On singularities of value function for Bolza optimal control problem |
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Authors: | H. Frankowska A. Ochal |
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Affiliation: | a CNRS, CREA, Ecole Polytechnique, 1, rue Descartes, 75005 Paris, France b Institute of Computer Science, Jagiellonian University, ul. Nawojki 11, 30072 Krakow, Poland |
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Abstract: | We study the set of points of nondifferentiability, called the singular set, of the value function of a Bolza optimal control problem. The value function is a viscosity solution to an associated Hamilton-Jacobi equation. The method of characteristics associates to this equation a Hamiltonian system, that in turn can be used to study the propagation of singularities of the value function. In particular, we obtain an extension of the Rankine-Hugoniot type condition, which is well-known in the conservation law theory. |
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Keywords: | Optimal control Bolza problem Value function Hamilton-Jacobi equations Singularities Characteristics Rankine-Hugoniot condition |
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