The Viability Kernel Algorithm for Computing Value Functions of Infinite Horizon Optimal Control Problems

Aubin J-P & Frankowska H (1995). The Viability Kernel Algorithm for Computing Value Functions of Infinite Horizon Optimal Control Problems. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-95-098

[img]
Preview
Text
WP-95-098.pdf

Download (709kB) | Preview

Abstract

We characterize in this paper the epigraph of the value function of a discounted infinite horizon optimal control problem as the viability kernel of an auxiliary differential inclusion. Then the viability kernel algorithm applied to this problem provides the value function of the discretized optimal control problem as the supremum of a nondecreasing sequence of functions iteratively defined. We also use the fact that an upper Painleve-Kuratowski limit of closed viability domains is a viability domain to prove the convergence of the discrete value functions.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Dynamic Systems (DYN)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:05
Last Modified: 28 Jul 2016 05:55
URI: http://pure.iiasa.ac.at/4498

Actions (login required)

View Item View Item

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313