We study a class of optimal control problems with state constraint, where the state equation is a differential equation with delays in the control variable. This class of problems arises in some economic applications, in particular in optimal advertising problems. The optimal control problem is embedded in a suitable Hilbert space, and the associated Hamilton-Jacobi-Bellman (HJB) equation is considered in this space. It is proved that the value function is continuous with respect to a weak norm and that it solves in the viscosity sense the associated HJB equation. The main results are the proof of a directional C1-regularity for the value function and the feedback characterization of optimal controls. © 2014 Society for Industrial and Applied Mathematics.

Dynamic programming for optimal control problems with delays in the control variable

Federico S.;
2014-01-01

Abstract

We study a class of optimal control problems with state constraint, where the state equation is a differential equation with delays in the control variable. This class of problems arises in some economic applications, in particular in optimal advertising problems. The optimal control problem is embedded in a suitable Hilbert space, and the associated Hamilton-Jacobi-Bellman (HJB) equation is considered in this space. It is proved that the value function is continuous with respect to a weak norm and that it solves in the viscosity sense the associated HJB equation. The main results are the proof of a directional C1-regularity for the value function and the feedback characterization of optimal controls. © 2014 Society for Industrial and Applied Mathematics.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11567/1020416
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