Convexity and Duality in Hamilton-Jacobi Theory

Rockafellar RT & Wolenski PR (1998). Convexity and Duality in Hamilton-Jacobi Theory. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-98-057

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Abstract

Value functions propagated from initial or terminal costs and constraints by way of a differential or more broadly through a Lagrangian that may take on "alpha," are studied in the case where convexity persists in the state argument. Such value functions, themselves taking on "alpha," are shown to satisfy a subgradient form of the Hamilton-Jacobi equation which strongly supports properties of local Lipschitz continuity, semidifferentibility and Clarke regularity. An extended `method of characteristics' is developed which determines them from Hamiltonian dynamics underlying the given Lagrangian. Close relations with a dual value function are revealed.

Item Type: Monograph (IIASA Interim Report)
Research Programs: Dynamic Systems (DYN)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:10
Last Modified: 18 Nov 2016 17:44
URI: http://pure.iiasa.ac.at/5592

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