Optimal value functions for weakly coupled systems: a posteriori estimates

Mathematics – Optimization and Control

Scientific paper

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Scientific paper

We consider weakly coupled LQ optimal control problems and derive estimates on the sensitivity of the optimal value function in dependence of the coupling strength. Our main result is that if a weak coupling suffices to destabilize the closed loop system with the optimal feedback of the uncoupled system then the value function might change drastically with the coupling. As a consequence, it is not reasonable to expect that a weakly coupled system possesses a weakly coupled optimal value function.

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