Doctor's Theses (authored and supervised):
"Sensitivity relations and regularity of solutions of a class of Hamilton-Jacobi-bellman Equations arising in optimal control.";
Supervisor, Reviewer: P. Cannarsa, V.M. Veliov;
Universitè de Paris 1 (La Sorbonne),
oral examination: 2015-11-30.
This dissertation investigates a class of Hamilton-Jacobi-Bellman equations arising in optimal control of O.D.E.. We mainly focus on the sensitivity analysis of the optimal value function associated with the underlying control problems. In the literature, sensitivity relations provide a measure of the robustness of optimal control strategies with respect to variations of the state variable. This is a central tool in applied control, since it allows to study the effects that approximations of the inputs of the system may produce on the optimal policies. In this thesis, we deal whit problems in the Mayer or in the minimum time form. We assume that the dynamic is described by a differential inclusion, in order to allow data to be nonsmooth and to embrace a large area of concrete applications. Nevertheless, this task makes our analysis more challenging. Our main contribution is twofold. We first extend some classical results on sensitivity analysis to the field of nonparameterized problems. These relations take the form of inclusions of the co-state, featuring in the Pontryagin maximum principle, into suitable gradients of the value function evaluated along optimal trajectories. Furthermore, we develop new second-order sensitivity relations involving suitable second order approximations of the optimal value function. Besides being of intrinsic interest, this analysis leads to new consequences regarding the propagation of both pointwise and local regularity of the optimal value functions along optimal trajectories. As applications, we also provide refined necessary optimality conditions for some class of differential inclusions.
Hamilton-Jacobi-Bellman equations, Optimal Control, Sensitivity relations
Created from the Publication Database of the Vienna University of Technology.