On the Equivalence Between Complementarity Systems, Projected Systems and Unilateral Differential Inclusions

An updated version of this paper has appeared in Systems & Control Letters, 55, (2006), pp 45-51, DOI 10.1016/j.sysconle.2005.04.015In this note we prove the equivalence, under appropriate conditions, between several dynamical formalisms: projected dynamical systems, two types of unilateral differential inclusions, and a class of complementarity dynamical systems. Each of these dynamical systems can also be considered as a hybrid dynamical system. This work is of interest since it both generalises some previous results and sheds new light on the relationship between known formalisms

The minimum time function for the controlled Moreau's sweeping process

Let C(t), t 65 0 be a Lipschitz set-valued map with closed and (mildly non-)convex values and f (t, x, u) be a map, Lipschitz continuous w.r.t. x. We consider the problem of reaching a target S within the graph of C subject to the differential inclusion x 08 12N_{C(t)} (x) + G(t, x) starting \u307from x_0 08 C(t_0 ) in the minimum time T (t_0 , x_0 ). The dynamics is called a perturbed sweeping (or Moreau) process. We give sufficient conditions for T to be finite and continuous and characterize T through Hamilton\u2013Jacobi inequalities. Crucial tools for our approach are characterizations of weak and strong flow invariance of a set S subject to the inclusion. Due to the presence of the normal cone N_{C(t)} (x), the right-hand side of the inclusion contains implicitly the state constraint x(t) 08 C(t) and is not Lipschitz continuous with respect to x

On the equivalence between complementarity systems, projected systems and differential inclusions

International audienceIn this note, we prove the equivalence, under appropriate conditions, between several dynamical formalisms: projected dynamical systems, two types of differential inclusions, and a class of complementarity dynamical systems. Each of these dynamical systems can also be considered as a hybrid dynamical system. This work both generalizes previous results and sheds some new light on the relationship between known formalisms; besides, it exclusively uses tools from convex analysis

Finite element methods for Bellman and Isaacs Equations

This work concerns the numerical analysis of the Partial Differential Equations (PDEs) with a particular focus on fully nonlinear PDEs. More specifically, the main goal is to provide a finite element method to approximate solutions of Isaacs equations, which come from game theory and can be thought of as generalisation of Hamilton-Jacobi-Bellman (HJB) equations. Both of these classes of problems arise from the stochastic optimal control problems. Is is widely known that nonlinear PDEs do not in general admit classical solutions. A way to circumvent this issue is to use a relaxed definition of derivative leading to the notion of a generalised solution. One such notion is that of viscosity solution introduced in 1980s by Crandall and Lions. The main idea is to regularise non-smooth functions by using comparison principles and subtractive testing. The theory of viscosity solutions gave rise to novel numerical methods. A general framework of formulating convergent numerical schemes for (possibly degenerate) elliptic PDEs was formulated by Barles and Souganidis in 1991. The main result states that, given a comparison principle depending on the application at hand, a monotone, stable and consistent numerical scheme converges to the unique viscosity solution of a fully nonlinear problem. This framework is used throughout this work to formulate convergent numerical schemes. The main three contributions of the thesis are as follows. First we present a Finite Element Method to approximate solutions of isotropic parabolic problems of Isaacs type with possibly degenerate diffusions. Second we design a method of numerically approximating isotropic parabolic Hamilton-Jacobi-Bellman equations with nonlinear, mixed boundary conditions where Robin type boundary conditions are imposed via one-sided Dini derivatives. In both cases we prove the convergence of the numerical solution to the unique viscosity solution. The uniqueness of numerical solution is guaranteed by Howard’s algorithm. The analysis of the HJB equations with mixed boundary conditions is motivated by option pricing in a financial setting, which leads to our third contribution. We extend the Heston model of mathematical finance to permit the uncertain market price of volatility risk and we interpret it as an HJB equation. Finally, we present a case study investigating the effects of the market price of volatility risk on the option value and its derivatives

On Reflecting Boundary Problem for Optimal Control

International audienceThis paper deals with Mayer's problem for controlled systems with reflection on the boundary of a closed subset K. The main result is the characterization of the possibly discontinuous value function in terms of a unique solution in a suitable sense to a partial differential equation of Hamilton–Jacobi–Bellman type