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

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/4046 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/4046 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/4046 archive 351 disk0/00/00/44/98 2016-01-15 02:05:58 2021-08-27 17:15:14 2016-01-15 02:05:58 monograph show 2 Aubin J.-P. 7347 Frankowska H. AL0659 The Viability Kernel Algorithm for Computing Value Functions of Infinite Horizon Optimal Control Problems pub iis_cmp iis_met iis_sys prog_dyn 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. 1995-09 published WP-95-098 WP-95-098 10 1134 1884 public working_paper IIASA, Laxenburg, Austria 26 FALSE info:eu-repo/semantics/book