Weak Dynamic Programming for Generalized State Constraints

We provide a dynamic programming principle for stochastic optimal control problems with expectation constraints. A weak formulation, using test functions and a probabilistic relaxation of the constraint, avoids restrictions related to a measurable selection but still implies the Hamilton-Jacobi-Bellman equation in the viscosity sense. We treat open state constraints as a special case of expectation constraints and prove a comparison theorem to obtain the equation for closed state constraints.Comment: 36 pages;forthcoming in 'SIAM Journal on Control and Optimization

Some results on second order controllability conditions

For a symmetric system, we want to study the problem of crossing an hypersurface in the neighborhood of a given point, when we suppose that all of the available vector fields are tangent to the hypersurface at the point. Classically one requires transversality of at least one Lie bracket generated by two available vector fields. However such condition does not take into account neither the geometry of the hypersurface nor the practical fact that in order to realize the direction of a Lie bracket one needs three switches among the vector fields in a short time. We find a new sufficient condition that requires a symmetric matrix to have a negative eigenvalue. This sufficient condition, which contains either the case of a transversal Lie bracket and the case of a favorable geometry of the hypersurface, is thus weaker than the classical one and easy to check. Moreover it is constructive since it provides the controls for the vector fields to be used and produces a trajectory with at most one switch to reach the goal

Singular limits of reaction diffusion equations and geometric flows with discontinuous velocity

We consider the singular limit of a bistable reaction diffusion equation in the case when the velocity of the traveling wave solution depends on the space variable and converges to a discontinuous function. We show that the family of solutions converges to the stable equilibria off a front propagating with a discontinuous velocity. The convergence is global in time by applying the weak geometric flow uniquely defined through the theory of viscosity solutions and the level-set equation

Viscosity solutions of the bellman equation for exit time optimal control problems with non-lipschitz dynamics

We study the Bellman equation for undiscounted exit time optimal control problems with fully nonlinear Lagrangians and fully nonlinear dynamics using the dynamic programming approach. We allow problems whose non-Lipschitz dynamics admit more than one solution trajectory for some choices of open loop controls and initial positions. We prove a uniqueness theorem which characterizes the value functions of these problems as the unique viscosity solutions of the corresponding Bellman equations that satisfy appropriate boundary conditions. We deduce that the value function for Sussmann’s Reflected Brachystochrone Problem for an arbitrary singleton target is the unique viscosity solution of the corresponding Bellman equation in the class of functions which are continuous in the plane, null at the target, and bounded below. Our results also apply to degenerate eikonal equations, and to problems whose targets can be unbounded and whose Lagrangians vanish for some points in the state space which are outside the target, including Fuller’s Example. © 2001 EDP Sciences, SMAI

The Aronsson equation, Lyapunov functions and local Lipschitz regularity of the minimum time function

We define and study $C^1-$solutions of the Aronsson equation (AE), a second order quasi linear equation. We show that such super/subsolutions make the Hamiltonian monotone on the trajectories of the closed loop Hamiltonian dynamics. We give a short, general proof that $C^1-$solutions are absolutely minimizing functions. We discuss how $C^1-$supersolutions of (AE) become special Lyapunov functions of symmetric control systems, and allow to find continuous feedbacks driving the system to a target in finite time, except on a singular manifold. A consequence is a simple proof that the corresponding minimum time function is locally Lipschitz continuous away from the singular manifold, despite classical results show that it should only be H"older continuous unless appropriate conditions hold. We provide two examples for H"ormander and Grushin families of vector fields where we construct $C^1-$solutions (even classical) explicitly

A Hamiltonian approach to small time local attainability of manifolds for nonlinear control systems

This paper develops a new approach to small time local attainability of smooth manifolds of any dimension, possibly with boundary and to prove H\"older continuity of the minimum time function. We give explicit pointwise conditions of any order by using higher order hamiltonians which combine derivatives of the controlled vector field and the functions that locally define the target. For the controllability of a point our sufficient conditions extend some classically known results for symmetric or control affine systems, using the Lie algebra instead, but for targets of higher dimension our approach and results are new. We find our sufficient higher order conditions explicit and easy to use for targets with curvature and general control systems

The value function of an asymptotic exit-time optimal control problem

We consider a class of exit--time control problems for nonlinear systems with a nonnegative vanishing Lagrangian. In general, the associated PDE may have multiple solutions, and known regularity and stability properties do not hold. In this paper we obtain such properties and a uniqueness result under some explicit sufficient conditions. We briefly investigate also the infinite horizon problem