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April  2016, 36(4): 2113-2132. doi: 10.3934/dcds.2016.36.2113

Limit value for optimal control with general means

Xiaoxi Li 1, , Marc Quincampoix 2, and  Jérôme Renault 3,

1. 

Sorbonne Universités, UPMC Univ Paris 06, IMJ-PRG, UMR 7586, CNRS, Univ Paris Diderot, Sorbonne Paris Cité, 4 Place Jussieu, 75005 Paris, France
2. 

Laboratoire de Mathématiques de Bretagne Atlantique, UMR 6205, Université de Brest, 6 Avenue Victor Le Gorgeu, 29200 Brest, France
3. 

TSE (GREMAQ, Université Toulouse 1 Capitole and GDR 2932 Théorie des Jeux), 21 allée de Brienne, 31000 Toulouse

Received  March 2015 Revised  July 2015 Published  September 2015

We consider optimal control problems where the running cost of the trajectory is evaluated by a probability measure on $\mathbb{R}_+$. As a particular case, we take the Cesàro average of the running cost over a fixed horizon. The limit of the value with Cesàro average when the horizon tends to infinity is widely studied in the literature. We address the more general question of the existence of a limit for values defined by general evaluations satisfying certain long-term condition.
    For this aim, we introduce an asymptotic regularity condition for a sequence of probability measures on $\mathbb{R}_+$. Our main result is that, for any sequence of probability measures on $\mathbb{R}_+$ satisfying this condition, the associated value functions converge uniformly if and only if this family is totally bounded for the uniform norm.
    As a byproduct, we obtain the existence of a limit value (for general evaluations) for control systems defined on a compact invariant domain and satisfying suitable nonexpansive property.
Keywords: general means., Optimal control, long time average value, limit value.
Mathematics Subject Classification: 49J15, 93C15, 37A9.
Citation: Xiaoxi Li, Marc Quincampoix, Jérôme Renault. Limit value for optimal control with general means. Discrete & Continuous Dynamical Systems - A, 2016, 36 (4) : 2113-2132. doi: 10.3934/dcds.2016.36.2113
References:
[1]

O. Alvarez and M. Bardi, Ergodicity, stabilization, and singular pertubations for Bellman-Isaacs equations,, Mem. Amer. Math. Soc., 204 (2010).  doi: 10.1090/S0065-9266-09-00588-2.  Google Scholar

[2]

M. Arisawa, Ergodic problem for the Hamilton-Jacobi-Belmann equations,, Ann. Henri Poincaré, 14 (1997), 415.  doi: 10.1016/S0294-1449(97)80134-5.  Google Scholar

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M. Bardi and F. Priuli, LQG Mean-Field Games with ergodic cost,, Proc. 52nd IEEE Conference on Decision and Control, (2013), 2493.  doi: 10.1109/CDC.2013.6760255.  Google Scholar

[5]

A. Bensoussan, Perturbation Methods in Optimal Control,, Wiley/Gauthiers-Villas, (1988).   Google Scholar

[6]

R. Buckdahn, D. Goreac and M. Quincampoix, Existence of asymptotic values for nonexpansive stochastic control systems,, Applied Mathematics and Optimization, 70 (2014), 1.  doi: 10.1007/s00245-013-9230-4.  Google Scholar

[7]

V. Gaitsgory, On the use of the averaging method in control problems,, (Russian) Differentsialnye Uravneniya, 22 (1986), 1876.   Google Scholar

[8]

D. Goreac, A note on general Tauberian-type results for controlled stochastic dynamics,, preprint, ().   Google Scholar

[9]

R. Z. Khasminskii, On the averaging principle for Itô stochastic equations,, Kybernetika, 4 (1968), 260.   Google Scholar

[10]

D. Khlopin, On uniform Tauberian theorems for dynamic games,, preprint, ().   Google Scholar

[11]

M. Oliu-Barton and G. Vigeral, A uniform Tauberian theorem in optimal control,, in Advances in Dynamic Games, 12 (2012), 199.   Google Scholar

[12]

M. Quincampoix and J. Renault, On the existence of a limit value in some nonexpansive optimal control problems,, SIAM Journal on Control and Optimization, 49 (2011), 2118.  doi: 10.1137/090756818.  Google Scholar

[13]

J. Renault, Uniform value in dynamic programming,, J. Eur. Math. Soc. (JEMS), 13 (2011), 309.  doi: 10.4171/JEMS/254.  Google Scholar

[14]

J. Renault, General long-term values in dynamic programming,, Journal of Dynamics and Games, 1 (2014), 471.   Google Scholar

[15]

J. Renault and X. Venel, A distance for probability spaces, and long-term values in Markov decision processes and repeated games,, preprint, ().   Google Scholar

[16]

S. Sorin, A First Course on Zero-sum Repeated Games,, Springer, (2002).   Google Scholar

[17]

B. Ziliotto, General limit value in stochastic games,, preprint, ().   Google Scholar

show all references

References:
[1]

O. Alvarez and M. Bardi, Ergodicity, stabilization, and singular pertubations for Bellman-Isaacs equations,, Mem. Amer. Math. Soc., 204 (2010).  doi: 10.1090/S0065-9266-09-00588-2.  Google Scholar

[2]

M. Arisawa, Ergodic problem for the Hamilton-Jacobi-Belmann equations,, Ann. Henri Poincaré, 14 (1997), 415.  doi: 10.1016/S0294-1449(97)80134-5.  Google Scholar

[3]

M. Arisawa and P. L. Lions, On ergodic stochastic control,, Comm. Partial Differential Equations, 23 (1998), 2187.  doi: 10.1080/03605309808821413.  Google Scholar

[4]

M. Bardi and F. Priuli, LQG Mean-Field Games with ergodic cost,, Proc. 52nd IEEE Conference on Decision and Control, (2013), 2493.  doi: 10.1109/CDC.2013.6760255.  Google Scholar

[5]

A. Bensoussan, Perturbation Methods in Optimal Control,, Wiley/Gauthiers-Villas, (1988).   Google Scholar

[6]

R. Buckdahn, D. Goreac and M. Quincampoix, Existence of asymptotic values for nonexpansive stochastic control systems,, Applied Mathematics and Optimization, 70 (2014), 1.  doi: 10.1007/s00245-013-9230-4.  Google Scholar

[7]

V. Gaitsgory, On the use of the averaging method in control problems,, (Russian) Differentsialnye Uravneniya, 22 (1986), 1876.   Google Scholar

[8]

D. Goreac, A note on general Tauberian-type results for controlled stochastic dynamics,, preprint, ().   Google Scholar

[9]

R. Z. Khasminskii, On the averaging principle for Itô stochastic equations,, Kybernetika, 4 (1968), 260.   Google Scholar

[10]

D. Khlopin, On uniform Tauberian theorems for dynamic games,, preprint, ().   Google Scholar

[11]

M. Oliu-Barton and G. Vigeral, A uniform Tauberian theorem in optimal control,, in Advances in Dynamic Games, 12 (2012), 199.   Google Scholar

[12]

M. Quincampoix and J. Renault, On the existence of a limit value in some nonexpansive optimal control problems,, SIAM Journal on Control and Optimization, 49 (2011), 2118.  doi: 10.1137/090756818.  Google Scholar

[13]

J. Renault, Uniform value in dynamic programming,, J. Eur. Math. Soc. (JEMS), 13 (2011), 309.  doi: 10.4171/JEMS/254.  Google Scholar

[14]

J. Renault, General long-term values in dynamic programming,, Journal of Dynamics and Games, 1 (2014), 471.   Google Scholar

[15]

J. Renault and X. Venel, A distance for probability spaces, and long-term values in Markov decision processes and repeated games,, preprint, ().   Google Scholar

[16]

S. Sorin, A First Course on Zero-sum Repeated Games,, Springer, (2002).   Google Scholar

[17]

B. Ziliotto, General limit value in stochastic games,, preprint, ().   Google Scholar

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