Convexity and Duality in Hamilton-Jacobi Theory

R.T. Rockafellar and P.R. Wolenski

Working Papers from International Institute for Applied Systems Analysis

Abstract: Value functions propagated from initial or terminal costs and constraints by way of a differential or more broadly through a Lagrangian that may take on "alpha," are studied in the case where convexity persists in the state argument. Such value functions, themselves taking on "alpha," are shown to satisfy a subgradient form of the Hamilton-Jacobi equation which strongly supports properties of local Lipschitz continuity, semidifferentibility and Clarke regularity. An extended `method of characteristics' is developed which determines them from Hamiltonian dynamics underlying the given Lagrangian. Close relations with a dual value function are revealed.

Date: 1998-08
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