We study a class of optimal control problems with state constraint, where the state equation is a differential equation with delays in the control variable. This class of problems arises in some economic applications, in particular in optimal advertising problems. The optimal control problem is embedded in a suitable Hilbert space, and the associated Hamilton--Jacobi--Bellman (HJB) equation is considered in this space. It is proved that the value function is continuous with respect to a weak norm and that it solves in the viscosity sense the associated HJB equation. The main results are the proof of a directional $C^1$-regularity for the value function and the feedback characterization of optimal controls
Dynamic Programming for Optimal Control Problems with Delays in the Control Variable / Federico, Salvatore; Tacconi, Elisa. - In: SIAM JOURNAL ON CONTROL AND OPTIMIZATION. - ISSN 0363-0129. - STAMPA. - 52:(2014), pp. 1203-1236. [10.1137/110840649]
Dynamic Programming for Optimal Control Problems with Delays in the Control Variable
FEDERICO, SALVATORE;
2014
Abstract
We study a class of optimal control problems with state constraint, where the state equation is a differential equation with delays in the control variable. This class of problems arises in some economic applications, in particular in optimal advertising problems. The optimal control problem is embedded in a suitable Hilbert space, and the associated Hamilton--Jacobi--Bellman (HJB) equation is considered in this space. It is proved that the value function is continuous with respect to a weak norm and that it solves in the viscosity sense the associated HJB equation. The main results are the proof of a directional $C^1$-regularity for the value function and the feedback characterization of optimal controlsFile | Dimensione | Formato | |
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