A review from the PDE viewpoint of Hamilton-Jacobi-Bellman equations arising in optimal control with vectorial cost

Katzourakis, N. and Pryer, T. (2018) A review from the PDE viewpoint of Hamilton-Jacobi-Bellman equations arising in optimal control with vectorial cost. Journal of Nonlinear Functional Analysis, 2018. 6. ISSN 2052-532X doi: 10.23952/jnfa.2018.6

Abstract/Summary

This paper is a review of results on Optimisation which are perhaps not so standard in the PDE realm. To this end, we consider the problem of deriving the PDEs associated to the optimal control of a system of either ODEs or SDEs with respect to a \emph{vector-valued} cost functional. Optimisation is considered with respect to a partial ordering generated by a given cone. Since in the vector case minima may not exist, we define vectorial value functions as (Pareto) minimals of the ordering. Our main objective is the derivation of the model PDEs which turn out to be parametric families of HJB single equations instead of systems of PDEs. However, this allows the use of the theory of Viscosity Solutions.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/74871
Identification Number/DOI	10.23952/jnfa.2018.6
Refereed	Yes
Divisions	Science > School of Mathematical, Physical and Computational Sciences > Department of Mathematics and Statistics
Publisher	Mathematical Research Press
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