HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Optimal Feedbacks and Approximations

Details HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Optimal Feedbacks and Approximations HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Optimal Feedbacks and Approximations

2009-07-09

arxiv.org/abs/0907.1603v1

Mathematics

Optimization and Control

This is a paper following a previous paper by the same authors. 28 pages

Scientific paper

This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes some problems arising in economics, in particular the so-called models with time to build. The problem is embedded in a suitable Hilbert space H and the regularity of the associated Hamilton-Jacobi-Bellman (HJB) equation is studied. Therein the main result is that the value function V solves the HJB equation and has continuous classical derivative in the direction of the present. The goal of the present paper is to exploit such result to find optimal feedback strategies for the problem. While it is easy to define formally a feedback strategy in classical sense the proof of its existence and of its optimality is hard due to lack of full regularity of V and to the infinite dimension. Finally, we show some approximation results that allow us to apply our main theorem to obtain epsilon-optimal strategies for a wider class of problems.

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