Minimax solutions of Hamilton--Jacobi equations in dynamic optimization problems for hereditary systems

M. I. Gomoyunov ; N. Yu. Lukoyanov

Trudy Matematicheskogo Instituta imeni V.A. Steklova, Tome 79 (2024) no. 2, pp. 229-324

Résumé

A survey of the results concerning the development of the theory of Hamilton–Jacobi equations for hereditary dynamical systems is presented. One feature of these systems is that the rate of change of their state depends not only on the current position, like in the classical case, but also on the full path travelled, that is, the history of the motion. Most of the paper is devoted to dynamical systems whose motion is described by functional differential equations of retarded type. In addition, more general systems described by functional differential equations of neutral type and closely related systems described by differential equations with fractional derivatives are considered. So-called path-dependent Hamilton–Jacobi equations are treated, which play for the above classes of systems a role similar to that of the classical Hamilton–Jacobi equations in dynamic optimization problems for ordinary differential systems. In the context of applications to control problems, the main attention is paid to the minimax approach to the concept of a generalized solution of the Hamilton–Jacobi equations under consideration and also to its relationship with the viscosity approach. Methods for designing optimal feedback control strategies with memory of motion history which are based on the constructions discussed are presented. Bibliography: 183 titles.

Détail

Keywords: path-dependent dynamical system, Hamilton–Jacobi equation, coinvariant derivatives, minimax solution, viscosity solution, time-delay system, neutral-type system, fractional-order system, differential game, value functional, optimal positional strategies.