The Value Function of Singularly Perturbed Control Systems
Journal Article
·
· Applied Mathematics and Optimization
The limit as {epsilon}{sup {yields}} 0 of the value function of a singularly perturbed optimal control problem is characterized. Under general conditions it is shown that limit value functions exist and solve in a viscosity sense a Hamilton-Jacobi equation. The Hamiltonian of this equation is generated by an infinite horizon optimization on the fast time scale. In particular, the limit Hamiltonian and the limit Hamilton-Jacobi equation are applicable in cases where the reduction of order, namely setting {epsilon} = 0 , does not yield an optimal behavior.
- OSTI ID:
- 21064269
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 3 Vol. 41; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
Similar Records
Heterogeneous domain decomposition for singularly perturbed elliptic boundary value problems
On Hamilton-Jacobi equation in infinite dimensions
Finite Time Merton Strategy under Drawdown Constraint: A Viscosity Solution Approach
Technical Report
·
Fri Apr 14 00:00:00 EDT 1995
·
OSTI ID:510563
On Hamilton-Jacobi equation in infinite dimensions
Conference
·
Fri Dec 30 23:00:00 EST 1994
·
OSTI ID:482042
Finite Time Merton Strategy under Drawdown Constraint: A Viscosity Solution Approach
Journal Article
·
Sun Dec 14 23:00:00 EST 2008
· Applied Mathematics and Optimization
·
OSTI ID:21241923