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Applied Mathematics and Optimization, Vol.46, No.1, 1-29, 2002
Robust optimal stopping-time control for nonlinear systems
We formulate a robust optimal stopping-time problem for a state-space system and give the connection between various notions of lower value function for the associated games (and storage function for the associated dissipative system) with solutions of the appropriate variational inequality (VI) (the analogue of the Hamilton-Jacobi-Bellman-Isaacs equation for this setting). We show that the stopping-time rule can be obtained by solving the VI in the viscosity sense and a positive definite supersolution of the VI can be used for stability analysis.
Keywords:variational inequality;viscosity solution;worst-case disturbance attenuation;differential game;value function;storage function;nonanticipating strategy;state-feedback control;stopping-time rule