109. The authors would like to thank Professor L. Meirovitch and the reviewers for some valuable suggestions.     

Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations

We study a forward-backward system of stochastic differential equations in an infinite-dimensional framework and its relationships with a semilinear parabolic differential equation on a Hilbert space, in the spirit of the approach of Pardoux-Peng. We prove that the stochastic system allows us to construct a unique solution of the parabolic equation in a suitable class of locally Lipschitz real functions. The parabolic equation is understood in a mild sense which requires the notion of a generalized directional gradient, that we introduce by a probabilistic approach and prove to exist for locally Lipschitz functions. The use of the generalized directional gradient allows us to cover various applications to option pricing problems and to optimal stochastic control problems (including control of delay equations and reaction--diffusion equations), where the lack of differentiability of the coefficients precludes differentiability of solutions to the associated parabolic equations of Black--Scholes or Hamilton-Jacobi-Bellman type.     

Numerical Computation of Connecting Orbits in Delay Differential Equations

We discuss the numerical computation of homoclinic and heteroclinic orbits in delay differential equations. Such connecting orbits are approximated using projection boundary conditions, which involve the stable and unstable manifolds of a steady state solution. The stable manifold of a steady state solution of a delay differential equation (DDE) is infinite-dimensional, a problem which we circumvent by reformulating the end conditions using a special bilinear form. The resulting boundary value problem is solved using a collocation method. We demonstrate results, showing homoclinic orbits in a model for neural activity and travelling wave solutions to the delayed Hodgkin–Huxley equation. Our numerical tests indicate convergence behaviour that corresponds to known theoretical results for ODEs and periodic boundary value problems for DDEs.     

Limit Theorem for Controlled Backward SDEs and Homogenization of Hamilton–Jacobi–Bellman Equations

We prove a convergence theorem for a family of value functions associated with stochastic control problems whose cost functions are defined by backward stochastic differential equations. The limit function is characterized as a viscosity solution to a fully nonlinear partial differential equation of second order. The key assumption we use in our approach is shown to be a necessary and sufficient assumption for the homogenizability of the control problem. The results generalize partially homogenization problems for Hamilton–Jacobi–Bellman equations treated recently by Alvarez and Bardi by viscosity solution methods. In contrast to their approach, we use mainly probabilistic arguments, and discuss a stochastic control interpretation for the limit equation.     

Optimal control of systems governed by a class of nonlinear evolution equations in a reflexive Banach space

The paper presents a closure theorem for the attainable trajectories of a class of control systems governed by a large class of nonlinear evolution equations in reflexive Banach spaces. Several existence theorems for optimal controls are proven that include a terminal control problem, a time-optimal control problem, and a special Bolza problem. Some results of independent interest are also presented.This work was supported in part by the National Research Council of Canada under Grant No. 7109.The authors would like to thank Professor L. Cesari for pointing out that joint continuity off is required for the setsG andR to satisfy the upper semicontinuity property (Theorems 5.1 and 5.2).     

Viscosity solutions for the dynamic programming equations

In a previous paper the author has introduced a new notion of a (generalized) viscosity solution for Hamilton-Jacobi equations with an unbounded nonlinear term. It is proved here that the minimal time function (resp. the optimal value function) for time optimal control problems (resp. optimal control problems) governed by evolution equations is a (generalized) viscosity solution for the Bellman equation (resp. the dynamic programming equation). It is also proved that the Neumann problem in convex domains may be viewed as a Hamilton-Jacobi equation with a suitable unbounded nonlinear term.     

On the blowing up of solutions to quantum hydrodynamic models on bounded domains

The blow-up in finite time for the solutions to the initial-boundary value problem associated to the multi-dimensional quantum hydrodynamic model in a bounded domain is proved. The model consists on conservation of mass equation and a momentum balance equation equivalent to a compressible Euler equations corrected by a dispersion term of the third order in the momentum balance. The proof is based on a priori estimates for the energy functional for a new observable constructed with an auxiliary function, and it is shown that, under suitable boundary conditions and assumptions on the initial data, the solution blows up after a finite time. I.M. Gamba is supported by NSF-DMS0507038. M.P. Gualdani acknowledges partial support from the Deutsche Forschungsgemeinschaft, grants JU359/5 and was partially supported under the Feodor Lynen Research fellowship. P. Zhang is partially supported by the NSF of China under Grant 10525101 and 10421101, and the innovation grant from the Chinese Academy of Sciences. Part of the work was done when P. Zhang visited the Department of Mathematics of Texas University at Austin, the author would like to thank the hospitality of the department. Support from the Institute for Computational Engineering and Sciences at the University of Texas at Austin is also gratefully acknowledged.     

Equivalent Conditions for the Solvability of Nonstandard and Singular LQ-Problems with Application to Parabolic Equations

We consider an optimal control problem with indefinite cost for an abstract model, which covers, in particular, parabolic systems in a general bounded domain. Necessary and sufficient conditions are given for the synthesis of the optimal control, which is given in terms of the Riccati operator arising from a nonstandard Riccati equation. The theory extends also a finite-dimensional frequency theorem to the infinite-dimensional setting. Applications include the heat equation with Dirichlet and Neumann controls, as well as the strongly damped Euler–Bernoulli and Kirchhoff equations with the control in various boundary conditions.     

Stokes‐Fourier and acoustic limits for the Boltzmann equation: Convergence proofs

We establish a Stokes‐Fourier limit for the Boltzmann equation considered over any periodic spatial domain of dimension two or more. Appropriately scaled families of DiPerna‐Lions renormalized solutions are shown to have fluctuations that globally in time converge weakly to a unique limit governed by a solution of Stokes‐Fourier motion and heat equations provided that the fluid moments of their initial fluctuations converge to appropriate L² initial data of the Stokes‐Fourier equations. Both the motion and heat equations are both recovered in the limit by controlling the fluxes and the local conservation defects of the DiPerna‐Lions solutions with dissipation rate estimates. The scaling of the fluctuations with respect to Knudsen number is essentially optimal. The assumptions on the collision kernel are little more than those required for the DiPerna‐Lions theory and that the viscosity and heat conduction are finite. For the acoustic limit, these techniques also remove restrictions to bounded collision kernels and improve the scaling of the fluctuations. Both weak limits become strong when the initial fluctuations converge entropically to appropriate L² initial data. © 2001 John Wiley & Sons, Inc.     

Maximum principle,dynamic programming,and their connection in deterministic control

Two major tools for studying optimally controlled systems are Pontryagin's maximum principle and Bellman's dynamic programming, which involve the adjoint function, the Hamiltonian function, and the value function. The relationships among these functions are investigated in this work, in the case of deterministic, finite-dimensional systems, by employing the notions of superdifferential and subdifferential introduced by Crandall and Lions. Our results are essentially non-smooth versions of the classical ones. The connection between the maximum principle and the Hamilton-Jacobi-Bellman equation (in the viscosity sense) is thereby explained by virtue of the above relationship.This research was supported by the Natural Science Fund of China.This paper was written while the author visited Keio University, Japan. The author is indebted to Professors H. Tanaka and M. Nisio for their helpful suggestions and discussions. Thanks are also due to Professor X. J. Li for his comments and criticism.     

Input dynamics and nonstandard riccati equations with applications to boundary control of damped wave and plate equations

An optimization problem for a control system governed by an analytic generator with unbounded control actions is considered. The solution to this problem is synthesized in terms of the Riccati operator, arising from a nonstandard Riccati equation. Solvability and uniqueness of the solutions to this Riccati equation are established. This theory is applied to a boundary control problem governed by damped wave and plate equations.Research of this author partially supported by NSF Grant DMS 9204338.     

Optimal control of stochastic functional differential equations with a bounded memory

This paper treats a finite time horizon optimal control problem in which the controlled state dynamics are governed by a general system of stochastic functional differential equations with a bounded memory. An infinite dimensional Hamilton–Jacobi–Bellman (HJB) equation is derived using a Bellman-type dynamic programming principle. It is shown that the value function is the unique viscosity solution of the HJB equation.