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Viscosity Solutions of the Bellman Equation for Exit Time Optimal Control Problems with Non-Lipschitz Dynamics

Published online by Cambridge University Press:  15 August 2002

Michael Malisoff
Michael Malisoff*
Affiliation:
Department of Systems Science and Mathematics, Washington University in Saint Louis, One Brookings Drive, Campus Box 1040, Saint Louis, MO 63130-4899, U.S.A.; malisoff@zach.wustl.edu.
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Abstract

We study the Bellman equation for undiscounted exit time optimalcontrol problems with fully nonlinear Lagrangians and fullynonlinear dynamics using the dynamic programming approach. Weallow problems whose non-Lipschitz dynamics admit more than onesolution trajectory for some choices of open loop controls andinitial positions. We prove a uniqueness theorem which characterizes thevalue functions of these problems as the unique viscositysolutions of the correspondingBellman equations that satisfyappropriate boundary conditions. We deduce that the valuefunction forSussmann's Reflected Brachystochrone Problem foran arbitrary singleton target is the unique viscosity solution ofthe corresponding Bellman equation in the class of functions whichare continuous in the plane, null at the target, and boundedbelow. Our results also apply to degenerate eikonal equations, and to problems whose targets can beunbounded and whose Lagrangians vanish for some points in thestate space which are outside the target, including Fuller'sExample.

Keywords

Viscosity solutionsdynamical systemsReflected Brachystochrone Problem.

Information

Type
Research Article
Information
ESAIM: Control, Optimisation and Calculus of Variations , Volume 6 , 2001 , pp. 415 - 441
Copyright
© EDP Sciences, SMAI, 2001

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