On viscosity solution of hjb equations with state constraints and reflection control

Anup Biswas, Hitoshi Ishii, Subhamay Saha, Lin Wang

    研究成果: Article査読

    1 被引用数 (Scopus)

    抄録

    Motivated by a control problem of a certain queueing network we consider a control problem where the dynamics is constrained in the nonnegative orthant Rd + of the d-dimensional Euclidean space and controlled by the reections at the faces/boundaries. We define a discounted value function associated to this problem and show that the value function is a viscosity solution to a certain HJB equation in Rd + with nonlinear Neumann type boundary condition. Under certain conditions, we also characterize this value function as the unique solution to this HJB equation.

    本文言語English
    ページ(範囲)365-396
    ページ数32
    ジャーナルSIAM Journal on Control and Optimization
    55
    1
    DOI
    出版ステータスPublished - 2017

    ASJC Scopus subject areas

    • 制御と最適化
    • 応用数学

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