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Alexander J. Zaslavski - Nonconvex Optimal Control and Variational Problems-Springer (2013)
Alexander J. Zaslavski - Nonconvex Optimal Control and Variational Problems-Springer (2013)
Alexander J. Zaslavski
Nonconvex
Optimal Control
and Variational
Problems
Springer Optimization and Its Applications
VOLUME 82
Managing Editor
Panos M. Pardalos (University of Florida)
Editor–Combinatorial Optimization
Ding-Zhu Du (University of Texas at Dallas)
Advisory Board
J. Birge (University of Chicago)
C.A. Floudas (Princeton University)
F. Giannessi (University of Pisa)
H.D. Sherali (Virginia Polytechnic and State University)
T. Terlaky ((McMaster University)
Y. Ye (Stanford University)
123
Alexander J. Zaslavski
Department of Mathematics
Technion - Israel Institute of Technology
Haifa, Israel
ISSN 1931-6828
ISBN 978-1-4614-7377-0 ISBN 978-1-4614-7378-7 (eBook)
DOI 10.1007/978-1-4614-7378-7
Springer New York Heidelberg Dordrecht London
Library of Congress Control Number: 2013938487
This monograph is devoted to the study of nonconvex optimal control and vari-
ational problems. It contains a number of recent results obtained by the author
in the last 15 years. The Tonelli classical existence theorem in the calculus of
variations [81] is based on two fundamental hypotheses concerning the behavior
of the integrand as a function of the last argument (derivative): one that the
integrand should grow superlinearly at infinity and the other that it should be
convex (or exhibit a more special convexity property in case of a multiple integral
with vector-valued functions) with respect to the last variable. Moreover, certain
convexity assumptions are also necessary for properties of lower semicontinuity
of integral functionals which are crucial in most of the existence proofs, although
there are some interesting theorems without convexity (see Chap. 16 of [21] and
[19, 20, 28, 61, 63]). Since in this book we do not use convexity assumptions on
integrands the situation becomes more difficult. We overcome this difficulty using
the so-called generic approach which is applied fruitfully in many areas of analysis
(see, for example, [6, 67, 69, 71, 72, 99, 106] and the references mentioned there).
According to the generic approach we say that a property holds for a generic
(typical) element of a complete metric space (or the property holds generically) if
the set of all elements of the metric space possessing this property contains a Gı
everywhere dense subset of the metric space which is a countable intersection of
open everywhere dense sets.
In [86, 88] it was shown that the convexity condition is not needed generically
and not only for the existence but also for the uniqueness of a solution and
even for well-posedness of the problem (with respect to some natural topology
in the space of integrands). More precisely, in [86, 88] we considered a class of
optimal control problems (with the same system of differential equations, the same
functional constraints, and the same boundary conditions) which is identified with
the corresponding complete metric space of cost functions (integrands), say F . We
did not impose any convexity assumptions. These integrands are only assumed to
satisfy the Cesari growth condition. The main result in [86, 88] establishes the
existence of an everywhere dense Gı -set F 0 F such that for each integrand in
F 0 the corresponding optimal control problem has a unique solution. It should be
v
vi Preface
mentioned that the author obtained this generic existence result in [86] for general
Bolza and Lagrange optimal control problems. This result was published in [88].
The next step was done in a joint paper by Alexander Ioffe and the author (see
[42]). There we introduced a general variational principle having its prototype in
the variational principle of Deville, Godefroy, and Zizler [30]. A generic existence
result in the calculus of variations without convexity assumptions was then obtained
as a realization of this variational principle. It was also shown in [42] that some
other generic well-posedness results in optimization theory known in the literature
and their modifications are obtained as a realization of this variational principle.
The work [86, 88] became a starting point of the author’s research on optimal
control and variational problems without convexity assumptions which have been
continued in the last 15 years. Many results obtained during this period of time are
presented in the book. Among them generic existence results for different classes
of optimal control problems are collected in Chaps. 2–5. Any of these classes of
problems is identified with a functional space equipped with a natural complete
metric and it is shown that there exists a Gı everywhere dense subset of the
functional space such that for any element of this subset the corresponding optimal
control problem possesses a unique solution and that any minimizing sequence
converges to this unique solution. These results are obtained as realizations of
variational principles which are generalizations or concretization of the variational
principle established in [42].
In Chaps. 6–9 we show nonoccurrence of the Lavrentiev phenomenon for many
optimal control and variational problems without convexity assumptions.
We say that the Lavrentiev phenomenon occurs for an optimal control problem
if its infimum on the full admissible class of trajectory-control pairs is less than its
infimum on a subclass of trajectory-control pairs with bounded controls.
The Lavrentiev phenomenon in the calculus of variations was discovered in
1926 by M. Lavrentiev in [45]. There it was shown that it is possible for the
variational integral of a two-point Lagrange problem, which is sequentially weakly
lower semicontinuous on the admissible class of absolutely continuous functions, to
possess an infimum on the dense subclass of C 1 admissible functions that is strictly
greater than its minimum value on the admissible class. Since this seminal work, the
Lavrentiev phenomenon is of great interest in the calculus of variations and optimal
control [1, 8, 9, 21, 25, 26, 35, 49, 53, 60, 78–80]. Nonoccurrence of the Lavrentiev
phenomenon was studied in [1, 25, 26, 35, 49, 79, 80]. It should be mentioned that
Clarke and Vinter [25] showed that the Lavrentiev phenomenon cannot occur when
a variational integrand f .t; x; u/ is independent of t.
In Chaps. 6–9 we consider large classes of optimal control problems identified
with the corresponding complete metric spaces of integrands f .t; x; u/ depending
on t. We establish that for most integrands (in the sense of Baire category) the
infimum on the full admissible class of trajectory-control pairs is equal to the
infimum on a subclass of trajectory-control pairs whose controls are bounded by
a certain constant.
In Chaps. 10–12 we study turnpike properties of approximate solutions of
variational and optimal control problems. To have this property means, roughly
Preface vii
speaking, that the approximate solutions are determined mainly by the integrand
(objective function) and are essentially independent of the choice of interval and
end point conditions, except in regions close to the end points.
Turnpike properties are well known in mathematical economics. The term was
first coined by Samuelson in 1948 (see [77]) where he showed that an efficient
expanding economy would spend most of the time in the vicinity of a balanced
equilibrium path (also called a von Neumann path).
We study the turnpike property of approximate solutions of the variational
problems with integrands f which belong to a complete metric space of functions
M. We do not impose any convexity assumption on f . This class of variational
problems was studied in Chap. 2 of [99] for integrands f 2 Mco , where the space
Mco consists of all integrands f 2 M which are convex with respect to the last
variable (derivative). In Chap. 2 of [99] we showed that the turnpike property holds
for a typical integrand f 2 Mco . In this book we extend the turnpike result of [99]
established for the space Mco to the space of integrands M. We also study turnpike
properties for a class of discrete-time optimal control problems.
1 Introduction .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 1
1.1 Generic Existence of Solutions of Optimal Control Problems .. . . . 1
1.2 Lavrentiev Phenomenon . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 5
1.3 Turnpike Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 10
1.4 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 12
2 Well-posedness of Optimal Control Problems . . . . . . .. . . . . . . . . . . . . . . . . . . . 17
2.1 Optimal Control Problems with Cesari Growth Condition .. . . . . . . . 18
2.2 A Generic Variational Principle . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 24
2.3 Concretization of the Hypothesis (H1) .. . . . . . . . .. . . . . . . . . . . . . . . . . . . . 26
2.4 Preliminary Results for Hypotheses (A2) and (H2) . . . . . . . . . . . . . . . . 31
2.5 A Preliminary Lemma for Hypothesis (A3) . . . .. . . . . . . . . . . . . . . . . . . . 37
2.6 An Auxiliary Result . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 41
2.7 An Auxiliary Lemma for Hypothesis (A4).. . . . .. . . . . . . . . . . . . . . . . . . . 41
2.8 Proof of Theorem 2.2 and Its Extensions . . . . . . .. . . . . . . . . . . . . . . . . . . . 44
2.9 Variational Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 45
2.10 Optimal Control Problems with Cinquini Growth Condition . . . . . . 49
2.11 Variational Principles . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 54
2.12 Preliminary Results for Theorem 2.20 . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 56
2.13 Proof of Theorem 2.20 . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 60
3 Well-posedness and Porosity . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 63
3.1 -porous Sets in a Metric Space . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 64
3.2 Well-posedness of Optimization Problems.. . . . .. . . . . . . . . . . . . . . . . . . . 66
3.3 A Variational Principle .. . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 68
3.4 Well-posedness Results . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 73
3.5 A Preliminary Result for Theorems 3.9 and 3.10 .. . . . . . . . . . . . . . . . . . 80
3.6 An Auxiliary Result for Theorem 3.10 .. . . . . . . . .. . . . . . . . . . . . . . . . . . . . 84
3.7 Proofs of Theorems 3.9 and 3.10 . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 85
4 Well-posedness of Nonconvex Variational Problems.. . . . . . . . . . . . . . . . . . . 87
4.1 Two Classes of Variational Problems.. . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 87
4.2 Variational Principles . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 88
ix
x Contents
References .. .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 371
Index . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . 377
Chapter 1
Introduction
Denote by ˝ the set of all admissible pairs .x; u/. We suppose that ˝ 6D ;.
We are concerned with the existence of the minimum in ˝ of the functional
Z T2
f .t; x.t/; u.t//dt C h.x.T1 /; x.T2 //;
T1
where > 0. It is easy to verify that the uniform space Cl .B1 B2 / is metrizable
and complete [44], and C.B1 B2 / is a closed subset of Cl .B1 B2 /. We consider
the topological space C.B1 B2 / Cl .B1 B2 / which has the relative topology.
Denote by Ml the set of all lower semicontinuous functions f W M ! R1 which
satisfy the following growth condition.
(A) For each > 0 there exists an integrable scalar function .t/ 0; t 2 ŒT1 ; T2
such that jH.t; x; u/j .t/ C f .t; x; u/ for each .t; x; u/ 2 M .
Growth condition (A) proposed by Cesari (see [21]) and its equivalents and
modifications are rather common in the literature.
Denote by Mc the set of all continuous functions f 2 Ml . For N; > 0 we set
We can show in a straightforward manner that for the set Ml there exists the
uniformity which is determined by the base E.N; /; N; > 0 [86, 88]. It is easy to
verify that the uniform space Ml is metrizable and complete. Clearly Mc is a closed
subset of Ml . We consider the topological space Mc Ml which has the relative
topology and the spaces
Al D Ml Cl .B1 B2 /; Ac D Mc C.B1 B2 /;
In [86, 88] we established the following results which show that generically the
optimal control problem considered in this section has a unique solution.
Theorem 1.1. There exist a set Fl A N l;reg which is a countable intersection of
N
open everywhere dense subsets of Al;reg and a set Fc A N c;reg \ Fl which is a
4 1 Introduction
2. For each > 0 there exist a neighborhood U of .f; h/ in Al and a number ı > 0
such that for each .g; / 2 U and each .x; u/ 2 ˝ satisfying I .g;/ .x; u/
.g; / C ı, the following relation holds:
Note that by the Baire category theorem the set Fl is nonempty and in fact
N l;reg .
everywhere dense in A
Theorem 1.2. Let 2 Cl .B1 B2 / be fixed and let Fl ; Fc be as guaranteed in
Theorem 1.1. Then there exist a set Fl M N which is a countable intersection
l;reg
of open everywhere dense subsets of MN and a set Fc M N c;reg \ F which is a
l;reg l
countable intersection of open everywhere dense subsets of MN c;reg , such that
Fl fg Fl :
It thus follows from Theorem 1.2 that for a fixed 2 Cl .B1 B2 / we have the
properties of existence, uniqueness, and stability for all pairs .f; / with f in Fl .
It should be mentioned that in [86,88] we established extensions of Theorems 1.1
and 1.2 for a class of optimal control problems with the Cinquini growth condition
[22] and for a class of optimal control problems with multiple integrals.
In this book we present several generalizations and extensions of Theorems 1.1
and 1.2.
In Chap. 2 we prove generic existence results for classes of optimal control
problems in which constraint maps are also subject to variations as well as
the cost functions. These results were obtained in [87, 90]. More precisely, we
establish generic existence results for classes of optimal control problems (with the
same system of differential equations, the same boundary conditions, and without
convexity assumptions) which are identified with the corresponding complete metric
spaces of pairs .f; U / (where f is an integrand satisfying a certain growth condition
and U is a constraint map) endowed with some natural topology. We will show that
for a generic pair .f; U / the corresponding optimal control problem has a unique
solution. In Sects. 2.1–2.9 we prove generic existence results for classes of optimal
control problems with integrands satisfying the Cesari growth condition obtained
in [87] while in Sects. 2.10–2.13 we prove generic existence results for classes of
optimal control problems with integrands satisfying the Cinquini growth condition
obtained in [90].
In [86, 88] we considered a class of optimal control problems which is identified
with the corresponding complete metric space of integrands, say F . We did not
1.2 Lavrentiev Phenomenon 5
impose any convexity assumptions. The main result in [86, 88] establishes that for a
generic integrand f 2 F the corresponding optimal control problem is well posed.
In Chap. 3 we study the set of all integrands f 2 F for which the corresponding
optimal control problem is well posed. We show that the complement of this set is
not only of the first category but also of a -porous set. This result was obtained
in [89].
In Chap. 4 we study variational problems in which the values at the end points
are also subject to variations. Using the Baire category approach and the porosity
notion we show that most variational problems are well posed. In Sects. 4.1–4.5 we
prove generic results obtained in [92] while in Sects. 4.6–4.11 we prove porosity
results obtained in [93].
In Chap. 5 we prove a generic existence and uniqueness result for a class of
optimal control problems in which the right-hand side of differential equations is
also subject to variations as well as the integrands. The results of Chap. 5 were
obtained in [94].
In this book we usually consider topological spaces with two topologies where
one is weaker than the other. (Note that they can coincide.) We refer to them as
the weak and the strong topologies, respectively. If .X; d / is a metric space with a
metric d and Y X , then usually Y is also endowed with the metric d (unless
another metric is introduced in Y ). Assume that X1 and X2 are topological spaces
and that each of them is endowed with a weak and a strong topology. Then for the
product X1 X2 we also introduce a pair of topologies: a weak topology which is
the product of the weak topologies of X1 and X2 and a strong topology which is the
product of the strong topologies of X1 and X2 . If Y X1 , then we consider the
topological subspace Y with the relative weak and strong topologies (unless other
topologies are introduced). If .Xi ; di /, i D 1; 2 are metric spaces with the metrics d1
and d2 , respectively, then the space X1 X2 is endowed with the metric d defined by
d..x1 ; x2 /; .y1 ; y2 // D d1 .x1 ; y1 / C d2 .x2 ; y2 /; .x1 ; x2 /; .y1 ; y2 / 2 X1 X2 :
phenomenon can occur with fully regular integrands. Sarychev [78] constructed a
broad class of integrands that exhibit the Lavrentiev phenomenon. Nonoccurrence
of the Lavrentiev phenomenon was studied in [1, 2, 25, 26, 35, 49, 79, 80].
Clarke and Vinter [25] showed that the Lavrentiev phenomenon cannot occur
when a variational integrand f .t; x; u/ is independent of t. Sychev and Mizel [80]
considered a class of integrands f .t; x; u/ which are convex with respect to the
last variable. For this class of integrands they established that the Lavrentiev
phenomenon does not occur.
Sarychev and Torres [79] studied a class of optimal control problems with
control-affine dynamics and with continuously differentiable integrands f .t; x; u/.
For this class of problems they established Lipschitzian regularity of minimizers
which implies nonoccurrence of the Lavrentiev phenomenon.
In [97] we studied nonoccurrence of Lavrentiev phenomenon for two classes of
nonconvex nonautonomous variational problems with integrands f .t; x; u/. For the
first class of integrands we proved the existence of a minimizing sequence of
Lipschitzian functions while for the second class we showed that an infimum on
the full admissible class is equal to the infimum on a set of Lipschitzian functions
with the same Lipschitzian constant. Here we present these results.
Assume that .X; jj jj/ is a Banach space. Let 1 < 1 < 2 < 1. Denote
by W 1;1 .1 ; 2 I X / the set of all functions x W Œ1 ; 2 ! X for which there exists a
Bochner integrable function u W Œ1 ; 2 ! X such that
Z t
x.t/ D x.1 / C u.s/ds; t 2 .1 ; 2
1
(see, e.g., [16]). It is known that if x 2 W 1;1 .1 ; 2 I X /, then this equation defines
a unique Bochner integrable function u which is called the derivative of x and is
denoted by x 0 .
We denote by mes.˝/ the Lebesgue measure of a Lebesgue measurable set ˝
R1 .
Let a; b 2 R1 satisfy a < b. Suppose that f W Œa; b X X ! R1 is a
continuous function such that the following assumptions hold:
(A1) f .t; x; u/ .jjujj/ for all .t; x; u/ 2 Œa; b X X; where W Œ0; 1/ !
Œ0; 1/ is an increasing function such that
lim .t/=t D 1:
t !1
jf .t; x1 ; y1 / f .t; x2 ; y2 /j
for each t 2 Œa; b and each x1 ; x2 ; y1 ; y2 2 X satisfying
Clearly for each v 2 B the function f .t; v.t/; v0 .t//, t 2 Œa; b is measurable. In [97]
we considered the variational problem
Z b
I.v/ WD f .t; v.t/; v0 .t//dt ! min; v 2 B
a
j.t; x1 / .t; x2 /j
for each t 2 Œa; b and each x1 ; x2 2 X satisfying
jjxi jj M; i D 1; 2; jjx1 x2 jj ı:
Then (A1)–(A3) hold with the function
Assume that (A4) holds with D g; h. Then the function f .t; x; u/ D g.t; u/h.t; x/,
.t; x; u/ 2 Œa; b X X satisfies (A1)–(A3).
Corollary 1.6. Let X D R n , W Œ0; 1/ ! Œ0; 1/ be an increasing function
such that
lim .t/=t D 1;
t !1
Then
inffI.v/ W v 2 Bg D inffI.v/ W v 2 BL g:
It should be mentioned that there are many examples of integrands of the
form (1.3) for which the Lavrentiev phenomenon occurs. Corollary 1.6 shows that if
such integrands satisfy inequalities (1.1) and (1.2), then the Lavrentiev phenomenon
does not occur.
Now we present the second main result of [97].
Let a; b 2 R1 , a < b. Suppose that f W Œa; b X X ! R1 is a continuous
function which satisfies the following assumptions:
(B1) There is an increasing function W Œ0; 1/ ! Œ0; 1/ such that
(B2) For each M > 0 there exist positive numbers ı; L and an integrable
nonnegative scalar function M .t/, t 2 Œa; b such that for each t 2 Œa; b,
each u 2 X , and each x1 ; x2 2 X satisfying
(B3) For each M > 0 there is L > 0 such that for each t 2 Œa; b and each
x1 ; x2 ; u1 ; u2 2 X satisfying jjxi jj; jjui jj M , i D 1; 2 the following
inequality holds:
Remark 1.7. It is not difficult to see that if (B2) holds with each M bounded, then
f satisfies (A1)–(A3).
For each z1 ; z2 2 X denote by A.z1 ; z2 / the set of all x 2 W 1;1 .a; bI X / such that
x.a/ D z1 , x.b/ D z2 .
For each x 2 A set
Z b
I.x/ D f .t; x.t/; x 0 .t//dt:
a
The work [97] became a starting point of the author’s research on nonoccurrence
of Lavrentiev phenomenon for nonconvex nonautonomous variational and optimal
control problems. The most important results which were obtained are presented in
Chaps. 6–9 of this book.
In Chap. 6 we study nonoccurrence of the Lavrentiev phenomenon for a
large class of nonconvex nonautonomous constrained variational problems. A state
variable belongs to a convex subset H of a Banach space X with nonempty interior.
Integrands belong to a complete metric space of functions MB which satisfy a
growth condition common in the literature and are Lipschitzian on bounded sets.
We show nonoccurrence of the Lavrentiev phenomenon for most elements of MB
in the sense of Baire category. The results of Chap. 6 were obtained in [101].
In Chap. 7 we study nonoccurrence of the Lavrentiev phenomenon for a large
class of nonconvex optimal control problems which is identified with the corre-
sponding complete metric space of integrands M which satisfy a growth condition
common in the literature and are Lipschitzian on bounded sets. We establish that
for most elements of M (in the sense of Baire category) the infimum on the full
admissible class of trajectory-control pairs is equal to the infimum on a subclass
of trajectory-control pairs whose controls are bounded by a certain constant.
The results of Chap. 7 were obtained in [100].
In Chap. 8 we show nonoccurrence of the Lavrentiev phenomenon for a class of
nonconvex optimal control problems. We show that for most problems (in the sense
of Baire category) the infimum on the full admissible class of trajectory-control
pairs is equal to the infimum on a subclass of trajectory-control pairs with bounded
controls. This result was obtained in [103].
In Chap. 9 we show nonoccurrence of gap for two large classes of infinite-
dimensional linear control systems in a Hilbert space with nonconvex integrands.
These classes are identified with the corresponding complete metric spaces of
integrands which satisfy a growth condition common in the literature. For most
elements of the first space of integrands (in the sense of Baire category) we establish
the existence of a minimizing sequence of trajectory-control pairs with bounded
controls. We also establish that for most elements of the second space (in the sense
of Baire category) the infimum on the full admissible class of trajectory-control pairs
is equal to the infimum on a subclass of trajectory-control pairs whose controls are
bounded by a certain constant. The results of Chap. 9 were obtained in [104].
Chapters 10–12 are devoted to turnpike theory and infinite horizon optimal control.
The study of the existence and the structure of (approximate) solutions of variational
and optimal control problems defined on infinite intervals and on sufficiently large
intervals has recently been a rapidly growing area of research [3–5,10,14,15,17,18,
34, 36, 38, 43, 46, 50, 52, 62, 64, 68].
1.3 Turnpike Properties 11
1.4 Examples
x.0/ D 0; x.1/ D 0
and
Z 1
Œ.x.t//2 C .x 0 .t//2 dt :
0
with the integrand f .t; x; u/ D x 2 C .u2 1/2 , .t; x; u/ 2 R3 . Clearly, the integrand
f satisfies the growth condition (A) of Sect. 1.1 and f 2 Mc .
Let n be a natural number. There exists an a.c. function xn W Œ0; 1 ! R1 such
that for each integer i 2 Œ0; n1, xn is affine on the intervals Œi n1 ; .2i C1/.2n/1
and Œ.2i C 1/.2n/1 ; .i C 1/n1 , and
This implies that the infimum of our integral functional over the set of admissible
functions is zero. On the other hand, our variational problem does not have a
solution.
Since the Lipschitz constant of xn is 1 for any natural number n, the Lavrentiev
phenomenon does not hold for our variational problem.
Example 1.13. Let
and
Z T2 Z T2
f .t; vO .t/; vO 0 .t//dt f .t; v.t/; v0 .t//dt
T1 T1
Z T1 C1 Z T2
0
D f .t; v.t/; v .t//dt C f .t; v.t/; v0 .t//dt
T1 T2 1
Thus
Z T2
f .t; vO .t/; vO 0 .t//dt c1 .jyj; jzj/;
T1
where
c1 .jyj; jzj/ D 2 supfjf .t; x; u/j W t; x; u 2 R1 ; jxj; juj jyj C jzj C 1g:
1.4 Examples 15
Since the constant c1 .jyj; jzj/ does not depend on T2 and T1 we conclude that if
T2 T1 is sufficiently large, then the optimal solution vO .t/ is equal to cos.t/ up to
for most t 2 ŒT1 ; T2 . Moreover, we can show that
In this chapter we prove generic existence results for classes of optimal control
problems in which constraint maps are also subject to variations as well as
the cost functions. These results were obtained in [87, 90]. More precisely, we
establish generic existence results for classes of optimal control problems (with
the same system of differential equations, the same boundary conditions and without
convexity assumptions) which are identified with the corresponding complete metric
spaces of pairs .f; U / (where f is an integrand satisfying a certain growth condition
and U is a constraint map) endowed with some natural topology. We will show that
for a generic pair .f; U / the corresponding optimal control problem has a unique
solution.
In the theory developed here topologies on spaces of integrands and on spaces of
integrand–map pairs are of great importance. Actually one space of integrand–map
pairs, say A, considered here is a topological product of a space of integrands and a
space of multivalued maps. The values of these maps are elements of the space of all
nonempty convex closed subsets of a finite-dimensional Euclidean space endowed
with the Hausdorff distance. In the space of multivalued maps we consider the
topology of uniform convergence. For the space of integrands we consider weak and
strong topologies which induce weak and strong topologies on the space A. We will
prove the existence of a set A0 A which is a countable intersection of open (in the
weak topology) everywhere dense (in the strong topology) sets such that for each
.f; U / 2 A0 the corresponding optimal control problem has a unique solution. In
fact we will
N establish our result for various spaces of integrands: the space of the so-
called L B-measurable integrands, the space of lower semicontinuous integrands
and the space of continuous integrands, as well as their subspaces consisting of
integrands f .t; x; u/ differentiable in u and subspaces consisting of integrands
f .t; x; u/ differentiable in x and u. All these spaces are endowed with same weak
topology. Their strong topology is always stronger then the topology of uniform
convergence.
If we say that a function (set) is measurable we mean that it is Lebesgue
measurable.
jjf jjC q D jjf jjC q .Rk / D sup fj@j˛j f .z/=@x1˛1 : : : @xk˛k j W (2.1)
z2Rk
and W01;1 .˝/ is the closure of C01 .˝/ in W 1;1 .˝/, where C01 .˝/ is the space of
smooth functions u W ˝ ! R1 with compact support in ˝ [108].
If m D 1, then we assume that ˝ D .T1 ; T2 /, where T1 and T2 are fixed real
numbers for which T1 < T2 .
For a function u D .u1 ; : : : un /, where ui 2 W 1;1 .˝/, i D 1; : : : n, we set
Q D Rn ; t 2 ˝; UQ .t; x/ D RN ; .t; x/ 2 ˝ Rn :
A.t/ (2.3)
n N
For each A W ˝ ! 2R n f;g and each U W graph.A/ ! 2R n f;g for
which graph.U / is a closed subset of the space ˝ Rn RN with the product
topology, we denote by X.A; U / the set of all pairs of functions .x; u/, where
2.1 Optimal Control Problems with Cesari Growth Condition 19
Note that in the definition of the space X.A; U / we use the boundary condi-
tion (2.4c) in the case m D 1 while in the case m > 1 we use the boundary
condition (2.4d). Both of them are common in the literature [12, 13, 17, 21].
We do this to provide a unified treatment for both cases. Note that we prove
our generic result in the case m D 1 for a class of Bolza problems (with the same
boundary condition (2.4c)) while in the case m > 1 it will be established for a class
of Lagrange problems (with the same boundary condition (2.4d)).
To be more precise, we have to define elements of X.A; U / as classes of pairs
equivalent in the sense that .x1 ; u1 / and .x2 ; u2 / are equivalent if and only if x2 .t/ D
x1 .t/; u2 .t/ D u1 .t/, t 2 ˝ (a.e.) If m D 1, then by an appropriate choice of
representatives, W 1;1 .T1 ; T2 / can be identified with the set of absolutely continuous
functions x W ŒT1 ; T2 ! R1 , and we will henceforth assume that this has been done.
n N
Let A W ˝ ! 2R n f;g, U W graph.A/ ! 2R n f;g and let graph.U / be a closed
subset of the space ˝ R R with the product topology.
n N
For the set X.A; U / defined above we consider the uniformity which is deter-
mined by the following base:
where > 0. It is easy to see that the uniform space X.A; U / is metrizable (by a
metric ) (see [44]). In the space X.A; U / we consider the topology induced by the
metric .
Next we define spaces of integrands associated with the maps A and U . By
M.A; U / we denote the set of all functions f W graph.U / ! R1 [ f1g with
the following properties:
(i) f is measurable with respect to the -algebra generated by products of
Lebesgue measurable subsets of ˝ and Borel subsets of Rn RN .
(ii) f .t; ; / is lower semicontinuous for almost every t 2 ˝.
(iii) For each > 0 there exists an integrable scalar function .t/ 0; t 2 ˝,
such that jH.t; x; u/j .t/ C f .t; x; u/ for all .t; x; u/ 2 graph .U /.
20 2 Well-posedness of Optimal Control Problems
The growth condition in (iii) was proposed by Cesari (see [21]) and its equiv-
alents and modifications are rather common in the literature. Due to property (i)
for every f 2 M.A; U / and every .x; u/ 2 X.A; U / the function f .t; x.t/; u.t//,
t 2 ˝ is measurable.
Denote by Ml .A; U / (respectively, Mc .A; U /) the set of all lower semicontin-
uous (respectively, finite-valued continuous) functions f W graph.U / ! R1 [ f1g
in M.A; U /. Now we equip the set M.A; U / with the strong and weak topologies.
For the space M.A; U / we consider the uniformity determined by the following
base:
where > 0. It is easy to see that the uniform space M.A; U / with this uniformity is
metrizable (by a metric dM ) and complete. This uniformity generates in M.A; U /
the strong topology. Clearly Ml .A; U / and Mc .A; U / are closed subsets of
M.A; U / with this topology.
For each > 0 we set
jf .t; x; u/ g.t; x; u/j < C maxfjf .t; x; u/j; jg.t; x; u/jg C .t/
for each x 2 A.t/ and each u 2 U.t; x/g:
Using the following simple lemma [87] we can easily show that for the set
M.A; U / there exists the uniformity which is determined by the base EMw ./,
> 0. This uniformity induces in M.A; U / the weak topology.
Lemma 2.1. Let a; b 2 R1 , 2 .0; 1/,
0, and
Then
ja bj < .1 C
/. C 2 .1 /1 / C .1 /1 minfjaj; jbjg:
where > 0. It is easy to see that the uniform space Cl .B1 B2 / is metrizable
(by a metric dc ) and complete. This metric induces in Cl .B1 B2 / the strong
topology. We do not write down the explicit expressions for the metrics dM and
dc because we are not going to use them in the sequel.
For any > 0 we set
where > 0. By using Lemma 2.1 we can easily show that for the set Cl .B1 B2 /
there exists a uniformity which is determined by the base Ecw ./, > 0. This
uniformity induces in Cl .B1 B2 / the weak topology. Denote by C.B1 B2 / the
set of all finite-valued continuous functions h in Cl .B1 B2 /. Clearly it is a closed
subset of Cl .B1 B2 / with the weak topology.
In the case m > 1 for each f 2 M.A; U / we define I .f / W X.A; U / !
R [ f1g by
1
Z
I .f / .x; u/ D f .t; x.t/; u.t//dt; .x; u/ 2 X.A; U /: (2.10)
˝
(2.11)
We will show (see Propositions 2.6 and 2.7) that in both cases (2.10) and (2.11)
define lower semicontinuous functionals on X.A; U /.
From now on in this section we consider a fixed set-valued mapping A W ˝ !
n
2R nf;g for which graph.A/ is a closed subset of the space ˝ Rn with the product
topology. Denote by UQ A the restriction of UQ (see (2.3)) to the graph.A/. Namely
where > 0. It is easy to see that the space Mk .A; UQ A / with this uniformity is
metrizable (by a metric dM;k ) and complete. Define
Clearly Mlk .A; UQ A / and Mck .A; UQ A / are closed sets in Mk .A; UQ A / with the strong
topology.
Finally we define subspaces of M.A; Q UQ / which consist of integrands differen-
tiable with respect to the state variable x and the control variable u. Denote by
Mk .A;Q UQ / the set of all f W ˝ Rn RN ! R1 in M.A; Q UQ / (see (2.3)) such that
for each t 2 ˝ the function f .t; ; / 2 C .R R /. We consider the topological
k n N
subspace Mk .A; Q UQ / M.A; Q UQ / with the relative weak topology. The strong
Q Q
topology in Mk .A; U / is induced by the uniformity which is determined by the
following base:
EMk Q UQ / Mk .A;
./ D f.f; g/ 2 Mk .A; Q UQ / W (2.15)
jf .t; x; u/ g.t; x; u/j for all .t; x; u/ 2 ˝ R R and
n N
(2.16)
Clearly Ml Q Q c Q Q Q Q
k .A; U / and Mk .A; U / are closed sets in Mk .A; U / with the strong
topology.
Thus we have defined all the spaces of integrands for which we will prove our
generic existence result. Now we will define a space of constraint maps PA . Denote
by S.RN / the set of all nonempty convex closed subsets of RN . For each x 2
RN and each E RN , set dH .x; E/ D infy2E jx yj. For each pair of sets
C1 ; C2 R N ,
2.1 Optimal Control Problems with Cesari Growth Condition 23
dH .C1 ; C2 / D max sup dH .y; C2 /; sup dH .x; C1 /
y2C1 x2C2
is the Hausdorff distance between C1 and C2 . For the space S.RN / we consider the
uniformity determined by the following base:
where > 0. It is well known that the space S.RN / with this uniformity
is metrizable and complete. Denote by PA the set of all set-valued mappings
U W graph.A/ ! S.RN / such that graph.U / is a closed subset of the space
graph.A/ RN with the product topology. For the space PA we consider the
uniformity determined by the following base:
where > 0. It is easy to see that the space PA with this uniformity is metrizable
and complete.
We consider the space X.A; UQ A / with the metric (see (2.5)). For each U 2 PA
define
and in the case m > 1 for each U 2 PA and each f 2 M.A; UQ A / we consider the
optimal control problem
We will state our existence result, Theorem 2.2, in such a manner that it will be
applicable to the Bolza problem in case m D 1 and to the Lagrange problem in case
m > 1, and also applicable for all the spaces of integrands defined above.
To meet this goal we set A2 D PA and define a space A1 as follows:
Q UQ /I Ml
Mk .A; Q Q c Q Q Q
k .A; U /I Mk .A; U / (here k 1 is an integer and A D A/:
Ja .x; u/ D I .a1 / .x; u/; .x; u/ 2 Sa2 ; Ja .x; u/ D 1; .x; u/ 2 X.A; UQ A / n Sa2 :
W \ fb 2 A W d.a; b/ < g 6D ;
2.2 A Generic Variational Principle 25
We will show (see Theorem 2.3) that if (H1) and (H2) hold, then for a generic
a 2 A the minimization problem fa .x/ ! min, x 2 X , has a unique solution.
This result generalizes the variational principle in [42] which was obtained for the
complete domain space .X; /. Note that if .X; / is complete, the weak and strong
topologies on A coincide, and for any a 2 A the function fa is not identically 1,
then the variational principles in [42] and in this section are equivalent.
For the classes of optimal control problems considered in this chapter the domain
space is usually the space X.A; UQ A / with the metric (see (2.5)) which is not
complete. Since the variational principle in [42] was established only for complete
domain spaces it cannot be applied to these classes of optimal control problems.
Fortunately, instead of the completeness assumption we can use (H2) and this
hypothesis holds for spaces of integrands (integrand–map pairs) which satisfy the
Cesari growth condition.
Theorem 2.3. Assume that (H1) and (H2) hold. Then there exists an everywhere
dense (in the strong topology) set B A which is a countable intersection of open
(in the weak topology) subsets of A such that for any a 2 B the following assertions
hold:
(1) inf.fa / is finite and attained at a unique point xN 2 X .
(2) For each > 0 there are a neighborhood V of a in A with the weak topology
and ı > 0 such that for each b 2 V, inf.fb / is finite and if z 2 X satisfies
fb .z/ inf.fb / C ı, then .x;N z/ and jfb .z/ fa .x/j
N .
Following the tradition, we can summarize the theorem by saying that under the
assumptions (H1) and (H2) the minimization problem for fa on .X; / is generically
strongly well posed with respect to A.
Proof. Let a 2 A. By (H1) for any natural n D 1; 2; : : : there are a nonempty
open set U.a; n/ in A with the weak topology, x.a; n/ 2 X , ˛.a; n/ 2 R1 , and
.a; n/ > 0 such that
and for any b 2 U.a; n/, inf.fb / is finite and if z 2 X satisfies fb .z/ inf.fb / C
.a; n/, then
.z; x.a; n// 1=n; jfb .z/ ˛.a; n/j 1=n:
strong topology. Set B D \1 nD1 Bn . Since for each integer n 1 the set Bn is also
open in the strong topology generated by the complete metric d we conclude that B
is everywhere dense in the strong topology.
Let b 2 B. Evidently inf.fb / is finite. There are a sequence fan g1 nD1 A and
a strictly increasing sequence of natural numbers fkn g1 nD1 such that b 2 U.an ; kn /,
n D 1; 2; : : : Assume that fzn g1nD1 X and lim n!1 f b .zn / D inf.f b /.
Let m 1 be an integer. Clearly for all large enough n the inequality fb .zn / <
inf.fb / C .am ; km / is true and it follows from the definition of U.am ; km / that
1 1
.zn ; x.am ; km // km ; jfb .zn / ˛.am ; km /j km (2.20)
for all large enough n. Since m is an arbitrary natural number we conclude that
fzn g1
nD1 X is a Cauchy sequence. By (H2) there is x N D limn!1 zn . As fb is
lower semicontinuous, we have fb .x/ N D inf.fb /. Clearly fb does not have another
minimizer for otherwise we would be able to construct a nonconvergent sequence
fzn g1
nD1 . This proves the first part of the theorem. We further note that by doing
n ! 1 in (2.20)
1 1
N x.am ; km // km
.x; ; jfb .x/
N ˛.am ; km /j km ; m D 1; 2; : : : (2.21)
We turn now to the second assertion. Let > 0. Choose a natural number m for
1
which 4km < . Let a 2 U.am ; km /. Clearly inf.fa / is finite. Let z 2 X and
fa .z/ inf.fa / C .am ; km /. By the definition of U.am ; km /,
1 1
.z; x.am ; km // km ; jfa .z/ ˛.am ; km /j km :
The proof of Theorem 2.2 consists in verifying that the hypotheses (H1) and (H2)
hold for the space of integrand–map pairs introduced in Sect. 2.1. (H2) will follow
from Proposition 2.7 which will be proved in Sect. 2.4. The verification of (H1) is
more complicated. Recall that our space of integrand–map pairs is a product of the
space of integrands and the space of maps. Therefore we should seek the set W
(see (H1)) in the form V U where V is an open set in the space of integrands and
U is an open set in the space of maps. To simplify the verification of (H1) in this
section we introduce new assumptions (A1)–(A4) and show that they imply (H1)
(see Proposition 2.4). Using (A1)–(A4) we can construct the set W D V U step
2.3 Concretization of the Hypothesis (H1) 27
by step, roughly speaking. Namely, using (A4) we construct the set U, using (A3)
we find an integrand aN 1 and then using (A2) we construct the set V which is an open
neighborhood of aN 1 . Thus to verify (H1) we need to show that the assumptions (A1)–
(A4) are valid. In fact this approach allows us to simplify the problem because each
of (A2)–(A4) concerns either the space of integrands or the space of maps while it
is not difficult to verify (A1).
Let .X; / be a metric space with the topology generated by the metric and let
.A1 ; d1 /, .A2 ; d2 / be metric spaces. For the space Ai (i D 1; 2) we consider the
topology generated by the metric di . This topology is called the strong topology. In
addition to the strong topology we consider a weak topology on Ai , i D 1; 2.
Assume that with every a 2 A1 a lower semicontinuous function a W X !
R1 [ f1g is associated and with every a 2 A2 a set Sa X is associated. For each
a D .a1 ; a2 / 2 A1 A2 define fa W X ! R1 [ f1g by
fa .x/ D a1 .x/ for all x 2 Sa2 ; fa .x/ D 1 for all x 2 X n Sa2 : (2.22)
and
xN 2 Sb SaN 2 for all b 2 U: (2.28)
Assume that (A3) holds. We show that the numbers ./ and ı. / can be chosen
such that 0 < ı./ ./ .
Let ./ and ı. /, 2 .0; 1/ be as guaranteed by (A3). Assume that 2 .0; 1/.
Since limt !0 .t/ D 0 and limt !0 ı.t/ D 0 there exist 1 2 .0; / and 0 2 .0; 1 /
N
such that .1 / < and .0 /; ı.0 / < .1 /. Set N ./ D .1 / and ı./ D ı.0 /.
N
Clearly ı./ < N ./ < .
Assume that a 2 A1 , Y is a nonempty subset of X and xN 2 Y satisfies a .x/ N
N
inff a .z/ W z 2 Y g C ı./ < 1. By (A3) and the equality ı./N D ı.0 / there exists
aN 2 A1 such that the following conditions hold:
Let .0 /, ı.0 / > 0 be as guaranteed by (A3) (namely (A3) is true with D 0 ,
./ D .0 /, ı. / D ı.0 /). Choose
By (A4) there are aN 2 2 A2 , xN 2 SaN 2 , and an open nonempty set U in A2 with the
weak topology such that (2.28) holds:
and
N inff a1 .z/ W z 2 SaN 2 g C ı1 < 1:
a1 .x/ (2.32)
It follows from the definition of .0 / and ı.0 /, (A3) (with a1 D a and Y D SaN 2 ),
and (2.32) that there is aN 1 2 A1 such that
2.3 Concretization of the Hypothesis (H1) 29
N 0 is valid.
the relation .y; x/
Let b 2 U. Then by the definition of U, (2.28), and (2.32)
then
N 0 and j aN 1 .y/ aN 1 .x/j
.y; x/ N ı1 C ı.0 /: (2.37)
It follows from (2.32), (2.35), and (2.33) that
Assume that y 2 Sb and (2.36) is true. It follows from (2.35), (2.36), (2.38),
(2.33), and (2.30) that
Thus, (2.37) is valid. Therefore we have shown that for each b 2 U relation (2.35)
and property (Pii) hold. Choose a number
N aN 1 .x/j
j b .x/ N 41 ı1 ; inf. b / b .x/
N D: (2.41)
Now we will show that (H1) is true with the open set W D V U, x D x,
N ˛ D
N and D 41 ı1 .
aN 1 .x/,
Assume that b D .b1 ; b2 / 2 V U. By (2.41) and (2.35)
and
Equations (2.44), (2.43), (2.42), (2.40), and property (Piii) imply that
Together with (2.45), (2.30), and the definition of ı.0 / this implies that
j b1 .z/ aN 1 .x/j
N 2ı.0 / 20 < :
and such that inf.fb / < 1 for each b D .b1 ; b2 / 2 V U. This implies that there
exists an open set F in A1 A2 with the weak topology such that inf.fa / < 1 for
all a 2 F and A is the closure of F in the space A1 A2 with the strong topology.
(see p. 68 of [33]). By property (ii) (see the definition of M.A; U /) for almost every
t2˝
lim inf f .t; xik .t/; uik .t// f .t; x.t/; u.t//:
k!1
The proposition now follows from property (iii) (see the definition of M.A; U /)
and Fatou’s lemma. t
u
The following proposition is an auxiliary result for the hypothesis (H2).
Proposition 2.7. Assume that f 2 RM.A; U /, f.xi ; ui /g1 i D1 X.A; U / is a
Cauchy sequence, and the sequence f ˝ f .t; xi .t/; ui .t//dtg1i D1 is bounded. Then
32 2 Well-posedness of Optimal Control Problems
Set Ck D [1
i Dk Di , k D 1; 2; : : : By (2.47) there exist measurable functions u W
˝ ! RN and x W ˝ ! Rn such that
Since the function f .t; ; / is lower semicontinuous for t 2 ˝ (a.e.) (see the
definition of M.A; U /, property (ii)) it follows from (2.48) that
f .t; x .t/; u .t// lim inf f .t; xik .t/; uik .t//; t 2 ˝ (a.e.): (2.49)
k!1
is uniformly integrable (see p. 74 of [32]). Namely for each > 0 there exists
ı > 0 such that for each measurable set e ˝ satisfying mes.e/ ı the following
relations hold:
Z Z
jH.t; x .t/; u .t//jdt ; jH.t; xik .t/; uik .t//jdt ; k D 1; 2; : : :
e e
It follows from this property, the continuity of H , (2.47), (2.48), and Egorov’s
theorem that for each measurable set e ˝
2.4 Preliminary Results for Hypotheses (A2) and (H2) 33
Z Z
H.t; xik .t/; uik .t//dt ! H.t; x .t/; u .t//dt as k ! 1: (2.50)
e e
Now we consider the case with m D 1. Since the set E is uniformly integrable it
follows from (2.4b), (2.48), and Ascoli’s compactness theorem that a subsequence
of the sequence fxik g1 kD1 converges to a continuous function y W ŒT1 ; T2 ! R
n
H.; x ./; u .// 2 L1 .˝/; H.; xik ./; uik .// 2 L1 .˝/; k D 1; 2; : : : ; (2.51)
H.; xik ./; uik .// ! H.; x ./; u .// as k ! 1 in L .˝/:
1
1 C 1 .1 1 /1 .2 C D C c0 / <
and define V D f 2 Cl .B1 B2 / W .; h/ 2 Ecw .1 /g (see (2.9)). Assume that
2 V, x 2 B1 B2 , and minf.x/; h.x/g D. It follows from the definition of V
and 1 , (2.9) and Lemma 2.1, that .x/; h.x/ are finite and
It follows from this inequality and the definition of V that for each x 2 B1 B2
satisfying .x/ inf./ C 1 the relation j.x/ h.x/j 21 holds. Choose z 2 X
such that .z/ inf./ C 21 . Then
Define
V D fg 2 M.A; U / W .g; f / 2 EMw .0 /g (see (2.7)): (2.57)
Assume that g 2 V, .x; u/ 2 X.A; U /, and (2.52) areR valid. By (2.57) and (2.7)
there is a nonnegative function 2 L1 .˝/ such that ˝ .t/dt 1 and for almost
every t 2 ˝ the inequality
jf .t; y; v/ g.t; y; v/j < 0 C 0 .t/ C 0 maxfjf .t; y; v/j; jg.t; y; v/jg
is true for each y 2 A.t/ and each v 2 U.t; y/. It follows from this inequality,
Lemma 2.1, and (2.56) that for almost every t 2 ˝ the relation
is valid for each y 2 A.t/ and each v 2 U.t; y/. Equations (2.58) and (2.54) imply
that for almost every t 2 ˝ the inequality
It follows from (2.58), (2.54), (2.59), and (2.60) that for almost every t 2 ˝
jf .t; x.t/; u.t// g.t; x.t/; u.t//j < 41 1 C 41 1 .t/C
41 1 minff .t; x.t/; u.t// C 2 0 .t/; g.t; x.t/; u.t// C .t/ C 4 0 .t/ C 2g
41 1 C 41 1 .t/ C 41 1 . .t/ C 4 0 .t/ C 2/ C 41 1 .t/:
Analogously to the proof of Corollary 2.9 we can show that Proposition 2.10
implies the following corollary.
Corollary 2.11. Let f 2 M.A; U / and > 0. Then there exists a neighborhood
V of f in M.A; U / with the weak topology such that for all g 2 V
ˇ Z Z
ˇ
ˇinf f .t; x.t/; u.t//dt W .x; u/ 2 X.A; U / inf g.t; x.t/; u.t//dt W
ˇ
˝ ˝
ˇ
ˇ
.x; u/ 2 X.A; U / ˇˇ < :
and
Z T2 Z T2
min f .t; x.t/; u.t//dt; g.t; x.t/; u.t//dt c0
T1 T1
By these inequalities and the definition of U and V, the inequalities (2.62) and (2.63)
are valid. The proposition is proved. t
u
N
.x/ N
D .1/ N
if x 1; .x/ N
D .1/ if x 1; (2.66)
N 0 / .x/
d0 D .d N N
.1/ 1 for all x 2 .d0 ; 1/: (2.67)
Now we define a set L Cl .B1 B2 /. In the case m D 1 we set L D Cl .B1 B2 /
and in the case m > 1 denote by L a singleton f0g where 0 is a function in Cl .B1
B2 / which is identical to zero. In the case m > 1 for each .f; / 2 M.A; U / L
and each .x; u/ 2 X.A; U / we set
(see (2.10) and (2.11)). For each measurable set E Rm , each measurable set
E0 E, and each h 2 L1 .E/ we set
Z
jjhjjL1 .E0 / D jh.t/jdt: (2.69)
E0
Fix an integer k 1. It is easy to verify that all partial derivatives of the functions
N
.x; y/ ! .jx yj2 /, .x; y/ 2 Rq Rq with q D n; N up to the order k are
bounded (by some dN > 0).
For each 2 .0; 1/ choose 0 . / 2 .0; / such that
Lemma 2.13. Let 2.0; 1/, f 2M.A; U /, 2L, and let Y X.A; U /, .x;
N uN /2Y ,
N
N uN / I .f;/ .x;
I .f ;/ .x; N uN / C ı. /I (2.77)
N N
I .f ;/ .y; v/ inffI .f ;/ .z; w/ W .z; w/ 2 Y g C 2ı./ (2.78)
N uN // is valid.
the relation ..y; v/; .x;
2.5 A Preliminary Lemma for Hypothesis (A3) 39
Moreover the function g is the sum of two functions, one of them depending only
on .t; x/ while the other depending only on .t; u/.
Proof. Choose a positive number 2 for which
and the functions xN and uN are bounded on E0 . There exist sequences of functions
fxN i g1 1
i D1 2 C .R I R / and fN
m n
ui g1 1
i D1 C .R I R / such that
m N
(p. 13 of [57]). We may assume without loss of generality that uN i .t/ ! uN .t/,
xN i .t/ ! x.t/
N as i ! 1, t 2 E0 (a.e.) By Egorov’s theorem there is a measurable
set E1 E0 such that
mes.E0 n E1 / < 21 2 (2.82)
and
uN i .t/ ! uN .t/ and xN i .t/ ! x.t/
N uniformly in E1 as i ! 1: (2.83)
Define a function g W Rm Rn RN ! R1 by
N
g.t; x; u/ D 0 . / .jx N uN s .t/j2 /; .t; x; u/2Rm Rn RN :
xN s .t/j2 / C 0 . / .ju
(2.85)
Clearly g 2 C 1 .Rm Rn RN /. Define
Z Z
C0 . / N x.t/
.j N xN s .t/j2 /dt C 0 . / N u.t/ uN s .t/j2 /dt
.jN
˝nE1 E1
Z
C0 . / N u.t/ uN s .t/j2 /dt I .f;/ .x;
.jN N uN /
˝nE1
N 1 2 /2 / C 20 . / mes .˝ n E1 /:
C2.mes.˝//0 . / ..4
It follows from this relation, (2.79), (2.66), (2.67), (2.80), and (2.82) that
N
N uN / C 2mes.˝/0 . /.41 2 /2 C 20 . /2
N uN / I .f;/ .x;
I .f ;/ .x;
I .f;/ .x;
N uN / C 40 . /2 I .f;/ .x;
N uN / C ı. /:
Thus (2.77) is valid. Now assume that .y; v/ 2 Y satisfies (2.78). It follows from
(2.78), (2.86), (2.85), and (2.74) that
Z Z
I .f;/ .y; v/ C 0 . / N xN s .t/ y.t/j2 /dt C 0 . /
.j N
.jv.t/ uN s .t/j2 /dt
˝ ˝
.fN;/ .fN;/
DI .y; v/ 2ı./ C I N uN /
.x;
3ı./ C I .f;/ .x;
N uN / I .f;/ .y; v/ C 4ı. /:
Set
E2 D ft 2 ˝ W jy.t/ xN s .t/j 21 1 . /g;
E3 D ft 2 ˝ W jv.t/ uN s .t/j 21 1 . /g: (2.88)
It follows from (2.89), (2.88), (2.84), (2.79), (2.80), and (2.82) that
and
2 C 1 . / 21 . /:
N uN // 2 EX .41 . //;
..y; v/; .x;
N uN // :
..y; v/; .x;
and define
.r/ D inffI .f;/ .x; u/ W .x; u/ 2 X.A; Ur /g: (2.95)
Clearly .r/ is finite for all r 2 Œ0; 1 and the function is monotone decreasing.
There is r0 2 .0; 81 / such that is continuous at r0 . Choose r1 2 .0; r0 / such that
There is
N uN / 2 X.A; Ur1 /
.x; (2.97)
such that
N uN / .r1 / C 161 ı:
I .f;/ .x; (2.98)
N uN / .r0 / C 81 ı:
I .f;/ .x; (2.99)
Set
r2 D 21 .r0 C r1 /: (2.100)
Clearly
.Uri ; U / 2 EPA ./; i D 0; 1; 2: (2.101)
2.7 An Auxiliary Lemma for Hypothesis (A4) 43
and define
W D fV 2 PA W .Ur2 ; V / 2 EPA . /g; U D Ur0 : (2.103)
It follows from (2.101), (2.103), (2.99), and (2.95) that (2.91) and (2.92) are true.
Assume that V 2 W. Then by (2.103), (2.102), and (2.100) for each .t; x/ 2
graph.A/
Therefore
X.A; V / X.A; Ur0 /: (2.104)
N
uN .t/ 2 Ur1 .t; x.t//: (2.106)
Assume that t 2 ˝ and (2.106) is true. By (2.106), (2.100), (2.94), and (2.103) for
i D 1; : : : ; N
uN .t/ C 21 .r0 r1 /ei ; uN .t/ 21 .r0 r1 /ei 2 Ur2 .t; x.t//
N
N
Since the set V .t; x.t// is convex it follows from (2.107), (2.102), and Proposi-
tion 2.14 that
Proof. By Propositions 2.6 and 2.7 (A1) holds and Ja is lower semicontinuous for
all a 2 A1 A2 . By Theorem 2.3 we need to verify that (H1) and (H2) are valid.
(H2) follows from Proposition 2.7. Therefore it is sufficient to show that (H1) holds.
By Proposition 2.4 it is sufficient to show that (A2), (A3), and (A4) are valid. (A2)
follows from Propositions 2.10 and 2.12. By Lemma 2.13, (A3) holds. (A4) follows
from Lemma 2.15. This completes the proof of the theorem. t
u
As we mentioned in Sect. 2.1 we proved Theorem 2.2 in such a manner that
it is applicable for all the spaces of integrands introduced there. All the spaces of
integrands are subspaces of M.A; U /. Since (H2), (A1), (A2), and (A4) hold for the
class of optimal control problems with the space of integrands M.A; U / they are
also valid for all its subclasses considered here. On the other hand (A3) follows from
Lemma 2.13 which establishes that f C g and f belong to the same subspaces of
integrands. This implies that (A3) holds for all classes of optimal control problems
introduced in Sect. 2.1.
As seen from the proof of Lemma 2.13 the perturbation g of the integrand f
is chosen as the sum of two functions, one of them depending only on .t; x/ while
the other depending only on .t; u/. Therefore Theorem 2.2 can be easily extended
to subclasses of the classes of optimal control problems introduced in Sect. 2.1 in
which integrands are sums of two finite-valued functions, one of them, depending
only on .t; x/, is defined on graph.A/ while the other, depending only on .t; u/, is
defined on ˝ RN .
In this section we present the extension of the generic existence and uniqueness
result established in [86, 88] for the space of lower semicontinuous integrands f W
graph.U / ! R1 . This generalization holds for all the spaces of integrands defined
in Sect. 2.1 and it is obtained as a realization of the generic variational principle
established in Sect. 2.2.
n N
Assume that A W ˝ ! 2R n f;g; U W graph.A/ ! 2R n f;g and graph(U / is
a closed subset of ˝ Rn RN with the product topology. We consider the metric
space X.A; U / with the metric (see (2.5)).
Now we define A1 as follows:
Q UQ /I Ml
Mk .A; Q Q
k .A; U /I
Mc Q Q Q Q
k .A; U / (here k 1 is an integer and A D A; U D U /:
Denote by A the closure of the set fa 2 A1 W inf.I .a/ / < 1g in the space A1 with
the strong topology. We assume that A is nonempty. The following result is proved
analogously to Theorem 2.2.
Theorem 2.16. The minimization problem for I .a/ on .X.A; U /; / is generically
strongly well posed with respect to A.
We use the notations and definitions introduced in Sect. 2.1. Assume that n D N ,
H.t; x; u/ D u, .t; x; u/ 2 ˝ Rn Rn and B1 and B2 are singletons. Let A W ˝ !
n n
2R n f;g; U W graph.A/ ! 2R n f;g and let graph(U / be a closed subset of the
space ˝ Rn Rn with the product topology. If .x; u/ 2 X.A; U /, then u D rx
and .x; u/ are identified with x 2 .W 1;1 .˝//n . In this section we omit the notation u
in describing the elements of X.A; U /. For the set X.A; U / we consider the metric
introduced in Sect. 2.1 (see (2.5)) and the metric s defined by
and let
Z
Y D fx 2 X.A; U / W f .t; x.t/; rx.t//dt c0 g: (2.110)
˝
Then for each > 0 there exists ı > 0 such that if x1 ; x2 2 Y and .x1 ; x2 / 2
EX w .ı/, then s .x1 ; x2 / .
Proof. Let > 0. In the case m > 1 by Theorem 2.4.1 in [108] there exists a
constant c > 0 such that jjhjjL1 .˝/ cjjrhjjL1 .˝/ for all h 2 W01;1 .˝/. In the case
m D 1 set c D 1. Choose a positive number
By property (iii) (see the definition of M.A; U /) and (2.110), the family of
functions fjrx./j W x 2 Y g is uniformly integrable. Therefore there exists
2 .0;
/ such that for each R x 2 Y and each measurable set e ˝ satisfying
mes.e/ the inequality e jrx.t/jdt
holds. Choose a positive number
ı < .8c C 8/1 .mes.˝/ C 1/2 .
Assume that x1 ; x2 2 Y and .x1 ; x2 / 2 EX w .ı/. There exists a measurable set
e ˝ such that mes.e/ ı and jrx1 .t/ rx2 .t/j ı, t 2 ˝ n e. It follows from
these inequalities and the definition of and ı that
Z Z
jrxi .t/jdt
; i D 1; 2; jrx1 .t/ rx2 .t/jdt; (2.111)
e ˝
Z Z
jrx1 .t/ rx2 .t/jdt C jrx1 .t/ rx2 .t/jdt 2
C ımes.˝/:
e ˝ne
s .x1 ; x2 / D jjx1 x2 jjW 1;1 .˝/ .mes.˝/ C 1/jjrx1 rx2 jjL1 .˝/
.mes.˝/ C 1/.2
C ımes.˝// < :
In the case m > 1 it follows from (2.4), the definition of c, (2.111), and the definition
of ı;
that
Proposition 2.17 and the completeness of the space .X.A; U /; s / imply the
following result.
Proposition 2.18. Assume that f 2 M.A; U /, fxi g1 i D1 is a Cauchy sequence in
the space X.A; U / with the metric w and the sequence
Z 1
f .t; xi .t/; rxi .t//dt
˝ i D1
Consider the space of set-valued mappings A2 and the space of integrands A11
defined in Sect. 2.1. Denote by A0 the set of all functions f 2 A11 which do
not depend on x. Clearly A0 is a closed subset of A11 with the strong topology.
We consider the topological subspace A0 A11 with the relative weak and strong
topologies.
Let a function F W graph.A/ Rn ! R1 [ f1g have the following properties:
F is measurable with respect to the -algebra generated by products of Lebesgue
measurable subsets of ˝ and Borel subsets of Rn Rn .
F .t; ; / is lower semicontinuous for almost every t 2 ˝.
There exists an integrable scalar function F .t/ 0; t 2 ˝, such that
F .t; x; u/ F .t/ for all .t; x; u/ 2 graph .A/ Rn .
Clearly for each g 2 M.A; UQ A /, g C F 2 M.A; UQ A /.
For each a D .a1 ; a2 / 2 A0 A2 we define Ja W X.A; UQ A / ! R1 [ f1g by
Here Sa2 D X.A; a2 / (see (2.19)). Denote by A the closure of the set fa 2 A0 A2 W
inf.Ja / < 1g in the space A0 A2 with the strong topology. We assume that A is
nonempty.
Theorem 2.19. The minimization problem for Ja on .X.A; UQ A /; s / is generically
strongly well posed with respect to A.
Proof. We will show that the following assertion holds:
The minimization problem for Ja on .X.A; UQ A /; w / is generically strongly well
posed with respect to A.
48 2 Well-posedness of Optimal Control Problems
This assertion is proved analogously to Theorem 2.2. Note that Propositions 2.6
and 2.18 imply the lower semicontinuity of Ja for all a 2 A0 A2 , (H2) follows
from Proposition 2.18, and (A3) is derived from a modification of Lemma 2.13. In
this modification the perturbation g D g.t; x; u/ does not depend on x and in the
last line of the statement of Lemma 2.13 is substituted by w . The proof of this
modification is analogous to the proof of Lemma 2.13. In the relation (2.70) is
substituted by w and EX is substituted by EX w and in (2.85) g is defined by
N uN s .t/j2 /; .t; x; u/ 2 Rm Rn Rn :
g.t; x; u/ D 0 . / .ju
Thus there exists an everywhere dense (in the strong topology) set B A
which is a countable intersection of open (in the weak topology) subsets of A
such that for any a 2 B the assertions (1) and (2) of Theorem 2.3 hold with
.X; / D .X.A; UQ A /; w / and fb D Jb , b 2 A.
Let a D .a1 ; a2 / 2 B. By the assertion (1) of Theorem 2.3 inf.Ja / is finite and
attained at a unique element xN 2 X.A; UQ A /. In order to complete the proof of the
theorem it is sufficient to show that the assertion (2) of Theorem 2.3 holds with
.X; / D .X.A; UQ A /; s / and fb D Jb , b 2 A.
By Proposition 2.10 there exists an open (in the weak topology) neighborhood
V1 of a1 in A0 such that for each b 2 V1 and each x 2 X.A; UQ A / satisfying
I .bCF / .x/ inf.Ja / C 1 the following relation holds:
Let 2 .0; 1/. It follows from Proposition 2.17 that there exists 0 2 .0; / such
that for each x1 ; x2 2 X.A; UQ A / satisfying
the relation s .x1 ; x2 / holds. By the assertion (2) of Theorem 2.3 which holds
for the space .X.A; UQ A /; w / there are a neighborhood V of a in A with the weak
topology and ı > 0 such that for each b 2 V, inf.Jb / is finite and if z 2 X.A; UQ A /
satisfies
Jb .z/ inf.Jb / C ı; (2.114)
then
N z/ 0 and jJb .z/ Ja .x/j
w .x; N 0 : (2.115)
We may assume that
V V1 A2 : (2.116)
It follows from this inequality, (2.115), and the definition of 0 (see (2.113)) that
N z/ holds. Thus the assertion (2) of Theorem 2.3 holds with
the relation s .x;
.X; / D .X.A; UQ A /; s / and fb D Jb , b 2 A. This completes the proof of the
theorem. t
u
Note that for the class of variational problems considered here we can also prove
an analog of Theorem 2.16 in which only integrands are subject to variations.
and
Q D Rn ; t 2 ˝; UQ .t; x/ D RN ; .t; x/ 2 ˝ Rn :
A.t/ (2.118)
n N
For each A W ˝ ! 2R n f;g and each U W graph.A/ ! 2R n f;g for which
graph.U / is a closed subset of the space ˝ Rn RN with the product topology, we
denote by X.A; U / the set of all pairs of functions .x; u/, where x D .x1 ; : : : ; xn / 2
.W 1;1 .˝//n , u D .u1 ; : : : uN / W ˝ ! RN is measurable and the following relations
hold:
n N
Let A W ˝ ! 2R n f;g, U W graph.A/ ! 2R n f;g and let graph.U / be a closed
subset of the space ˝ Rn RN with the product topology.
For the set X.A; U / defined above we consider the uniformity which is deter-
mined by the following base:
where > 0. The uniform space X.A; U / is metrizable (by a metric ). In the space
X.A; U / we consider the topology induced by the metric .
Next we define spaces of integrands associated with the maps A and U . By
M.A; U / we denote the set of all functions f W graph.U / ! R1 [ f1g with the
following properties:
(i) f is measurable with respect to the -algebra generated by products of
Lebesgue measurable subsets of ˝ and Borel subsets of Rn RN .
(ii) f .t; ; / is lower semicontinuous for almost every t 2 ˝.
(iii) f .t; x; u/ .jH.t; x; u/j/ .jxj/ C a.t/; .t; x; u/ 2 graph.U /.
Due to property (i) for every f 2 M.A; U / and every .x; u/ 2 X.A; U / the function
f .t; x.t/; u.t//, t 2 ˝ is measurable. The growth condition in (iii) was employed
in [22, 41] to study a Bolza problem.
Denote by Ml .A; U / (respectively, Mc .A; U /) the set of all lower semicontinu-
ous (respectively, finite-valued continuous) functions f W graph.U / ! R1 [ f1g in
M.A; U /. Now we equip the set M.A; U / with the strong and weak topologies. For
the space M.A; U / we consider the uniformity determined by the following base:
where > 0. It is easy to see that the uniform space M.A; U / with this
uniformity is metrizable (by a metric dM ) and complete. This uniformity generates
in M.A; U / the strong topology. Clearly Ml .A; U / and Mc .A; U / are closed
subsets of M.A; U / with this topology.
For each ; r > 0 we set
jf .t; x; u/ g.t; x; u/j < C maxfjf .t; x; u/j; jg.t; x; u/jg C .t/
for each x 2 A.t/ satisfying jxj r and each u 2 U.t; x/g:
2.10 Optimal Control Problems with Cinquini Growth Condition 51
Using Lemma 2.1 we can easily show that for the set M.A; U / there exists the
uniformity which is determined by the base EMw .; r/, ; r > 0. This uniformity
induces in M.A; U / the weak topology.
Denote by Cl .B1 B2 / the set of all lower semicontinuous functions W B1
B2 ! R1 [ f1g bounded from below. We also equip the set Cl .B1 B2 / with
strong and weak topologies. For the set Cl .B1 B2 / we consider the uniformity
determined by the following base:
where > 0. In view of Lemma 2.1, for the set Cl .B1 B2 / there exists a uniformity
which is determined by the base Ecw ./, > 0. This uniformity induces in Cl .B1
B2 / the weak topology. Denote by C.B1 B2 / the set of all finite-valued continuous
functions h in Cl .B1 B2 /. Clearly it is a closed subset of Cl .B1 B2 / with the
weak topology.
For each f 2 M.A; U / and each 2 Cl .B1 B2 / we define I .f;/ W X.A; U / !
R [ f1g by
1
Z T2
I .f;/ .x; u/ D f .t; x.t/; u.t//dt C .x.T1 /; x.T2 //; .x; u/ 2 X.A; U /:
T1
(2.125)
where > 0. It is easy to see that the space Mk .A; UQ A / with this uniformity is
metrizable (by a metric dM;k ) and complete. Define
Clearly Mlk .A; UQ A / and Mck .A; UQ A / are closed sets in Mk .A; UQ A / with the strong
topology.
Finally we define subspaces of M.A; Q UQ / which consist of integrands differen-
tiable with respect to the state variable x and the control variable u. Denote by
Q UQ / the set of all f W ˝ Rn RN ! R1 in M.A;
Mk .A; Q UQ / (see (2.118))
such that for each t 2 ˝ the function f .t; ; / 2 C k .Rn RN /. We consider the
topological subspace Mk .A; Q UQ / M.A; Q UQ / with the relative weak topology. The
Q Q
strong topology in Mk .A; U / is induced by the uniformity which is determined by
the following base:
EMk Q UQ / Mk .A;
./ D f.f; g/ 2 Mk .A; Q UQ / W (2.129)
jf .t; x; u/ g.t; x; u/j for all .t; x; u/ 2 ˝ R R and
n N
(2.130)
Clearly Ml Q Q c Q Q Q Q
k .A; U / and Mk .A; U / are closed sets in Mk .A; U / with the strong
topology.
2.10 Optimal Control Problems with Cinquini Growth Condition 53
Thus we have defined all the spaces of integrands for which we will prove the
main result of this section. Now we will define a space of constraint maps PA .
Denote by S.RN / the set of all nonempty convex closed subsets of RN . For each
x 2 RN and each E RN , set dH .x; E/ D infy2E jx yj. For each pair of sets
C1 ; C2 R N ,
dH .C1 ; C2 / D max sup dH .y; C2 /; sup dH .x; C1 /
y2C1 x2C2
where > 0. It is well known that the space S.RN / with this uniformity
is metrizable and complete. Denote by PA the set of all set-valued mappings
U W graph.A/ ! S.RN / such that graph.U / is a closed subset of the space
graph.A/ RN with the product topology. For the space PA we consider the
uniformity determined by the following base:
where > 0. It is easy to see that the space PA with this uniformity is metrizable
and complete. This uniformity generates in PA the strong topology.
For the space PA we also consider the uniformity determined by the following
base:
We will state our generic well-posedness result, Theorem 2.20, in such a manner
that it will be applicable for all the spaces of integrands defined above.
54 2 Well-posedness of Optimal Control Problems
A1 D A11 A12 ;
Ja .x; u/ D I .a1 / .x; u/; .x; u/ 2 Sa2 ; Ja .x; u/ D 1; .x; u/ 2 X.A; UQ A / n Sa2 :
We will obtain Theorem 2.20 as a realization of the variational principle which was
introduced in Sect. 2.2.
2.11 Variational Principles 55
We consider a metric space .X; / which is called the domain space and a
complete metric space .A; d / which is called the data space. We always consider
the set X with the topology generated by the metric . For the space A we consider
the topology generated by the metric d . This topology will be called the strong
topology. In addition to the strong topology we also consider a weaker topology
on A which is not necessarily Hausdorff. This topology will be called the weak
topology. (Note that these topologies can coincide.) We assume that with every
a 2 A a lower semicontinuous function fa on X is associated with values in
RN D Œ1; 1. In our study we use the hypotheses about the functions (H1) and
(H2) introduced in Sect. 2.2 and Theorem 2.3.
The proof of Theorem 2.20 consists in verifying that the hypotheses (H1) and
(H2) hold for the space of integrand–map pairs introduced in Sect. 2.10. In order
to simplify the verification of (H1) we use auxiliary assumptions (A1)–(A4) which
imply (H1).
Let .X; / be a metric space with the topology generated by the metric and let
.A1 ; d1 /, .A2 ; d2 / be metric spaces. For the space Ai (i D 1; 2) we consider the
topology generated by the metric di . This topology is called the strong topology. In
addition to the strong topology we consider a weak topology on Ai , i D 1; 2.
Assume that with every a 2 A1 a lower semicontinuous function a W X !
R1 [ f1g is associated and with every a 2 A2 a set Sa X is associated. For each
a D .a1 ; a2 / 2 A1 A2 define fa W X ! R1 [ f1g by
and
xN 2 Sb ; fy 2 Sb W a1 .z/ a1 .x/
N C 1g SaN 2
for all b 2 U.
The assumptions (A1)–(A3) were introduced in Sect. 2.3 while (A4) is a
weakened version of the assumption (A4) in Sect. 2.3.
Analogously to Proposition 2.4 we can prove the following result.
Proposition 2.21. Assume that (A1)–(A4) hold. Then (H1) holds for the space A.
For the proof of this lemma see Lemma 2 and Theorem 2 in Sect. 9.1 of [41].
Proposition 2.23. Let f 2 M.A; U /, .x; u/ 2 X.A; U /, f.xi ; ui /g1
i D1 X.A; U /
and let ..xi ; ui /; .x; u// ! 0 as i ! 1. Then
Z Z
f .t; x.t/; u.t//dt lim inf f .t; xi .t/; ui .t//dt:
˝ i !1 ˝
R
Proof. We may assume that there is limi !1 ˝ f .t; xi .t/; ui .t//dt < 1. By
Lemma 2.22
supfjxi .t/j W t 2 ŒT1 ; T2 ; i D 1; 2; : : : g < 1: (2.135)
It follows from (2.135) and property (iii) (see the definition of M.A; U /) that
2.12 Preliminary Results for Theorem 2.20 57
Z T2
lim f .t; xi .t/; ui .t//dt
i !1 T
1
(see page 68 of [33]). By property (ii) (see the definition of M.A; U /) for almost
every t 2 ˝
lim inf f .t; xik .t/; uik .t// f .t; x.t/; u.t//:
k!1
condition if for each > 0 there exists an integrable scalar function .t/ 0; t 2
˝, such that jH.t; x; u/j .t/ C f .t; x; u/ for all .t; x; u/ 2 graph .U /.
The following proposition is an auxiliary result for the hypothesis (H2).
1
Proposition 2.24. Assume that f 2 M.A; R U /, f.xi ; ui /gi D1 1 X.A; U / is a
Cauchy sequence and that the sequence f ˝ f .t; xi .t/; ui .t//dtgi D1 is bounded.
Then there is .x ; u / 2 X.A; U / such that .xi ; ui / converges to .x ; u / as i ! 1
in X.A; U / and xi .t/ ! x .t/ as i ! 1 uniformly on ŒT1 ; T2 .
Proof. By Lemma 2.22 there exists N0 > 0 such that
It follows from (2.117), property (iii) (see the definition of M.A; U /), and (2.136)
that the restriction of f to graph.U1/ satisfies the Cesari growth condition.
Then by Proposition 2.7 there is .x ; u / 2 X.A1 ; U1 / X.A; U / such that
..xi ; ui /; .x ; u // ! 0 as i ! 1 and xi .t/ ! x .t/ as i ! 1 uniformly
on ŒT1 ; T2 . The proposition is proved. t
u
The following proposition is an auxiliary result for the assumption (A2).
Proposition 2.25. Let f 2 M.A; U / and 2 .0; 1/, D > 0. Then there exists
a neighborhood W of f in M.A; U / with the weak topology such that for each
g 2 W and each .x; u/ 2 X.A; U / satisfying
Z Z
min f .t; x.t/; u.t//dt; g.t; x.t/; u.t//dt D (2.137)
˝ ˝
58 2 Well-posedness of Optimal Control Problems
Proof. By Lemma 2.22 there exists a number N0 > 0 such that for each g 2
M.A; U / and each .x; u/ 2 X.A; U / which satisfies
Z T2
g.t; x.t/; u.t//dt 4 C D (2.138)
T1
Define
W D fg 2 M.A; U / W .g; f / 2 EMw .0 ; N0 /g (2.142)
(see (2.122)).
Assume that g 2 W, .x; u/ 2 X.A; U /, and (2.137) is valid. By the definition
of N0 , (2.139) holds.
R By (2.142) and (2.122) there is a nonnegative function 2
L1 .˝/ such that ˝ .t/dt 1 and for almost every t 2 ˝ the inequality
jf .t; y; v/ g.t; y; v/j < 0 C 0 .t/ C 0 maxfjf .t; y; v/j; jg.t; y; v/jg (2.143)
is true for each y 2 A.t/ satisfying jyj N0 and each v 2 U.t; y/.
It follows from this inequality, Lemma 2.1, and (2.141) that for almost every
t 2 ˝ the relation
is valid for each y 2 A.t/ satisfying jyj N0 and each v 2 U.t; y/.
Combined with property (iii) (2.144) implies that for almost every t 2 ˝ the
inequality
2.12 Preliminary Results for Theorem 2.20 59
holds for each y 2 A.t/ satisfying jyj N0 and each v 2 U.t; y/. Set
It follows from (2.144), (2.139), (2.145), and (2.146) that for almost every t 2 ˝
jf .t; x.t/; u.t// g.t; x.t/; u.t//j < 41 1 C 41 1 .t/
C41 1 minff .t; x.t/; u.t// C 2ja.t/j C 2 .N0 /;
g.t; x.t/; u.t// C .t/ C 4 .N0 / C 4ja.t/jg C 1
41 1 C 41 1 .t/ C 41 1 .4ja.t/j C 1 C .t// C 41 1 .t/ C .N0 /1 :
The following proposition is an auxiliary result for the assumption (A2). We can
prove it analogously to the proof of Proposition 2.12 by using Propositions 2.8, 2.25,
and 2.26 and Corollary 2.9.
Proposition 2.27. Let f 2 M.A; U /, h 2 Cl .B1 B2 /, and 2 .0; 1/, D > 0.
Then there exist a neighborhood U of f in M.A; U / with the weak topology and
a neighborhood V of h in Cl .B1 B2 / with the weak topology such that for each
.; g/ 2 V U and each .x; u/ 2 X.A; U / which satisfies
By Propositions 2.23 and 2.24 and Lemma 2.22 (A1) holds and Ja is lower
semicontinuous for all a 2 A1 A2 . By Theorem 2.3 we need to verify that (H1)
and (H2) are valid. (H2) follows from Proposition 2.24. Therefore it is sufficient to
show that (H1) holds. By Proposition 2.21 it is sufficient to show that (A2), (A3),
and (A4) are valid. (A2) follows from Proposition 2.27. (A3) is proved analogously
to Lemma 2.13. (A4) will follow from our next lemma.
Let e1 D .1; 0; : : : ; 0/, e2 D .0; 1; : : : ; 0/; : : : ; eN D .0; : : : ; 1/ be a standard
basis in RN .
Lemma 2.28. Let f 2 M.A; UQ A /, 2 Cl .B1 B2 /, U 2 PA ,
N uN / 2 X.A; V /;
.x; (2.150)
N u/
f.x; u/ 2 X.A; U / W I .f;/
.x; u/ I .x;N
N uN / C 1g X.A; U /:
.x;
and define
.r/ D inffI .f;/ .x; u/ W .x; u/ 2 X.A; Ur /g: (2.152)
Clearly .r/ is finite for all r 2 Œ0; 1 and the function is monotone decreasing.
There is r0 2 .0; 81 / such that is continuous at r0 . Choose r1 2 .0; r0 / such that
2.13 Proof of Theorem 2.20 61
There is
N uN / 2 X.A; Ur1 /
.x; (2.154)
such that
N uN / .r1 / C 161 ı:
I .f;/ .x; (2.155)
N uN / .r0 / C 81 ı:
I .f;/ .x; (2.156)
Set
r2 D 21 .r0 C r1 /: (2.157)
Clearly
.Uri ; U / 2 EPA ./; i D 0; 1; 2: (2.158)
and define
It follows from (2.158) and (2.156) that (2.148) and (2.149) are true.
Assume that V 2 W. We will show that .x; N uN / 2 X.A; V /. By the definition of
N0 (see (2.159) and (2.160)),
Assume that t 2 ˝ and (2.165) is true. By (2.165), (2.157), and (2.151) for i D
1; : : : ; N
uN .t/ C 21 .r0 r1 /ei ; uN .t/ 21 .r0 r1 /ei 2 Ur2 .t; x.t//
N
N
Since the set V .t; x.t// is convex it follows from (2.161) and Proposition 2.14 that
Assume that
jx.t/j N0 ; t 2 ŒT1 ; T2 :
It follows from this relation and (2.162) that for almost every t 2 ˝
A subset of the space Y is called -porous with respect to d (or just -porous if the
metric is understood) if it is a countable union of porous (with respect to d ) subsets
of Y .
Since porous sets are nowhere dense, all -porous sets are of the first category.
If Y is a finite-dimensional Euclidean space, then -porous sets are of Lebesgue
measure 0. In fact, the class of -porous sets in such a space is much smaller than
the class of sets which have measure 0 and are of the first category. Also, every
Banach space contains a set of the first category which is not -porous.
To point out the difference between porous and nowhere dense sets note that if
E Y is nowhere dense, y 2 Y and r > 0, then there is a point z 2 Y and a
number s > 0 such that Bd .z; s/ Bd .y; r/ n E. If, however, E is also porous, then
for small enough r we can choose s D ˛r, where ˛ 2 .0; 1/ is a constant which
depends only on E.
Let .X; / be a metric space. For each x 2 X and each r > 0 set
We begin with the following simple proposition. It shows that porosity is equivalent
to another property which is easier to verify.
Proposition 3.1. A set E X is porous with respect to if and only if the following
property holds:
(P1) There exist ˛ 2 .0; 1 and r0 > 0 such that for every x 2 X and every
r 2 .0; r0 there is y 2 X which satisfies
Proof. Assume that property (P1) holds with ˛ 2 .0; 1 and r0 > 0. We need to
show that E is porous. Choose a positive number < 41 . Let x 2 X and r 2
.0; r0 . By property (P1) there exists y 2 X such that
Equations (3.2) and (3.3) imply that E is porous. Proposition 3.1 is proved. t
u
Assume now that X is a nonempty set and 1 ; 2 W X X ! Œ0; 1/ are metrics
which satisfy 1 .x; y/ 2 .x; y/ for all x; y 2 X .
A subset E X is called porous with respect to the pair .1 ; 2 / (or just porous
if the pair of metrics is understood) if there exist ˛ 2 .0; 1 and r0 > 0 such that for
each r 2 .0; r0 and each x 2 X there exists y 2 X for which
and
B .y; k11 ˛r/ B1 .y; ˛r/ X n E:
These relations and Proposition 3.1 imply that E is porous with respect to .
Proposition 3.2 is proved. u
t
Note that in our definition of porosity with respect to .1 ; 2 / we did not use
completeness assumptions. However in this chapter the metric space .X; 2 / will
always be complete. This implies that a -porous set with respect to .1 ; 2 / is an
everywhere dense subset of the metric space .X; 2 /.
In this chapter we usually consider metric spaces, say X , with two metrics, say
dw and ds , such that dw .x; y/ ds .x; y/ for all x; y 2 X . (Note that they can
coincide.) We refer to them as the weak and strong metrics, respectively. The strong
metric induces the strong topology and the weak metric induces the weak topology.
If the set X is equipped with one metric d , then we also consider X with weak
and strong metrics which coincide. If .X; d / is a metric space with a metric d and
Y X , then usually Y is also endowed with the metric d (unless another metric is
introduced in Y ). If X is endowed with weak and strong metrics, then usually Y is
also endowed with these metrics.
In this chapter a set X equipped with two metrics d1 and d2 satisfying d1 .x; y/
d2 .x; y/ for all x; y 2 X will be denoted by .X; d1 ; d2 /.
If .Xi ; di /, i D 1; 2, are metric spaces with the metrics d1 and d2 , respectively,
then the space X1 X2 will be endowed with the metric d1 d2 defined by
Assume now that X1 and X2 are metric spaces and each of them is endowed with
weak and strong metrics. Then for the product X1 X2 we also introduce a pair
of metrics: a weak metric which is defined by (3.5) using the weak metrics of X1
and X2 and a strong metric which is defined by (3.5) using the strong metrics of X1
and X2 .
We consider a metric space .X; / which is called the domain space and a
topological space A with the topology which is called the data space. We always
consider the set X with the topology generated by the metric .
We assume that with every a 2 A a lower semicontinuous function fa on X is
associated with values in RN D Œ1; 1.
Let a 2 A. We say that the minimization problem for fa on .X; / is well posed
if inf.fa / is finite and attained at a unique point xa 2 X and the following assertion
holds:
For each > 0 there exists ı > 0 such that for each z 2 X satisfying fa .z/
inf.fa / C ı the inequality .z; xa / holds.
The following property was studied in Chap. 2.
Let a 2 A. We say that the minimization problem for fa on .X; / is strongly
well posed with respect to .A; / if inf.fa / is finite and attained at a unique point
xa 2 X and the following assertion holds:
For each > 0 there exist a neighborhood V of a in A with the topology and
ı > 0 such that for each b 2 V, inf.fb / is finite and if z 2 X satisfies fb .z/
inf.fb / C ı, then .z; xa / and jfb .z/ fa .xa /j .
If .A; d / is a metric space and is a topology generated by the metric d , then
“strongly well-posedness with respect to .A; /” will be sometimes replaced by
“strongly well-posedness with respect to .A; d /.”
The following proposition is the main result of this section.
Proposition 3.3. Assume that a 2 A, the minimization problem for fa on .X; /
is well posed and that there exists D > inf.fa / for which the following property
holds:
(P2) For each > 0 there exists a neighborhood U of a in A with the topology
such that for each b 2 U and each x 2 X satisfying minffa .x/; fb .x/g D
the relation jfa .x/ fb .x/j holds.
Then the minimization problem for fa on .X; / is strongly well posed with
respect to .A; /.
3.2 Well-posedness of Optimization Problems 67
f .xa / D inf.fa / 2 R1 :
Let > 0. There exists a number ı 2 .0; / such that the following property holds:
(P3) For each z 2 X satisfying fa .z/ inf.fa / C ı the inequality .z; xa /
holds.
We may assume without loss of generality that
then jfa .x/ fb .x/j ı=4: Together with (3.9) and (3.10) this implies that
We consider a metric space .X; / which is called the domain space and a set A
which is called the data space. We always consider the set X with the topology
generated by the metric . We assume that with every a 2 A a lower semicontinuous
3.3 A Variational Principle 69
N r; inf.faN / m C 1
d2 .a; a/
and for each z 2 X satisfying faN .z/ inf.faN / C ır the inequality .z; x/
N
holds.
(H3) For each integer n 1 there exist ˛ 2 .0; 1/ and r0 > 0 such that for each
r 2 .0; r0 , each a; b 2 A satisfying d1 .a; b/ ˛r and each x 2 X satisfying
minffa .x/; fb .x/g n the relation jfa .x/ fb .x/j r is valid.
Clearly, if .X; / is complete, then (H1) holds. Note that for classes of optimal
control problems considered in this chapter the domain space is not complete. For-
tunately, instead of completeness assumption we can use (H1) and this hypothesis
holds for spaces of integrands which satisfy the Cesari growth condition.
For each integer n 1 denote by An the set of all a 2 A which have the
following property:
(P4) inf.fa / is finite and there exist xN 2 X and ı > 0 such that if z 2 X satisfies
fa .z/ inf.fa / C ı, then .z; x/
N 1=n.
Proposition 3.4. Assume that (H1) holds and that for each integer n 1 the set
A n An is -porous with respect to .d1 ; d2 /. Then the set A n .\1
nD1 An / is -porous
with respect to .d1 ; d2 / and for each a 2 \1 A
nD1 n the minimization problem for fa
on .X; / is well posed.
Proof. It is easy to see that the set
A n .\1 1
nD1 An / D [nD1 .A n An /
Clearly, fa does not have another minimizer for otherwise we would be able to
construct a nonconvergent sequence fzi g1 1
i D1 . We have shown that if fzi gi D1 X
and limi !1 fa .zi / D inf.fa /, then .zi ; x/
N ! 0 as i ! 1. This implies that the
minimization problem for fa on .X; / is well posed. Proposition 3.4 is proved. u t
Theorem 3.5 (Variational principle). Assume that (H1), (H2), and (H3) hold and
that inf.fa / is finite for each a 2 A. Then there exists a set B A such that A n B is
-porous with respect to .d1 ; d2 / and that for each a 2 B the minimization problem
for fa on .X; / is well posed.
Proof. We recall that An is the set of all a 2 A which have property (P4) (n D
1; 2; : : : ). By Proposition 3.4 in order to prove the theorem it is sufficient to show
that for each integer n 1 the set A n An is -porous with respect to .d1 ; d2 /.
Let m; n 1 be integers. Set
To prove the theorem it is sufficient to show that ˝mn is porous with respect to
.d1 ; d2 /. By (H3) there exist
such that for each r 2 .0; r1 , each b1 ; b2 2 A satisfying d1 .b1 ; b2 / ˛1 r, and each
x 2 X satisfying
minffb1 .x/; fb2 .x/g m C 4 (3.18)
the inequality jfb1 .x/ fb2 .x/j r holds. By (H2) there exist
N r; inf.faN / m C 3
d2 .a; a/ (3.20)
and for each z 2 X satisfying faN .z/ inf.faN / C 4˛2 r the inequality .z; x/
N
n1 is valid.
Define
rN D ˛1 ˛2 r2 ; ˛N D ˛1 ˛2 =4: (3.21)
E0 D fb 2 A W inf.fb / m C 2g D ;; (3.23)
E0 \ fb 2 A W inf.fb / m C 2g 6D ;: (3.24)
Assume that (3.23) holds. We will show that for each b 2 A satisfying d1 .a; b/ rN
the inequality inf.fb / > m is true.
Assume the contrary. Then there exists b 2 A such that
It follows from the choice of ˛1 , r1 (see (3.17) and (3.18)), (3.25), and (3.21) that
fb 2 A W d1 .a; b/ rg
N \ ˝mn D ;: (3.27)
By the choice of ˛2 and r2 (see (3.19) and property (P6)), and (3.28), there exist
aN 2 A and xN 2 X such that
N a1 / r=4; inf.faN / m C 3
d2 .a; (3.29)
N r=2:
d2 .a; a/ (3.30)
72 3 Well-posedness and Porosity
N ˛r
d1 .b; a/ N D ˛1 ˛2 r=4: (3.31)
By (3.29),
Let
x 2 X and faN .x/ m C 7=2: (3.33)
It follows from (3.31), (3.33), and the choice of ˛1 and r1 (see (3.17) and (3.18))
that jfaN .x/ fb .x/j ˛2 r=4. Together with (3.32) this implies that
Thus
inf.fb / inf.faN / C ˛2 r=4: (3.34)
Assume now that
x 2 X and fb .x/ inf.fb / C ˛2 r=4: (3.35)
Combined with (3.34) this implies that
It follows from (3.36), (3.29), and (3.21) that fb .x/ m C 7=2. Then by (3.31) and
the choice of ˛1 and r1 (see (3.17) and (3.18)), jfaN .x/ fb .x/j ˛2 r=4. Combined
with (3.36) this implies that
fb 2 A W d1 .b; a/
N ˛rg
N \ ˝mn D ;: (3.37)
Combined with (3.27) and (3.30) this implies that in both cases (3.37) is true with
aN 2 A satisfying d2 .a; a/
N r=2. (Note that if (3.23) holds, then aN D a.) Thus ˝mn
is porous. This completes the proof of Theorem 3.5. t
u
Since property (P2) for the space .A; d1 / (see Proposition 3.3) follows from (H3)
we obtain that Theorem 3.5 and Proposition 3.3 imply the following result.
3.4 Well-posedness Results 73
Theorem 3.6. Assume that (H1), (H2), and (H3) hold and that inf.fa / is finite for
each a 2 A. Then there exists a set B A such that A n B is -porous with respect
to .d1 ; d2 / and that for each a 2 B the minimization problem for fa on .X; / is
strongly well posed with respect to .A; d1 /.
jjf jjC q D jjf jjC q .Rk / D sup fj@j˛j f .z/=@x1˛1 : : : @xk˛k j W (3.38)
z2Rk
and W01;1 .˝/ is the closure of C01 .˝/ in W 1;1 .˝/, where C01 .˝/ is the space of
smooth functions u W ˝ ! R1 with compact support in ˝.
If m D 1, then we assume that ˝ D .T1 ; T2 /, where T1 and T2 are fixed real
numbers for which T1 < T2 .
For a function u D .u1 ; : : : un /, where ui 2 W 1;1 .˝/, i D 1; : : : n, we set
Q D Rn ; t 2 ˝; UQ .t; x/ D RN ; .t; x/ 2 ˝ Rn :
A.t/ (3.39)
74 3 Well-posedness and Porosity
n N
Assume that A W ˝ ! 2R n f;g, U W graph.A/ ! 2R n f;g and that graph.U /
is a closed subset of the space ˝ Rn RN with the product topology. We denote
by X.A; U / the set of all pairs of functions .x; u/, where x D .x1 ; : : : ; xn / 2
.W 1;1 .˝//n , u D .u1 ; : : : uN / W ˝ ! RN is measurable and the following relations
hold:
Note that in the definition of the space X.A; U / we use the boundary condi-
tion (3.40c) in the case m D 1 while in the case m > 1 we use the boundary
condition (3.40d). Both of them are common in the literature. We do this to provide
a unified treatment for both cases. Note that we prove our results in the case m D 1
for a class of Bolza problems (with the same boundary condition (3.40c)) while in
the case m > 1 it will be established for a class of Lagrange problems (with the
same boundary condition (3.40d)).
To be more precise, we have to define elements of X.A; U / as classes of pairs
equivalent in the sense that .x1 ; u1 / and .x2 ; u2 / are equivalent if and only if x2 .t/ D
x1 .t/; u2 .t/ D u1 .t/, t 2 ˝ (a.e.) If m D 1, then by an appropriate choice of
representatives, W 1;1 .T1 ; T2 / can be identified with the set of absolutely continuous
functions x W ŒT1 ; T2 ! R1 , and we will henceforth assume that this has been done.
For the set X.A; U / defined above we consider the metric defined by
We will consider the space X.A; U / endowed with the topology generated by the
metric .
Next we define spaces of integrands associated with the maps A and U . By
M0 .A; U / we denote the set of all functions f W graph.U / ! R1 [ f1g with
the following properties:
(i) f is measurable with respect to the -algebra generated by products of
Lebesgue measurable subsets of ˝ and Borel subsets of Rn RN .
(ii) f .t; ; / is lower semicontinuous for almost every t 2 ˝.
(iii) There exists an integrable scalar function .t/ 0; t 2 ˝, such that f .t; x; u/
.t/ for all .t; x; u/ 2 graph.U /.
Due to property (i) for every f 2 M0 .A; U / and every .x; u/ 2 X.A; U / the
function f .t; x.t/; u.t//, t 2 ˝ is measurable.
By M.A; U / we denote the set of all functions f 2 M0 .A; U / with satisfy
the following Cesari growth condition:
3.4 Well-posedness Results 75
(iv) For each > 0 there exists an integrable scalar function .t/ 0; t 2 ˝,
such that jH.t; x; u/j .t/ C f .t; x; u/ for all .t; x; u/ 2 graph .U /.
Denote by Ml .A; U / (respectively, Mc .A; U /) the set of all lower semicontin-
uous (respectively, finite-valued continuous) functions f W graph.U / ! R1 [ f1g
in M.A; U /.
For each f; g 2 M.A; U / we set
dQM .f; g/ D supfjf .t; x; u/ g.t; x; u/j W .t; x; u/ 2 graph.U /g; (3.42)
It is easy to see that dM W M.A; U / M.A; U / ! Œ0; 1/ is a metric and that the
metric space .M.A; U /; dM / is complete. Clearly Ml .A; U / and Mc .A; U / are
closed subsets of the metric space .M.A; U /; dM /.
Denote by Cl .B1 B2 / the set of all lower semicontinuous functions W B1
B2 ! R1 [ f1g bounded from below. For each ; h 2 Cl .B1 B2 / we set
Z
I .f /
.x; u/ D f .t; x.t/; u.t//dt; .x; u/ 2 X.A; U /: (3.44)
˝
By Propositions 2.6 and 2.7, in both cases (3.44) and (3.45) define lower semicon-
tinuous functionals on X.A; U / for any f 2 M.A; U /.
We consider functionals I .f;/ with .f; / 2 M.A; U / Cl .B1 B2 / (in the case
m D 1) and functionals I .f / with f 2 M.A; U / (in the case m > 1) defined on the
space X.A; U /.
76 3 Well-posedness and Porosity
Then A is an open closed subset of the metric space .M.A; U /; dM / and there
exists a set B A such that A n B is a -porous subset of A with respect to dM
and for each a 2 B the minimization problem for I .a/ on .X.A; U /; / is strongly
well posed with respect to .A; dM /.
Theorem 3.8. Let m D 1 and
.M.A; U / Cl .B1 B2 /; dM dC /
and there exists a set B A such that A n B is a -porous subset of A with respect
to dM dC and for each a 2 B the minimization problem for I .a/ on .X.A; U /; /
is strongly well posed with respect to .A; dM dC /.
Actually instead of proving Theorems 3.7 and 3.8 we will prove their extensions,
Theorems 3.9 and 3.10 stated below which are the main results of this chapter.
Theorems 3.9 and 3.10 will be established for several classes of optimal control
problems with different corresponding spaces of the integrands which are subsets
of the space M.A; U /. The subspaces of lower semicontinuous and continuous
integrands (Ml .A; U / and Mc .A; U /) have already been defined. Now we define
subspaces which consist of integrands differentiable with respect to the control
variable u.
Assume that graph.A/ is a closed subset of the space ˝ Rn with the product
topology. Denote by UQ A the restriction of UQ (see (3.39)) to the graph.A/. Namely
dQMk .f; g/ D sup fjjf .t; x; / g.t; x; /jjC k .RN / W .t; x/ 2 graph.A/g; (3.47)
It is easy to see that dMk W Mk .A; UQ A / Mk .A; UQ A / ! Œ0; 1/ is a metric and the
metric space .Mk .A; UQ A /; dMk / is complete.
3.4 Well-posedness Results 77
Define
Clearly Mlk .A; UQ A / and Mck .A; UQ A / are closed sets in the metric space
.Mk .A; UQ A /; dMk /.
Finally we define subspaces of M.A; Q UQ / which consist of integrands differen-
tiable with respect to the state variable x and the control variable u. Denote by
Mk .A;Q UQ / the set of all f W ˝ Rn RN ! R1 in M.A; Q UQ / (see (3.39)) such
that for each t 2 ˝ the function f .t; ; / 2 C k .Rn RN /.
For each f; g 2 Mk .A; Q UQ / we set
dQMk
.f; g/ D sup fjjf .t; ; / g.t; ; /jjC k .RnCN / W t 2 ˝g; (3.49)
dMk .f; g/ D dQMk
.f; g/.1 C dQMk
.f; g//1 : (3.50)
It is easy to see that dMk Q UQ / M .A;
W Mk .A; Q UQ / ! Œ0; 1/ is a metric and the
k
Q Q
metric space .Mk .A; U /; dMk / is complete. Define
Ml Q Q Q Q l Q Q
k .A; U / D Mk .A; U / \ M .A; U /;
Mc Q Q Q Q c Q Q
k .A; U / D Mk .A; U / \ M .A; U /:
Clearly Ml Q Q c Q Q
k .A; U / and Mk .A; U / are closed sets in the metric space
Q UQ /; dMk
.Mk .A;
//:
Thus we have defined all the spaces of integrands for which we will prove our
first result.
We consider the space X.A; U / with the metric (see (3.41)). In the case m D 1
for each .f; / 2 M.A; U / Cl .B1 B2 / we consider the optimal control problem
and in the case m > 1 for each f 2 M.A; U / we consider the optimal control
problem
I .f / .x; u/ ! min; .x; u/ 2 X.A; U /:
We will state Theorem 3.9 in such a manner that it will be applicable to the
Bolza problem in case m D 1 and to the Lagrange problem in case m > 1 and also
applicable for all the spaces of integrands defined above.
To meet this goal we consider a metric space .A02 ; dC / where A02 is either
Cl .B1 B2 / or C.B1 B2 / or a singleton fg Cl .B1 B2 /, and let .A01 ; dM ; dA /
be one of the following spaces:
78 3 Well-posedness and Porosity
A0 D A01 A02 ; dw D dM dC ; ds D dA dC if m D 1
and
A0 D A01 ; dw D dM ; ds D dA if m > 1:
For each a 2 A0 we consider the functional I .a/ W X.A; U / ! R1 [f1g (see (3.44)
and (3.45)). Let fO 2 M0 .A; U / and hO 2 Cl .B1 B2 /. For each a 2 A0 we define
Ja W X.A; U / ! R1 [ f1g as follows:
O
Ja .x; u/ D I .aCf / .x; u/; .x; u/ 2 X.A; U / if m > 1 (3.51)
and
O O
Ja .x; u/ D I .a1 Cf ;a2 Ch/ .x; u/; .x; u/ 2 X.A; U / if m D 1 and a D .a1 ; a2 /: (3.52)
Clearly ClC .B1 B2 / and C C .B1 B2 / are closed subsets of .Cl .B1 B2 /; dC /.
We equip the sets ClC .B1 B2 / and C C .B1 B2 / with the strong metric dC . Now
we equip the set ClC .B1 B2 / with a weak metric dC w . For h; 2 ClC .B1 B2 /
set
It is easy to see that dC w W ClC .B1 B2 / ClC .B1 B2 / ! Œ0; 1/ is a metric, the
metric space .ClC .B1 B2 /; dC w / is complete and that dC w .h; / dC .h; / for all
; h 2 ClC .B1 B2 /. We equip the sets ClC .B1 B2 / and C C .B1 B2 / with the
weak metric dC w .
Define
MC .A; U /Dff 2M.A; U / W f .t; x; u/0 for all .t; x; u/2 graph.U /g: (3.55)
for all .t; x; u/ 2 graph.U /. It means that f; g 2 MC .A; U / are close with respect
to dMw if and only if the function
is close to the function which is identically 1 with respect to the topology of the
uniform convergence.
Consider the space .A01 ; dM ; dA / defined above. Set
AC
01 D ff 2 A01 W f .t; x; u/ 0 for all .t; x; u/ 2 graph.U /g: (3.57)
80 3 Well-posedness and Porosity
Clearly AC 01 is a closed subset of the metric space .A01 ; dA /. We equip the space
AC01 with the strong metric dA and the weak metric dMw . We also consider a space
.AC ; d
02 C w ; d C C C
C / where A02 is either Cl .B1 B2 / or C .B1 B2 / or a singleton
fg ClC .B1 B2 /.
We define a space .AC C C
0 ; dw ; ds / as follows:
AC C C C C
0 D A01 A02 ; dw D dMw dC w ; ds D dA dC if m D 1
and
AC C C C
0 D A01 ; dw D dMw ; ds D dA if m > 1:
N
.x/ N
D .1/ N
if x 1; .x/ N
D .1/ if x 1; (3.58)
N 0 / .x/
d0 D .d N N
.1/ 1 for all x 2 .d0 ; 1/: (3.59)
Now we define a set L Cl .B1 B2 /. In the case m D 1 we set L D Cl .B1 B2 /
and in the case m > 1 denote by L a singleton f0g where 0 is a function in Cl .B1
B2 / which is identical zero. In the case m > 1 for each .f; / 2 M0 .A; U / L and
each .x; u/ 2 X.A; U / we set
(see (3.44) and (3.45)). For each measurable set E Rm , each measurable set
E0 E, and each h 2 L1 .E/ we set
Z
jjhjjL1 .E0 / D jh.t/jdt: (3.61)
E0
3.5 A Preliminary Result for Theorems 3.9 and 3.10 81
Fix an integer k 1. It is easy to verify that all partial derivatives of the functions
N
.x; y/ ! .jx yj2 /, .x; y/ 2 Rq Rq with q D n; N up to the order k are
bounded (by some dN > 0).
For each 2 .0; 1/ choose a positive number 0 . / such that
and choose
1 . / 2 .0; d0 0 . //; (3.63)
ı. / 2 .0; 25 1 . /4 /: (3.64)
Lemma 3.11. Let 2 .0; 1/, f 2 M0 .A; U /, 2 L and let r 2 .0; 1,
the inequality
N uN //
..y; v/; .x; (3.70)
is valid.
Moreover the function g is the sum of two functions, one of them depending only
on .t; x/ while the other depending only on .t; u/.
Proof. Choose a positive number
and the functions xN and uN are bounded on E0 . There exist sequences of functions
fxN i g1 1
i D1 C .R I R / and fN
m n
ui g1 1
i D1 C .R I R / such that
m N
(p. 13 of [57]). We may assume without loss of generality that uN i .t/ ! uN .t/,
xN i .t/ ! x.t/
N as i ! 1, t 2 E0 (a.e.). By Egorov’s theorem there is a measurable
set E1 E0 such that
mes.E0 n E1 / < 21 N (3.74)
and
uN i .t/ ! uN .t/ and xN i .t/ ! x.t/
N uniformly in E1 as i ! 1: (3.75)
There is an integer s 1 such that
Define a function g W Rm Rn RN ! R1 by
N
g.t; x; u/ D 21 r0 . / .jx N uN s .t/j2 /;
xN s .t/j2 / C 21 r0 . / .ju (3.77)
.t; x; u/ 2 Rm Rn RN :
It follows from (3.62), the definition of dN , (3.58), and (3.59) that (3.66) and (3.67)
are true. By (3.77), (3.78), (3.76), (3.58), (3.59), (3.74), and (3.73),
Z
.fN;/ 1 N x.t/
I N uN / D I
.x; .f;/
N uN / C 2 r0 . /
.x; .j N xN s .t/j2 /dt
˝
Z
C21 r0 . / N u.t/ uN s .t/j2 /dt
.jN
˝
Z
N uN / C 21 r0 . /
D I .f;/ .x; N x.t/
.j N xN s .t/j2 dt
E1
Z Z
C21 r0 . / N x.t/
.j N xN s .t/j2 /dt C 21 r0 . / N u.t/ uN s .t/j2 /dt
.jN
˝nE1 E1
Z
1
C2 r0 . / N u.t/ uN s .t/j2 /dt I .f;/ .x;
.jN N uN /
˝nE1
N 1 N /2 / C 2mes.˝ n E1 /
C21 r0 . /Œ2mes.˝/ ..4
N uN / C 21 r0 . /Œ2N C 2mes.˝/.41 N /2 :
I .f;/ .x;
3.5 A Preliminary Result for Theorems 3.9 and 3.10 83
Now assume that .y; v/ 2 X.A; U / satisfies (3.69). It follows from (3.69), (3.78),
(3.77), (3.79), and (3.72) that
Z
I .f;/ .y; v/ C 21 0 . /r N xN s .t/ y.t/j2 /dt
.j
˝
Z
C 21 r0 . / N
.jv.t/ uN s .t/j2 /dt
˝
N N
D I .f ;/ .y; v/ 2ı. /r C I .f ;/ .x;
N uN /
N uN / I .f;/ .y; v/ C 4ı. /r:
3ı. /r C I .f;/ .x;
Set
E2 D ft 2 ˝ W jy.t/ xN s .t/j 21 1 . /g;
E3 D ft 2 ˝ W jv.t/ uN s .t/j 21 1 . /g: (3.81)
321 . /2 ı. /0 . /1 < 25 ı. /1 . /3 < 1 . /:
It follows from (3.76), (3.71), (3.74), (3.73), (3.81), (3.82), and (3.64) that
and
Lemma 3.12. Let c0 be a positive number. Then there exists ˛ 2 .0; 1/ such that
for each r 2 .0; 1=2, each f; g 2 MC .A; U / satisfying
the inequality
ˇZ Z ˇ
ˇ ˇ
ˇ f .t; x.t/; u.t//dt g.t; x.t/; u.t//dt ˇˇ r
ˇ
˝ ˝
is valid.
Proof. Choose a positive number
Assume that r 2 .0; 1=2, f; g 2 MC .A; U /, .x; u/ 2 X.A; U / and that (3.83)
and (3.84) hold. It follows from (3.83) and (3.56) that
Set
.t/ D minff .t; x.t/; u.t//; g.t; x.t/; u.t//g; t 2 ˝: (3.88)
3.7 Proofs of Theorems 3.9 and 3.10 85
jf .t; x.t/; u.t/ g.t; x.t/; u.t//j .e 2˛r 1/..t/ C 1/; t 2 ˝: (3.90)
Proof of Theorem. 3.9. By Theorem 3.6 in order to prove the theorem it is sufficient
to show that (H1), (H2), and (H3) hold. Evidently (H3) is valid. (H1) follows from
Proposition 2.7. Lemma 3.11 implies (H2). t
u
Proof of Theorem. 3.10 By Theorem 3.6 in order to prove the theorem it is
sufficient to show that (H1), (H2), and (H3) hold. (H1) follows from Proposition 2.7.
Lemma 3.11 implies (H2). (H3) follows from Lemmas 3.12 and 3.13. t
u
Chapter 4
Well-posedness of Nonconvex Variational
Problems
In this chapter based on [92, 93] we study variational problems in which the values
at the end points are also subject to variations. Using the Baire category approach
and the porosity notion we show that most variational problems are well posed.
Assume that .E; jj jj/ is a Banach space and 0 T1 < T2 < 1. Set
X D W 1;1 .T1 ; T2 I E/
(see Sect. 1.2). The set X is equipped with the metric defined in Sect. 4.4. We study
the variational problem
Z T2
f .t; x.t/; x 0 .t//dt ! min; x 2 X; x.Ti / D i ; i D 1; 2;
T1
Z T2
x 2 X; x.Ti / D i ; i D 1; 2; x.t/dt D .T2 T1 /3 ;
T1
fa .x/ D a1 .x/ for all x 2 Sa2 ; fa .x/ D 1 for all x 2 X n Sa2 : (4.1)
and
j a1 .y0 / b1 .y0 /j =8: (4.6)
Thus
inf.fb / inf.fa / C =2: (4.7)
Choose y1 2 X such that
y1 2 Sb2 ; b1 .y1 / inf.fb / C =8: (4.8)
It follows from (4.8), (4.7), (4.2), (4.3), and property (P2) (with h D b1 , x D y1 )
that b1 .y1 / D and
j b1 .y1 / a1 .y1 /j =8: (4.9)
d2 .b2 ; / M: (4.10)
It follows from (4.10), (4.11), (4.8), (4.3), and property (P1) (with h D b2 , x D y1 ,
D a2 ) that there exists x1 2 Sa2 such that
Thus inf.fa / inf.fb / C =2. By this inequality and (4.7), j inf.fa / inf.fb /j .
This completes the proof of the lemma. t
u
4.3 Proof of Proposition 4.1 91
Completion of the proof of Proposition 4.1. Let a D .a1 ; a2 /, ; 2 .0; 1/. By (A3)
there exist
aN 1 2 A1 ; xN 2 Sa2 ; ı 2 .0; =8/ (4.12)
such that
d1 .a1 ; aN 1 / < (4.13)
and the following property holds:
(P3) For each x 2 Sa2 satisfying aN 1 .x/ inf.f.aN 1 ;a2 / / C 4ı the inequality
N =4 is valid.
.x; x/
Choose numbers
By (A4) there exists r0 2 .0; 1=8/ such that the following property holds:
(P4) For each h 2 A2 satisfying d2 .h; / M , each x 2 Sh satisfying aN 1 .x/
D, and each 2 A2 satisfying d2 .h; / r0 there exists y 2 S such that
.x; y/ ı=4; j aN 1 .x/ aN 1 .y/j ı=4:
(A2) implies that there exists an open neighborhood V1 of aN 1 in A1 with the
weak topology such that the following property holds:
(P5) For each h 2 V1 and each x 2 X satisfying minf aN 1 .x/; h .x/g D the
inequality j aN 1 .x/ h .x/j ı=4 is valid.
It follows from Lemma 4.2 that there exists an open neighborhood V2 of aN 1 in
A1 with the weak topology and a number r1 > 0 such that
and inf.fb / < D 3. Then by (4.18), b1 .z/ < D 2. Combined with property
(P5), (4.17), and (4.16) this inequality implies that
It follows from (4.21), (4.20), (4.17), (4.18), (4.16), and property (P4) (with h D b2 ,
x D z, D a2 ) that there exists y 2 X such that
Thus
aN 1 .y/ inf.f.aN 1 ;a2 / / C ı: (4.23)
Equations (4.23), (4.22), and (P3) imply that .x;N y/ =4. Combining (4.22)
N z/ .x;
and (4.12) with this inequality we obtain that .x; N y/ C .y; z/ =2.
By (4.17), (4.19), and (4.12),
jfb .z/ inf.f.aN 1 ;a2 / /j jfb .z/ inf.fb /j C j inf.fb / inf.f.aN 1 ;a2 / /j ı=2 < :
Assume that .E; jj jj/ is a Banach space. We equip the space E with the metric
dE .x; y/ D jjx yjj, x; y 2 E. We denote by mes.˝/ the Lebesgue measure of a
Lebesgue measurable set ˝ R1 . Let 0 T1 < T2 < 1. Set
(see Sect. 1.2). For the set X we consider the metric defined by
(iv) For each ; M > 0 there exists ı > 0 such that for almost every t 2 ŒT1 ; T2
the inequality jf .t; x1 ; u1 / f .t; x2 ; u2 /j holds for each x1 ; x2 ; u1 ; u2 2 E
satisfying
(vi) There is a constant cf > 0 such that jf .t; 0; 0/j cf for almost every t 2
ŒT1 ; T2 .
Clearly, the Cesari condition is used in (iii). It follows from property (i) that
for any f 2 M and any x 2 X the function f .t; x.t/; x 0 .t//, t 2 ŒT1 ; T2 is
measurable. Properties (iv) and (vi) imply that for each M > 0 there is cM > 0
such that for almost every t 2 ŒT1 ; T2 the inequality jf .t; x; u/j cM holds for
each x; u 2 E satisfying jjxjj; jjujj M .
Note that in Chap. 2 we established the generic existence result for the spaces
of integrands which only have properties (i)–(iii). Here in order to obtain their
extension to the class of variational problems in which the values at the end points
are also subject to variations we need properties (iv)–(vi).
It is an elementary exercise to show that a function f D f .t; x; u/ 2
C 1 .ŒT1 ; T2 E E/ belongs to M if (iii) is true and the following conditions
hold:
For each M > 0
supfjj@f =@x.t; x; u/jj C jj@f =@u.t; x; u/jj W
t 2 ŒT1 ; T2 ; x; u 2 E and jjxjj; jjujj M g < 1I
94 4 Well-posedness of Nonconvex Variational Problems
there exist an increasing function W Œ0; 1/ ! Œ0; 1/ and a bounded (on bounded
subsets of Œ0; 1/) function 0 W Œ0; 1/ ! Œ0; 1/ such that for each .t; x; u/ 2
ŒT1 ; T2 E E
jj@f =@x.t; x; u/jj 0 .jjxjj/ .jjujj/
and
.jjujj/ f .t; x; u/:
Now we equip the set M with the strong and weak topologies.
For each f; g 2 M set
dQM .f; g/ D supfjf .t; x; u/ g.t; x; u/j W .t; x; u/ 2 ŒT1 ; T2 E Eg; (4.26)
dM .f; g/ D dQM .f; g/.dQM .f; g/ C 1/1 :
jf .t; x; u/ g.t; x; u/j < C maxfjf .t; x; u/j; jg.t; x; u/jg C .t/
for each .x; u/ 2 E Eg:
It is easy to see that for each > 0, .f; g/ 2 EMw ./ if and only if .g; f / 2
EMw ./ and that f.f; f / W f 2 Mg EMw ./.
Using Lemma 2.1 we can easily show that for each > 0 there is 0 > 0 such that
the relations .f; g/; .g; h/ 2 EMw .0 / imply that .f; h/ 2 EMw ./. Hence for the
set M there exists the uniformity which is determined by the base EMw ./, > 0.
This uniformity induces in M the weak topology.
Denote by Ml (respectively, Mc ) the set of all lower semicontinuous (respec-
tively, continuous) functions f W ŒT1 ; T2 E E ! R1 in M. Clearly Ml and
Mc are closed subsets of M with the strong topology. We consider the topological
subspaces Ml ; Mc M with the relative weak and strong topologies.
Remark 4.3. Assume that f 2 M and h W ŒT1 ; T2 ! R1 is a bounded measurable
function such that inffh.t/ W t 2 ŒT1 ; T2 g > 0. Then the function .t; x; u/ !
h.t/f .t; x; u/, .t; x; u/ 2 ŒT1 ; T2 E E belongs to M.
Remark 4.4. Assume that a bounded function h W ŒT1 ; T2 E E ! R1 is
uniformly continuous on bounded sets and f 2 M satisfies f .t; x; u/ .jjujj/,
.t; x; u/ 2 ŒT1 ; T2 E E where W Œ0; 1/ ! Œ0; 1/ is an increasing function
such that .t/ ! 1 as t ! 1. It is not difficult to see that the function f C h
4.4 Generic Well-posedness Results 95
has properties (i)–(iv) and (vi). We show that f C h has property (v). Let M > 0
and 2 .0; 1/. Since the function f has property (v) there are ı0 ;
0 > 0 and a
Lebesgue measurable set ˝ ŒT1 ; T2 such that mes.ŒT1 ; T2 n ˝/ D 0 and for
every t 2 ˝ the inequality
jf .t; x1 ; u/ f .t; x2 ; u/j 21 maxfjf .t; x1 ; u/j; jf .t; x2 ; u/jg C 21
Set
c0 D supfjh.t; x; u/j W .t; x; u/ 2 ŒT1 ; T2 E Eg:
Choose a number
>
0 for which
.
/ > c0 C 2 1 .3c0 C 1/:
By the definitions of c0 ,
and monotonicity of ,
where f 2 M and i 2 E, i D 1; 2.
Consider the space
A D A1 A2 ;
where A2 D E E and A1 is either M or Ml or a Mc .
For each a D .f; .1 ; 2 // 2 A1 A2 we define Ja W X ! R1 [ f1g by
where f 2 M and i 2 E, i D 1; 2; 3.
Consider the space
A D A1 A2 ;
We will show that for each a 2 A the functional JOa W X ! R1 [ f1g is lower
semicontinuous. Let a 2 A1 A2 . By the property (iii), inf.JOa / > 1. It follows
from properties (iv) and (vi) that inf.JOa / < 1. Therefore inf.JOa / is finite for all
a 2 A1 A2 . We will prove following theorem obtained in [92].
Theorem 4.7. There exists a set B A which is a countable intersection of open
(in the weak topology) everywhere dense (in the strong topology) subsets of A such
that for any a 2 B the minimization problem for JOa on .X; / is strongly well posed
with respect to A endowed with the weak topology.
Analogously to Proposition 2.6 we can prove the following result. For details see
Proposition 3.1 of [91].
Proposition 4.8. Let f 2 M, x 2 X , fxi g1 i D1 X and let .xi ; x/ ! 0 as
i ! 1. Then I f .x/ lim infi !1 I f .xi /:
The following proposition is an auxiliary result for the hypothesis (H2). Its proof
is analogously to the proof of Proposition 2.7.
Proposition 4.9. Assume that f 2 M, fxi g1 i D1 X is a Cauchy sequence and that
R T2 0 1
the sequence f T1 f .t; xi .t/; xi .t//dtgi D1 is bounded. Then there is x 2 X such
that xi converges to x as i ! 1 in X and moreover xi .t/ ! x .t/ as i ! 1
uniformly on ŒT1 ; T2 .
For each f 2 M and each nonempty set A X define
for all x1 ; x2 ; u1 ; u2 2 E and any t 2 ŒT1 ; T2 , and there exists xN 2 A such that the
function fN defined by
and
jI f .x/ I f .y/j : (4.34)
Proof. By property (iii) (see the definition of M) there exists an integrable scalar
function 0 .t/ 0, t 2 ŒT1 ; T2 such that
Set
Z T2
jj 0 jj D 0 .t/dt: (4.37)
T1
Choose a number
M0 > 2 C M C jj 0 jj C D: (4.38)
4.5 Proofs of Theorems 4.6 and 4.7 99
Assume that x 2 X satisfies (4.29). Then it follows from (4.29), (4.35), (4.37),
and (4.38) that for each s 2 ŒT1 ; T2
Z s
jjx.s/jj jjx.T1 /jj C jj x 0 .t/dtjj
T1
Z T2 Z T2
MC Œf .t; x.t/; x 0 .t//C 0 .t/dt D M C f .t; x.t/; x 0 .t//dt C jj 0 jj
T1 T1
M C D C jj 0 jj < M0 2:
Thus we have shown that for each x 2 X satisfying (4.29) the inequality (4.39) is
true.
Choose a positive number
Choose a number
d1 >
0 C .D C jj 0 jj/ 1 : (4.46)
By property (iv) (see the definition of M) there exists a positive number ı1 <
minf; ı0 g such that for almost every t 2 ŒT1 ; T2
jjx1 jj; jjx2 jj; jju1jj; jju2 jj M0 C d1 C 2; jjx1 x2 jj; jju1 u2 jj 2ı1 : (4.48)
Set
Z
i D tdt . mes.˝i //1 ; i D 1; 2: (4.54)
˝i
Clearly y 2 X and y.T1 / D 1 . It follows from (4.58) and (4.57) that y.T2 / D 2 .
RT
Now we will show that T12 y.t/dt D .T2 T1 /3 . It follows from (4.58) that for
any s 2 ŒT1 ; T2
Z s
y.s/ D 1 C x 0 .t/dt C mes.˝1 /1 mes .ŒT1 ; s \ ˝1 /.O 1 C x.T1 //
T1
O
C mes.˝2 /1 mes.ŒT1 ; s \ ˝2 /.2 x.T2 / /:
Therefore
Z T2 Z T2
y.s/ds D .T2 T1 /.1 x.T1 // C x.s/ds
T1 T1
Z T2
Cmes.˝1 / 1
mes.ŒT1 ; s \ ˝1 /ds.O 1 C x.T1 //
T1
Z T2
Cmes.˝2 /1 O
mes.ŒT1 ; s \ ˝2 /ds.2 x.T2 / /:
T1
For i D 1; 2 define
Z T2 Z Z Z T2
mes.ŒT1 ; s \ ˝i /ds D dtds D ds dt (4.60)
T1 Ei ˝i t
Z Z
D .T2 t/dt D T2 mes.˝i / tdt D mes.˝i /.T2
i /:
˝i ˝i
Equations (4.57), (4.58), (4.61), (4.53), (4.44), and (4.30) imply that for almost
every t 2 ŒT1 ; T2
jjy 0 .t/ x 0 .t/jj D jju.t/ x 0 .t/jj jjO 1 C x.T1 /jj mes .˝1 /1
O mes .˝2 /1
Cjj2 x.T2 / jj
.jjO 1 C x.T1 /jj C jj2 x.T2 / jj/..T
O 2 T1 /=2 /
1
and
jjy 0 .t/ x 0 .t/jj 4ı.10 C 32T2 .T2 T1 /1 /.T2 T1 /1 : (4.62)
Combining (4.64) and (4.65) with the inequality ı1 < we obtain (4.32) and (4.33).
To complete the proof of the lemma it is sufficient to show that (4.34) is valid.
We will estimate
Z
jf .t; x.t/; x 0 .t// f .t; y.t/; y 0 .t//jdt; i D 0; 3:
˝i
It follows from (4.57) and (4.58) that y 0 .t/ D x 0 .t/ for almost every t 2 ˝0 .
By (4.65) and (4.39),
It follows from these inequalities and the definition of ı1 (see (4.47), (4.48)) that
(4.70)
(Ci) There exist ˛ 2 .0; 1 and r0 > 0 such that for each x 2 E and each
r 2 .0; r0 there exists y 2 Y for which (4.71) is valid.
We prove the following simple proposition which shows that porosity is equiva-
lent to another property which is easier to verify.
Proposition 4.14. A subset E Y is porous set in .Y; d / if and only if the
following property holds:
C(ii) There exist ˛ 2 .0; 1 and r0 > 0 such that for each x 2 E and each
r 2 .0; r0 there exists y 2 Y for which
Proof. Assume that C(ii) holds with ˛ 2 .0; 1 and r0 > 0. By Proposition 4.13, in
order to prove the proposition it is sufficient to show that C(i) holds.
Let x 2 E and r 2 .0; r0 . By C(ii) there exists y 2 Y such that
Then Bd .y; ˛r=4/ Bd .x; r/ n E. Therefore property C(i) holds and Proposi-
tion 4.14 is proved. t
u
We use the convention that 1=1 D 1 and 1 1 D 0. For each function
f W X ! R1 [ f1g, where X is nonempty, we set inf.f / D infff .x/ W x 2 X g.
We consider a metric space .X; / and a complete metric space .A; d /. Each of these
spaces is equipped with the topology generated by its metric. We assume that with
every a 2 A a lower semicontinuous function fa on X is associated with values in
R1 [ f1g D .1; 1 and that fa is not identically infinity.
The following property was introduced in Sect. 3.2.
Let a 2 A. We say that the minimization problem for fa on .X; / is strongly
well posed with respect to .A; d / if inf.fa / is finite and attained at a unique point
xa 2 X and the following assertion holds:
For each > 0 there exist a neighborhood V of a in .A; d / and ı > 0 such that
for each b 2 V, inf.fb / is finite and if z 2 X satisfies fb .z/ inf.fb / C ı, then
.z; xa / and jfb .z/ fa .xa /j .
(In a slightly different setting a similar property was introduced in [109].)
In our study we use the following hypotheses about the functions introduced in
Chap. 2.
(H) If a 2 A, inf.fa / is finite, fxi g1 i D1 X is a Cauchy sequence and the
sequence ffa .xn /g1nD1 is bounded, then the sequence fxn g1
nD1 converges in X .
For each integer n 1 denote by A the set of all a 2 A which have the
.n/
following property:
(P1) There exist xN 2 X , ı > 0, ˛ 2 R1 , and a neighborhood U of a in .A; d / such
that for each b 2 U, inf.fb / is finite and if x 2 X satisfies fb .x/ inf.fb /Cı,
N 1=n and jfb .x/ ˛j 1=n.
then .x; x/
106 4 Well-posedness of Nonconvex Variational Problems
Fix an integer n 1. It follows from the property (P2) and (4.72) that for all
sufficiently large natural numbers i
Let > 0. Choose a natural number n > 4=. Assume that b 2 Un , x 2 X , and
fb .x/ inf.fb / C ın . By property (P2),
We consider a metric space .X; / and complete metric spaces .A1 ; d1 / and
.A2 ; d2 /. The set A D A1 A2 is equipped with a metric d defined by
that a is not identically infinity. We also assume that with every a 2 A2 a nonempty
subset Sa X is associated.
For each a D .a1 ; a2 / 2 A D A1 A2 define
In our study we use the following basic hypotheses about the functions.
(A1) For each a 2 A the function fa is lower semicontinuous on X and inf.fa / is
finite.
(A2) There exist ˛ 2 .0; 1 and r0 > 0 such that for each r 2 .0; r0 , each a; b 2 A1
satisfying d1 .a; b/ ˛r, and each x 2 X , the inequality j a .x/ b .x/j r
is valid.
(A3) For each > 0 there exist numbers ı > 0 and r0 > 0 such that the following
property holds:
For each a D .a1 ; a2 / 2 A D A1 A2 and each r 2 .0; r0 there exist
aN D .aN 1 ; a2 / 2 A and xN 2 X such that
A1 D [1
.ij /
j D1 A1 for all integers i 1 (4.81)
N r
ij ; j a1 .x/
.x; x/ N a1 .x/j r
ij : (4.85)
108 4 Well-posedness of Nonconvex Variational Problems
Theorem 4.16 (Variational principle). Assume that (A1)–(A4) and (H) hold. Then
there exists a set B A such that A n B is -porous in .A; d / and that for each
a 2 B the minimization problem for fa on .X; / is strongly well posed with respect
to .A; d /.
Proof. We recall that A.n/ is the set of all a 2 A which have property (P1) (n D
1; 2; : : : ). Set B D \1
nD1 A . By Proposition 4.15 in order to prove the theorem it
.n/
is sufficient to show that the set AnA.n/ is -porous in .A; d / for all integers n 1.
Let n 1 be an integer. We will show that A n A.n/ is -porous in .A; d /. Since
A n A.n/ D [1
.i /
i D1 Œ.A n A / \ .A1 A2 /
.n/
Therefore in order to prove the theorem it is sufficient to show that for each integer
j 1 the set
..i C1/j / .i /
Eij WD .A n A.n/ / \ .A1 A2 /
is porous in .A; d /.
Fix a natural number j 1. There exist ı > 0 and r0 > 0 such that (A3) holds
with D .2n/1 . There exist ˛Q 2 .0; 1 and rQ 2 .0; 1 such that (A2) is valid with
˛ D ˛,Q r0 D rQ . We choose positive numbers ˛ ,r such that
r < minf21 ; r0 ; 41 rNi C1 ; 41 rN.i C1/j ; .4
.i C1/j /1 ; 21 ˛Q rQ ; (4.86)
.8n
.i C1/j /1 ; .8n/1 .4
.i C1/j C 2 C ı/1 g;
Q
˛ < minfa=2; Q
˛ı=32; ı.24
.i C1/j /1 g: (4.87)
Let
a D .a1 ; a2 / 2 Eij ; r 2 .0; r : (4.88)
By the definition of ı, r0 , (A3), (4.86), and (4.88), there exist aN D .aN 1 ; a2 / 2 A and
xN 2 X such that
(P3) For each x 2 Sa2 satisfying faN .x/ inf.faN /Cır=2 the inequality .x; x/
N
.2n/1 is valid.
Clearly
N D d1 .a1 ; aN 1 / r=2:
d.a; a/ (4.90)
We will show that
N ˛ rg A.n/ A n Eij
fb 2 A W d.b; a/
Now consider the pairs .b1 ; b2 /; .b1 ; a2 / 2 A. By (4.92), (4.91), (4.89), (4.87),
(4.88), and (4.86),
.i C1/j
inffd1 .b1 ; h/ W h 2 A1 g d1 .b1 ; a1 / d1 .b1 ; aN 1 / C d1 .aN 1 ; a1 / (4.93)
2˛ r C r=2 < 3r < rNi C1 :
either h1 D a2 ; h2 D b2 or h1 D b2 ; h2 D a2 : (4.95)
It follows from the definition of rNi C1 , rN.i C1/j ,
.i C1/j , (A4), (4.93), (4.92), (4.94),
and (4.95) that the following property holds:
(P4) If x 2 X satisfies f.b1 ;h1 / .x/ inf.f.b1 ;h1 / / C 1, then there exists xQ 2 Sh2
such that
Since
inf.f.b1 ;hi / / D infff.b1 ;hi / .x/ W x 2 Shi ; f.b1 ;hi / .x/ inf.f.b1 ;hi / / C 1g; i D 1; 2
Let x 2 X and
fb .x/ inf.fb / C 2˛ r
.i C1/j : (4.98)
110 4 Well-posedness of Nonconvex Variational Problems
Since inf.fb / is finite we have x 2 Sb2 . By property (P4), (4.98), (4.88), (4.86),
and (4.87) there exists
xQ 2 Sa2 (4.99)
for which (4.96) is valid. It follows from (4.96), (4.98), and (4.97) that
Q rQ , and (A2),
By (4.101), the definition of ˛,
Q 1 for all y 2 X:
j aN 1 .y/ b1 .y/j 2˛ r.˛/
Q b1 .x/j
j aN 1 .x/ Q 1
Q 2˛ r.˛/ (4.102)
and
Q 1 :
j inf.f.aN 1 ;a2 / / inf.f.b1 ;a2 / /j 2˛ r.˛/ (4.103)
Q b1 .x/
aN 1 .x/ Q 1 inf.f.b1 ;a2 / / C 6˛ r
.i C1/j
Q C 2˛ r.˛/ (4.104)
1 1
Q
C2˛ r.˛/ inf.f.aN 1 ;a2 / / C 4˛ r.˛/
Q C 6˛ r
.i C1/j :
Q D aN 1 .x/
f.aN 1 ;a2 / .x/ Q inf.f.aN 1 ;a2 / / C ır=2:
N .x; x/
.x; x/ Q C .x; N 2˛ r
.i C1/j C .2n/1 < n1 :
Q x/ (4.105)
jfb .x/ inf.faN /j jfb .x/ inf.fb /j C j inf.f.b1 ;b2 / / inf.f.b1 ;a2 / /j
Cj inf.f.b1 ;a2 / / inf.f.aN 1 ;a2 / /j 2˛ r
.i C1/j C 2˛ r
.i C1/j
Q 1 .4n/1 C .4n/1 D .2n/1 :
C2˛ r.˛/
4.8 Well-posedness and Porosity in the Calculus of Variations 111
Thus
N < n1 ; jfb .x/ inf.faN /j < n1 :
.x; x/ (4.106)
Therefore we have shown that for each a 2 A and each number r satisfying (4.88)
there exists aN 2 A for which (4.90) and (4.107) are true. By Proposition 4.14 the set
Eij is porous in .A; d /. Theorem 4.16 is proved. t
u
In Sects. 4.1–4.5 we proved the generic well-posedness result for the class of
variational problems in which the values at the end points are also subject to
variations. This class of variational problems over functions with values in a
Banach space E is identified with the corresponding complete metric space of pairs
.f; .1 ; 2 // (where f is an integrand satisfying the Cesari growth condition and
1 ; 2 2 E are the values at the end points) denoted by A. We showed that for a
generic .f; .1 ; 2 // 2 A the corresponding variational problem is well posed. Now
we will study the set of all pairs .f; .1 ; 2 // 2 A for which the corresponding
variational problem is well posed and show that the complement of this set is not
only of the first category but also of a -porous set. This result (Theorem 4.20) was
obtained in [93].
For each function f W X ! R1 , where .X; / is a metric space, define
Let .E; jj jj/ be a Banach space. We equip the space E with the metric dE .x; y/ D
jjx yjj, x; y 2 E.
We denote by mes.˝/ the Lebesgue measure of a Lebesgue measurable set
˝ R1 .
Let 1 < T1 < T2 < 1. Set
(see Sect. 1.2). For the set X we consider the metric defined by
following properties:
(i) f is measurable with respect to the -algebra generated by products of
Lebesgue measurable subsets of ŒT1 ; T2 and Borel subsets of E E.
(ii) ft is lower semicontinuous for almost every t 2 ŒT1 ; T2 .
(iii) For each > 0 there exists an integrable scalar function .t/ 0, t 2 ŒT1 ; T2
such that
(iv) For each M > 0 there exists cM > 0 such that for almost every t 2 ŒT1 ; T2
(v) For each M > 0 there exist dM > 0, rM > 0, cM1 > 0, and cM 2 > 0 such that
for each t 2 ŒT1 ; T2 , each r 2 .0; rM , each x1 ; x2 2 E satisfying
(vi) For each M > 0 there exists an integrable scalar function M .t/ 0, t 2
ŒT1 ; T2 such that M .t/ Lip.gt /, t 2 ŒT1 ; T2 where gt is the restriction of ft
to the set f.x; y/ 2 E E W jjxjj; jjyjj M g for all t 2 ŒT1 ; T2 .
It follows from property (i) that for any f 2 M and any x 2 X the function
f .t; x.t/; x 0 .t//, t 2 ŒT1 ; T2 is measurable.
Clearly if f 2 M and > 0, then f 2 M and if f1 ; f2 2M, then f1 C f2 2 M .
Remark 4.17. Assume that f 2 M and g W ŒT1 ; T2 E ! R1 is a measurable
function with respect to the -algebra generated by products of Lebesgue measur-
able subsets of ŒT1 ; T2 and Borel subsets of E such that
for almost every t 2 ŒT1 ; T2 the function .x; u/ ! f .t; x; u/g.t; u/, .x; u/ 2 E E
is lower semicontinuous; for each M > 0 there is
M > 0 such that for each
t 2 ŒT1 ; T2 and each x1 ; x2 ; u1 ; u2 2 E satisfying jjxi jj; jjui jj M , i D 1; 2 the
following inequality holds:
belongs to M.
Remark 4.18. Assume that a function f W ŒT1 ; T2 E E ! R1 satisfies
C supfLip.ft gt / W t 2 ŒT1 ; T2 g; d1 .f; g/ D dQ1 .f; g/.dQ1 .f; g/C1/1 :
where f 2 M and i 2 E, i D 1; 2.
Set A2 D E E and define
By properties (iii) and (iv), inf.Ja / is finite for all a 2 A. We will show that the
functional Ja is lower semicontinuous for any a 2 A.
We will prove the following result obtained in [93].
Theorem 4.20. There exists a set B A such that A n B is a -porous set in the
space .A; d / and that for each a 2 B the minimization problem for Ja on .X; / is
strongly well posed with respect to .A; d /.
The proof of Theorem 4.20 consists in verifying that the hypotheses (A1)–(A4)
and (H) hold for the space .A; d /.
4.9 Preliminary Results for Hypotheses (A1), (A3), and (H) 115
Analogously to Proposition 2.6 we can prove the following result. For details see
Proposition 3.1 of [91].
Proposition 4.21. Let f 2 M, x 2 X , fxi g1 i D1 X and let .xi ; x/ ! 0 as
i ! 1. Then I f .x/ lim infi !1 I f .xi /.
The following proposition is an auxiliary result for the hypothesis (H). Its proof
is analogously to the proof of Proposition 2.7.
Proposition 4.22. Assume that f 2 M, fxi g1 i D1 X is a Cauchy sequence
and that the sequence fI f .xi /g1
i D1 is bounded. Then there is x 2 X such that
.xi ; x / ! 0 as i ! 1 and moreover, xi .t/ ! x .t/ as i ! 1 uniformly on
ŒT1 ; T2 .
Analogously to Lemma 3.11 we can prove the following result which implies
(A3).
Proposition 4.23. For each 2 .0; 1/ there exists ı. / 2 .0; 1/ such that for each
f 2 M, each 1 ; 2 2 E, and each r 2 .0; 1 there exist a continuous function
h W ŒT1 ; T2 E E ! R1 which satisfies
and
x0 1 2 .t/ D .T2 T1 /1 .2 1 /; t 2 ŒT1 ; T2 :
Lemma 4.24. Let f 2 M and let cM > 0 be as guaranteed by property (iv) for
any M > 0. Let M0 > 0 and M1 D M0 .3 C2.T2 T1 /1 /. Then for each 1 ; 2 2 E
satisfying
jj1 jj; jj2 jj M0 (4.117)
It follows from these inequalities and property (iv) that for almost every t 2 ŒT1 ; T2 ,
f .t; x1 ;2 .t/; x0 1 ;2 .t// cM1 . This completes the proof of Lemma 4.24. t
u
Lemma 4.25. Let f 2 M and M0 > 0. Then there exists M > 0 such that for
each 1 ; 2 2 E satisfying jj1 jj; jj2 jj M0 , the inequality j.f; 1 ; 2 /j M is
valid.
Proof. By Lemma 4.24 there exists M1 > 0 such that for each 1 ; 2 2 E satisfying
jj1 jj; jj2 jj M0 the inequality .f; 1 ; 2 / M1 holds. By property (iii) there
exists an integrable scalar function .t/ 0, t 2 ŒT1 ; T2 such that
Therefore
Z T2
inff.f; 1 ; 2 / W 1 ; 2 2 Eg D inf.I f / .t/dt:
T1
jji jj M0 ; i D 1; 2 (4.118)
4.10 An Auxiliary Result for Hypothesis (A4) 117
Proof. By Lemma 4.25 there exists c > 0 such that for each 1 ; 2 2 E
satisfying (4.118) the inequality
j.f; 1 ; 2 /j c (4.121)
is valid. By property (iii) (see the definition of M) there exists an integrable scalar
function .t/ 0, t 2 ŒT1 ; T2 such that
Set
Z T2
M 2 D c C M0 C M1 C .t/dt: (4.123)
T1
Let 1 ; 2 2 E satisfy (4.118) and let x 2 X satisfy (4.119). It follows from (4.118)
and the definition of c that (4.121) holds. (4.121) and (4.119) imply that I f .x/
M1 C c. Combined with (4.122) this inequality implies that
Z T2 Z T2 Z T2
0
jjx .t/jjdt .t/dt C f .t; x.t/; x 0 .t//dt
T1 T1 T1
Z T2
M1 C c C .t/dt:
T1
jf .t; x1 ; u/ f .t; x2 ; u/j cN1 r minff .t; x1 ; u/; f .t; x2 ; u/g C cN2 r: (4.129)
Choose a number
Z T2
> .t/dt: (4.133)
T1
jji jj M0 ; i D 1; 2; (4.134)
x 2 X satisfy
N i / D Ni ; i D 1; 2;
x.T (4.137)
jjx.t/
N x.t/jj 3r; t 2 ŒT1 ; T2 ; (4.138)
0 0 1
jjxN .t/ x .t/jj 4r.T2 T1 / for almost every t 2 ŒT1 ; T2 ;
and
jI f .x/ I f .x/j
N rŒ3cN2 .T2 T1 / C 3cN1 .M1 C M3 / (4.139)
Z T2
1
C3cN1 1 .t/dt C
.3 C 4.T2 T1 // :
T1
Set
˝1 D ft 2 ŒT1 ; T2 W jjx 0 .t/jj d g; ˝2 D ŒT1 ; T2 n ˝1 : (4.141)
We will show that mes.˝1 / .T2 T1 /=4. It follows from (4.141), (4.126), (4.135),
(4.125), and (4.134) that
Z Z T2 Z T2
d mes.˝1 / jjx 0 .t/jjdt jjx 0 .t/jjdt 1 .t/dt
˝1 T1 T1
Z T2 Z T2
C f .t; x.t/; x 0 .t//dt 1 .t/dt C .f; 1 ; 2 / C M1
T1 T1
Z T2
1 .t/dt C M3 C M1 :
T1
Thus
mes.˝1 / .T2 T1 /=4; mes.˝2 / 3.T2 T1 /=4: (4.142)
(4.145), (4.146), (4.135), (4.136), (4.143), and (4.144) imply that for all t 2 ŒT1 ; T2
Z t Z t
jjx.t/ N 0
N x.t/jj jj1 1 jj C xN .s/ds x .s/ds
0
r
T1 T1
Z t Z
C jjxN 0 .s/ x 0 .s/jjds r C jju.s/ x 0 .s/jjds 3r:
T1 ˝2
Combined with (4.147) these inequalities imply (4.138). Now we will show
that (4.139) is valid.
Let t 2 ˝1 and (4.146) be valid. By (4.146), (4.143), (4.141), and (4.130),
jjx.t/jj M2 ; jjx.t/jj
N M2 C 1: (4.150)
It follows from (4.148), (4.149), (4.150), and the definition of d0 , r0 , cN1 , cN2
(see (4.127)–(4.129)) that
Since these relations hold for almost every t 2 ˝1 we obtain by (4.141), (4.135),
and (4.126) that
Z
jf .t; x.t/; x 0 .t// f .t; x.t/;
N xN 0 .t//jdt 3r cN2 .T2 T1 / (4.151)
˝1
Z
C3r cN1 f .t; x.t/; x 0 .t//dt
˝1
Z
0
D 3r cN2 .T2 T1 / C 3r cN1 I .x/
f
f .t; x.t/; x .t//dt
˝2
Z
3r cN2 .T2 T1 / C 3r cN1 ..f; 1 ; 2 / C M1 / 3r cN1 f .t; x.t/; x 0 .t//dt
˝2
It follows from (4.153), (4.141), (4.131), (4.140), (4.138), and (4.130) that
Recall that for each 2 ŒT1 ; T2 , g is the restriction of f to the set f.x; y/ 2
E E W jjxjj; jjyjj d C 1g. It follows from (4.154), (4.138), (4.153), and (4.132)
that
Since these inequalities hold for almost every t 2 ˝2 , (4.133) implies that
Z Z
jf .t; x.t/; x 0 .t// f .t; x.t/;
N xN 0 .t//jdt r.3 C 4.T2 T1 /1 / .t/dt
˝2 ˝2
Z T2
r.3 C 4.T2 T1 /1 / .t/dt r
.3 C 4.T2 T1 /1 /:
T1
By Theorem 4.16 we need to show that (A1)–(A4) and (H) hold. It follows from
Propositions 4.21 and 4.22 that for each a D .a1 ; a2 / 2 A the functionals Ja W X !
R1 [f1g and I a1 W X ! R1 [f1g are lower semicontinuous. Therefore (A1) holds.
Evidently (A2) is valid. It is easy to see that (A3) follows from Proposition 4.23 and
(H) follows from Proposition 4.22. In order to prove Theorem 4.20 we need only to
show that (A4) holds.
Set D 0 2 E E. Then for any r > 0
.r/
A2 D f.x; y/ 2 E E W jjxjj C jjyjj rg (4.155)
(P7) For each 1 ; 2 2 E satisfying jj1 jj; jj2 jj i C 1 and each x 2 X satisfying
M D [1
sDi C2 Ms :
.i /
(4.157)
.i /
Fix an integer s i C 2 and consider the set Ms . For each pair of integers
.i / .i /
k1 ; k2 satisfying k2 k1 > s C 1 denote by Msk1 k2 the set of all f 2 Ms
such that for each h 2 B1 .f; 1=2/ the following property holds:
(P8) For each t 2 ŒT1 ; T2 , each r 2 .0; k11 , each x1 ; x2 2 E which satisfy
jjx1 jj; jjx2 jj s C 1 and jjx1 x2 jj r, and each u 2 E satisfying jjujj k1
the inequality
holds.
By property (v) (see the definition of M) and the definition of d1 and dQ1 (see
Sect. 4.8),
.i /
M.is / D [fMsk1 k2 W k1 and k2 are integers (4.158)
satisfying k2 k1 > s C 1g:
Msk1 k2 D [1
.i / .i /
qD1 Msk1 k2 q : (4.161)
124 4 Well-posedness of Nonconvex Variational Problems
.i /
Fix an integer q 1 and consider the set Msk1 k2 q . Lemma 4.27 and properties
(P5)–(P9) imply the following lemma. Note that by (P5)–(P9), Lemma 4.27 can be
applied to h (see the statement of Lemma 4.28) with M0 D i , M1 D 4, M2 D s
(see (P7)); M3 D s (see (P6)); d0 D k1 , r0 D k11 , cN1 D k1 , cN2 D k2 (see (P8));
d D d.s; k1 / 1 (see (P5) and (4.159)); r D r.k1 / (see (4.160));
D q
(see (P9)).
.i /
Lemma 4.28. Assume that f 2 Msk1 k2 q , h 2 B1 .f; 1=2/, 1 ; 2 2 X satisfy
jj1 jj; jj2 jj i , x 2 X satisfy x.Ti / D i , i D 1; 2, and I h .x/ .h; 1 ; 2 / C 4,
r 2 .0; r.k1 / and N1 ; N2 2 X satisfy jjN1 1 jj; jjN2 2 jj r. Then there exists
xN 2 X such that
N j / D Nj ; j D 1; 2; jjx.t/
x.T N x.t/jj 3r; t 2 ŒT1 ; T2 ;
jjxN 0 .t/ x 0 .t/jj 4r.T2 T1 /1 for almost every t 2 ŒT1 ; T2 ;
and
jI h .x/ I h .x/j
N rŒ3.T2 T1 /k2 C 3k1 .4 C 4s/
Cq.3 C 4.T2 T1 /1 /:
.i /
Clearly the collection of all sets Msk1 k2 q where integers s; k1 ; k2 ; q satisfy s
i C 2, k2 k1 > s C 1 and q 1, is countable. By (4.157), (4.158), and (4.161) the
union of this collection is M. Then (A4) follows from Lemma 4.28. This completes
the proof of Theorem 4.20. t
u
Chapter 5
Generic Well-posedness Result for a Class
of Optimal Control Problems
In this chapter we prove a generic existence and uniqueness result for a class of
optimal control problems in which the right-hand side of differential equations is
also subject to variations as well as the integrands.
We obtain our results as realizations of the general variational principle of
Sect. 2.2. The verification of the hypothesis (H1) for our classes of optimal control
problems is highly complicated. To simplify the verification of (H1) we suggest a
concretization of the hypothesis (H1). We introduce new assumptions (A1)–(A5)
and show that they imply (H1). Thus to verify (H1) we need to show that the
assumptions (A1)–(A5) are valid. This approach allows us to simplify the problem.
5.1 Preliminaries
We use the following notations and definitions. We denote by mes.˝/ the Lebesgue
measure of a Lebesgue measurable set ˝ R1 . For each function f W X !
Œ1; 1, where X is nonempty, we set
We use the convention that 1 1 D 0 and 1=1 D 1 and the notation exp.t/ D
e t , t 2 R1 .
Assume that .Xi ; i /, i D 1; 2 are metric spaces. For each mapping f W X1 !
X2 we set
We consider a metric space .X; / which is called the domain space and a
complete metric space .A; d / which is called the data space. We always consider the
set X with the topology generated by the metric . For the space A we consider
the topology generated by the metric d . This topology will be called the strong
topology. In addition to the strong topology we also consider a weaker topology
on A which is not necessarily Hausdorff. This topology will be called the weak
topology. (Note that these topologies can coincide.) We assume that with every
a 2 A a lower semicontinuous function fa on X is associated with values in
RN D Œ1; 1.
Let a 2 A. We recall that the minimization problem for fa on .X; / is strongly
well posed with respect to A if inf.fa / is finite and attained at a unique point xa 2 X
and the following assertion holds:
For each > 0 there exist a neighborhood V of a in A with the weak topology
and ı > 0 such that for each b 2 V, inf.fb / is finite and if z 2 X satisfies fb .z/
inf.fb / C ı, then .xa ; z/ and jfb .z/ fa .xa /j .
In our study we use the following basic hypotheses about the functions (H1) and
(H2) introduced in Sect. 2.2 and Theorem 2.3.
Let .X; / be a metric space with the topology generated by the metric and let
.A1 ; d1 /, .A2 ; d2 / be metric spaces. For the space Ai (i D 1; 2) we consider the
topology generated by the metric di . This topology is called the strong topology.
In addition to the strong topology we consider a weak topology on Ai , i D 1; 2
which is weaker than the strong topology.
We assume that X is also equipped with a metric s such that the following
property holds:
(P1) For each > 0 there is ı > 0 such that .x1 ; x2 / for each x1 ; x2 2 X
satisfying s .x1 ; x2 / ı.
We equip the space A1 A2 with a metric d defined by
The strong topology of A1 A2 is the product of the strong topology of A1 and the
strong topology of A2 and the weak topology of A1 A2 is the product of the weak
topology of A1 and the weak topology of A2 .
Assume that with every a 2 A1 a function a W X ! R1 [ f1g is associated and
with every a 2 A2 a set Sa X is associated. For each a D .a1 ; a2 / 2 A1 A2
define fa W X ! R1 [ f1g by
.aN 1 ; a2 / 2 A; d1 .a1 ; aN 1 / r
and a neighborhood V21 of a2 in A2 with the weak topology such that the
following property holds:
128 5 Generic Well-posedness Result
In view of (5.9), (5.6), and (5.3) a1 .y0 / D. Combined with (5.5) and property
(P2) this inequality implies that
Thus
inf.fb / inf.fa / C =2: (5.11)
Choose x1 2 X such that
Equations (5.12), (5.11), and (5.3) imply that b1 .x1 / D. Combined with (5.5)
and property (P2) this inequality implies that
a1 .x1 / D: (5.15)
Combined with (5.16), (5.1), and (5.14) this inequality implies that
Together with (5.11) this inequality implies that j inf.fa / inf.fb /j . Lemma 5.2
is proved. t
u
Proof of proposition 5.1. Let
such that
Choose a number
D > j inf.f.aN 1 ;a2 / /j C 4: (5.22)
(A2) implies that there exists an open neighborhood V1 of aN 1 in A1 with the weak
topology such that the following property holds:
(P6) For each h 2 V1 and each x 2 X satisfying minf aN 1 .x/; h .x/g D the
inequality j aN 1 .x/ h .x/j ı=4 holds.
By (A4) there exist a positive number
and an open neighborhood V21 of a2 in A2 with the weak topology such that
the following property holds:
(P7) For each x 2 [fSb W b 2 V21 g satisfying aN 1 .x/ D and each y 2 X
satisfying s .x; y/ ı0 the inequality j aN 1 .x/ aN 1 .y/j ı=16 holds.
It follows from (A5) that there exists an open neighborhood V22 of a2 in A2
with the weak topology such that the following property holds:
(P8) For each h1 ; h2 2 V22 and each x 2 Sh1 satisfying aN 1 .x/ D there exists
y 2 Sh2 such that s .x; y/ ı0 .
In view of Lemma 5.2 there exists an open neighborhood V of .aN 1 ; a2 / in A with
the weak topology such that
Set
W D V \ ŒV1 .V21 \ V22 /: (5.25)
b1 .z/ inf.fb / C ı=8 inf.f.aN 1 ;a2 / / C ı=4 < D 4 C ı=4 < D 3: (5.30)
j b1 .z/ aN 1 .z/j ı=4; aN 1 .z/ b1 .z/ C ı=4 < D 4 C ı=2 < D 3: (5.31)
By property (P7) (with x D z), (5.28), (5.27), (5.25), (5.31), and (5.32),
Equations (5.1), (5.32), (5.34), (5.31), (5.28), and (5.29) imply that
N =4:
.y; x/ (5.37)
Let .Y; jj jj/ be a Banach space and 1 < a < b < 1. A function x W Œa; b ! Y
is strongly measurable on Œa; b if there exists a sequence of functions xn W Œa; b !
Y , n D 1; 2; : : : such that for any integer n 1 the set xn .Œa; b/ is countable
and the set ft 2 Œa; b W xn .t/ D yg is Lebesgue measurable for any y 2 Y , and
xn .t/ ! x.t/ as n ! 1 in .Y; jj jj/ for almost every t 2 Œa; b.
132 5 Generic Well-posedness Result
x 2 W 1;1 .T1 ; T2 I E/
(see Sect. 1.2) and u W ŒT1 ; T2 ! F is a strongly measurable function such that
In this chapter we consider the space X endowed with the metric and with the
topology induced by the metric .
For each .x1 ; u1 /; .x2 ; u2 / 2 X set
Clearly s is a metric.
For each nonempty closed subset B E and each continuous mapping G W
ŒT1 ; T2 E F ! E denote by X.G; B/ the set of all pairs of functions .x; u/
where x 2 W 1;1 .T1 ; T2 I E/ and u W ŒT1 ; T2 ! F is a strongly measurable function
such that
(iv) There exists an integrable scalar function .t/ 0, t 2 ŒT1 ; T2 such that
f .t; x; u/ .t/ for all .t; x; u/ 2 ŒT1 ; T2 E F:
(v) There is a constant cf > 0 such that jf .t; 0; 0/j cf for almost every t 2
ŒT1 ; T2 .
It follows from property (i) that for any f 2 M, each continuous function x W
ŒT1 ; T2 ! E, and each strongly measurable function u W ŒT1 ; T2 ! F the function
f .t; x.t/; u.t//, t 2 ŒT1 ; T2 is measurable.
Now we equip the set M with the strong and weak topologies.
For each f; g 2 M set
dQM .f; g/ D supfjf .t; x; u/ g.t; x; u/j W .t; x; u/ 2 ŒT1 ; T2 E F g
C supfLip.f .t; ; / g.t; ; // W t 2 ŒT1 ; T2 g;
dM .f; g/ D dQM .f; g/.1 C dQM .f; g//1 : (5.44)
jf .t; x; u/ g.t; x; u/j < C maxfjf .t; x; u/j; jg.t; x; u/jg C .t/g: (5.45)
It is easy to see that for each > 0, .f; g/ 2 EMw ./ if and only if .g; f / 2 EMw ./
and that f.f; f / W f 2 Mg EMw ./.
134 5 Generic Well-posedness Result
Using Lemma 2.1 we can easily show that for each > 0 there is 0 > 0 such that
the relations .f; g/; .g; h/ 2 EMw .0 / imply that .f; h/ 2 EMw ./. Hence for the
set M there exists the uniformity which is determined by the base EMw ./, > 0.
This uniformity induces in M the weak topology.
Denote by Ml (respectively, Mc ) the set of all lower semicontinuous (respec-
tively, continuous) functions f W ŒT1 ; T2 E F ! R1 in M. Denote by
ML the set of all functions f 2 M such that for almost every t 2 ŒT1 ; T2
the function f .t; ; / is Lipschitzian on bounded subsets of E F . Denote by
MLl the set of all functions f 2 M such that for almost every t 2 ŒT1 ; T2
the function f .t; ; / W E F ! R1 is locally Lipschitzian. Clearly Ml , Mc ,
ML , MLl are closed subsets of M with the strong topology. We consider the
topological subspaces Ml , Mc , ML , MLl , Ml \ MLl , Mc \ MLl , Ml \ ML ,
Mc \ ML M with the relative weak and strong topologies.
For each f 2 M we define I f W X ! R1 [ f1g by
Z T2
I .x; u/ D
f
f .t; x.t/; u.t//dt; .x; u/ 2 X: (5.46)
T1
It is not difficult to see that .P; dPs / is a complete metric space. The metric dPs
induces in P the topology which is called the strong topology.
For each G1 ; G2 2 P we set
It is not difficult to see that .P; dPw / is a complete metric space. The metric dPw
induces in P the topology which is called the weak topology.
Let B be a nonempty closed subset of E and let M Q be one of the following
spaces: M; M ; M ; MLl ; ML ; M \ MLl ; M \ MLl ; Ml \ ML ; Mc \ ML .
l c l c
Denote by A.B/ the set of all pairs .f; G/ 2 M Q P with the following properties:
(vii) For each > 0 there is an integrable scalar function .t/ 0, t 2 ŒT1 ; T2
such that jjG.t; y; v/jj .t/Cf .t; y; v/ for all .t; y; v/ 2 ŒT1 ; T2 E F .
(viii) There is .x; u/ 2 X.G; B/ such that I f .x; u/ < 1.
We assume that A.B/ 6D ;. We will prove the following result.
Q P with the weak
Proposition 5.3. The set A.B/ is an open closed subset of M
topology.
We study the optimal control problem
By (5.54) there exists a positive number ı0 such that for each interval e ŒT1 ; T2
which satisfies mes.e/ 8ı0 ,
Z Z
1
c0 M 0 .jju.t/jj/dt < 4 ; jjH.t; 0; u.t//jjdt < 81 : (5.58)
e e
Let
ı 2 .0; ı0 /: (5.59)
Denote by YM ı the set of all continuous functions x W Iı ! E such that
and that the function H.t; x.t/; u.t//, t 2 Iı is Bochner integrable. Define a
function Lx W Iı ! E by
Z
.Lx/./ D y0 C H.t; x.t/; u.t//dt; 2 Iı : (5.62)
t0
Z
c0 jjx1 .t/ x2 .t/jj 0 .jju.t/jj/dt
Iı
Z
c0 M ı .x1 ; x2 / 0 .jju.t/jj/dt 41 M ı .x1 ; x2 /:
Iı
y.T1 / D y0 ; (5.71)
y 0 .t/ D H.t; y.t/; u.t//; t 2 ŒT1 ; T2 a.e., (5.72)
and
jjy.t/ x.t/jj ı.T2 T1 /e c1 M C e c1 M jjy0 x.T1 /jj (5.73)
for any t 2 ŒT1 ; T2 .
Proof. Denote by ˝ the set of all S 2 .T1 ; T2 such that there is y 2 W 1;1 .T1 ; S I E/
which satisfies
jjG.t; 0; u.t//jj jjG.t; x.t/; u.t//jj C jjG.t; 0; u.t// G.t; x.t/; u.t//jj
jjG.t; x.t/; u.t//jj C c1 jjx.t/jj 1 .jju.t/jj/
and
Z T2 Z T2
jjG.t; 0; u.t//jjdt jjG.t; x.t/; u.t//jjdt
T1 T1
Z T2
C c1 supfjjx.t/jj W t 2 Œt1 ; T2 g 1 .jju.t/jj/dt:
T1
S0 D sup ˝; (5.76)
D jjy0 x.1 /jj: (5.77)
It follows from (5.75), (5.69), (5.76), and Lemma 5.6 that there is y W ŒT1 ; S0 / ! E
such that y 2 W 1;1 .T1 ; I E/ for any 2 ŒT1 ; S0 / and which satisfies
Let
2 .T1 ; S0 /: (5.79)
In view of (5.79), (5.78), (5.70), (5.71), (5.77), (5.68), and (5.67)
jjy./ x./jj
Z Z
D y.T1 / C H.t; y.t/; u.t//dt x.T1 / G.t; x.t/; u.t//dt
T1 T1
Z Z
H.t; y.t/; u.t//dt G.t; .x.t/; u.t//C
T1 T1
Z Z
C H.t; y.t/; u.t//dt G.t; y.t/; u.t//dt
T1 T1
Z Z
C G.t; y.t/; u.t//dt G.t; x.t/; u.t//dt
T1 T1
Z
ı. T1 / C
C jjG.t; y.t/; u.t// G.t; x.t/; u.t//jjdt
T1
Z
C ı. T1 / C c1 jjy.t/ x.t/jj 1 .jju.t/jj/dt:
T1
It follows from this inequality, (5.69), and Gronwall’s inequality that for all 2
ŒT1 ; S0 /
Z T2
jjy./ x./jj .
C ı.S0 T1 // exp c1 1 .jju.t/jj/dt (5.80)
T1
.
C ı.T2 T1 //e c1 M :
5.4 A Class of Differential Equations 141
We show that there exists limt !S0 y.t/. Let T1 < t1 < t2 < S0 . By (5.78), (5.68),
(5.67), and (5.80)
Z t2
jjy.t2 / y.t1 /jj D H.t; y.t/; u.t//dt
t1
Z t2 Z t2
jjH.t; y.t/; u.t//jjdt jjG.t; y.t/; u.t//jjdt
t1 t1
Z t2
C jjH.t; y.t/; u.t// G.t; y.t/; u.t//jjdt
t1
Z t2
ı.t2 t1 / C jjG.t; y.t/; u.t//jjdt
t1
Z t2
ı.t2 t1 / C jjG.t; x.t/; u.t//jjdt
t1
Z t2
C jjG.t; y.t/; u.t// G.t; x.t/; u.t//jjdt
t1
Z t2
ı.t2 t1 / C jjG.t; x.t/; u.t//jjdt
t1
Z t2
C c1 jjx.t/ y.t/jj 1 .jju.t/jj/dt
t1
Z t2
ı.t2 t1 / C jjG.t; x.t/; u.t//jjdt
t1
Z t2
Cc1 1 .jju.t/jj/dtŒı.T2 T1 / C
e c1 M :
t1
It follows from this relation, (5.69), and (5.74) that jjy.t2 / y.t1 /jj ! 0 as
t1 ; t2 ! S0 . Therefore there exists limt !S0 y.t/. Set y.S0 / D limt !S0 y.t/.
By (5.68), (5.67), and (5.80),
Z S0 Z S0
jjH.t; y.t/; u.t//jjdt jjG.t; y.t/; u.t//jjdt
T1 T1
Z S0
C jjH.t; y.t/; u.t// G.t; y.t/; u.t//jjdt
T1
Z S0
jjG.t; y.t/; u.t//jjdt C ı.T2 T1 /
T1
Z S0
ı.T2 T1 / C jjG.t; x.t/; u.t//jjdt
T1
142 5 Generic Well-posedness Result
Z S0
C jjG.t; y.t/; u.t// G.t; x.t/; u.t//jjdt ı.T2 T1 /
T1
Z T2 Z S0
C jjG.t; x.t/; u.t//jjdt C c1 jjy.t/ x.t/jj 1 .jju.t/jj/dt
T1 T1
Z T2
ı.T2 T1 / C jjG.t; x.t/; u.t//jjdt
T1
Z T2
C c1 Œ
C ı.T2 T1 /e c1 M 1 .jju.t/jj/dt:
T1
Equations (5.81) and (5.78) imply that y 2 W 1;1 .T1 ; S0 I E/. In order to complete
the proof of Lemma 5.7 it is sufficient to show that S0 D T2 (see (5.80) and (5.77)).
Let us assume that S0 < T2 . Then by (5.75), (5.69), and Lemma 5.5 there are
2 .0; T2 S0 / and a function z 2 W 1;1 .S0 ; S0 C I E/ such that
Proof. In view of Lemma 5.7 in order to prove Lemma 5.8 it is sufficient to show
that there are an increasing function 0 W Œ0; 1/ ! Œ0; 1/ and c0 > 0 such that
where
0 .t/ D c .t/ C ı: (5.89)
We have shown that (5.87) holds for each t 2 ŒT1 ; T2 , each y1 ; y2 2 E, and each
v 2 F with c0 D 1. In view of (5.89) and (5.85)
Z T2 Z T2
0 .jju.t/jj/dt D .c .jju.t/jj C ı/dt D ı.T2 T1 /
T1 T1
Z T2
Cc .jju.t/jj/dt ı.T2 T1 / C cM:
T1
Proof. Since .f; G/ 2 A.B/ (see the definition of A.B/, property (vi)) there exist
c0 ; c1 > 0, an integrable scalar function .t/ 0, t 2 ŒT1 ; T2 , and an increasing
function W Œ0; 1/ ! Œ0; 1/ such that
Set
Z T2
M0 D T2 T1 C c11 M C .t/dt ; D D e c0 M0 : (5.92)
T1
It follows from (5.90), (5.94), (5.95), and (5.93) that for each t 2 ŒT1 ; T2 and
each y1 ; y2 2 E, each v 2 F
5.6 Auxiliary Results for (A4) 145
By (5.97), (5.98), (5.99), (5.92), (5.96), (5.95), and Lemma 5.8 there is a differen-
tiable function z W ŒT1 ; T2 ! E such that
Denote by ˝ the set of all t 2 ŒT1 ; T2 such that (5.103) is true for each x1 ; x2 2
E and each u 2 F satisfying (5.101). Clearly,
mes.ŒT1 ; T2 n ˝/ D 0: (5.104)
Denote by ˝ the set of all t 2 ŒT1 ; T2 such that (5.107) holds for each y1 ; y2 2 E
and each v 2 F satisfying (5.108). Clearly, mes.˝/ D T2 T1 .
Choose a natural number q such that
qı > 4M (5.109)
and set
D q2q : (5.110)
5.6 Auxiliary Results for (A4) 147
yi D x1 C i q 1 .x2 x1 /; i D 0; : : : ; q: (5.111)
jf .t; yi ; u/j 2jf .t; yi C1 ; u/j C 1; jf .t; yi C1 ; u/j 2jf .t; yi ; u/j C 1:
i 1
X
jf .t; yi ; u/j 2i jf .t; x1 ; u/j C 2j
j D0
and
i 1
X
jf .t; yqi ; u/j 2 jf .t; x2 ; u/j C
i
2j :
j D0
jf .t; x1 ; u/ f .t; x2 ; u/j q2q minfjf .t; x1 ; u/j; jf .t; x2 ; u/jg C q2q :
R T2
and let z W ŒT1 ; T2 ! E be a continuous function. Then T1 f .t; z.t/; u.t//dt < 1:
Proof. Choose a number M0 > 0 such that
By properties (ii) and (v) (see the definition of M) there is c1 > 0 such that for
almost every t 2 ŒT1 ; T2 the inequality
Set
˝1 D ft 2 ŒT1 ; T2 W jju.t/jj
g; ˝2 D ŒT1 ; T2 n ˝1 : (5.123)
In view of (5.118)
Z T2 Z T2
f .t; z.t/; u.t//dt .t/dt > 1: (5.124)
T1 T1
It follows from the choice of c1 (see (5.121), (5.122)), (5.123), and (5.117) that for
almost every t 2 ˝2
jf .t; z.t/; u.t//j c1 : (5.125)
5.6 Auxiliary Results for (A4) 149
By the choice of
;
(see (5.119), (5.120)), (5.117), (5.123), and (5.118) for almost
every t 2 ˝1
jf .t; x.t/; u.t//f .t; z.t/; u.t//j
minfjf .t; x.t/; u.t//j; jf .t; z.t/; u.t//jgC
C
jf .t; x.t/; u.t//j
C
.f .t; x.t/; u.t//2.t//: (5.126)
f .t; z.t/; u.t// f .t; x.t/; u.t// C C .f .t; x.t/; u.t// 2.t//
and
Z Z
f .t; z.t/; u.t//dt .
C 1/ f .t; x.t/; u.t//dt
˝1 ˝1
Z
C
mes.˝1 / 2 .t/dt:
˝1
Together with (5.124), (5.125), (5.116), and (5.118) this implies that
Z T2
f .t; z.t/; u.t//dt < 1:
T1
Proof. In view of property (iv) (see the definition of M) there is an integrable scalar
function .t/ 0, t 2 ŒT1 ; T2 such that
˝1 D ft 2 ŒT1 ; T2 W jju.t/jj
g; ˝2 D ŒT1 ; T2 n ˝1 : (5.136)
By (5.136), the definition of ı0 (see (5.133)–(5.135)), and (5.127) for almost every
t 2 ˝1
jf .t; x.t/; u.t// f .t; z.t/; u.t//j 0 :
This inequality and (5.130) imply that
Z
jf .t; x.t/; u.t// f .t; z.t/; u.t//jdt 0 .T2 T1 / =4: (5.137)
˝1
Combined with (5.129) this inequality implies that for almost every t 2 ˝2
jf .t; x.t/; u.t// f .t; z.t/; u.t//j 0 C 0 .f .t; x.t/; u.t// 2.t//:
Equations (5.136), (5.137), and (5.138) imply (5.128). Lemma 5.13 is proved. t
u
Assume that
Q P; i D 1; 2; .f1 ; G1 / 2 A.B/;
.fi ; Gi / 2 M
.f1 ; f2 / 2 EMw .r0 /; dQPw .G1 ; G2 / r0 : (5.140)
In order to prove Proposition 5.3 it is sufficient to show that .f2 ; G2 / 2 A.B/. Since
the constant r0 does not depend on .f1 ; G1 / we obtain that the set A.B/ is open and
closed.
Since .f1 ; G1 / 2 A.B/ it follows from property (vi) (see the definition of A.B/)
that there are numbers c0 ; c1 > 0, an integrable scalar function 1 .t/ 0, t 2
ŒT1 ; T2 and an increasing function 1 W Œ0; 1/ ! Œ0; 1/ such that
Equations (5.140) and (5.147) imply that there exists a scalar integrable function
1 .t/ 0, t 2 ŒT1 ; T2 such that
Z T2
1 .t/dt 1
T1
jf1 .t; x; u/f2 .t; x; u/j<r0 Cr0 maxfjf1 .t; x; u/j; jf2 .t; x; u/jgCr0 1 .t/: (5.143)
By (5.143), (5.139), (5.142), and Lemma 2.1 for each t 2 ŒT1 ; T2 , each x 2 E, and
each u 2 F
jf1 .t; x; u/f2 .t; x; u/j < .1C 1 .t//.r=4/C.r=4/ minfjf1 .t; x; u/j; jf2 .t; x; u/jg
.1 C 1 .t//.r=4/ C 41 rjf1 .t; x; u/j
.1 C 1 .t//r=4 C .r=4/.f1 .t; x; u/ C 21 .t//: (5.144)
This inequality implies that for each t 2 ŒT1 ; T2 , each x 2 E, and each u 2 F
Combined with (5.142) this inequality implies that for each .t; x; u/ 2 ŒT1 ; T2
EF
It follows from (5.141), (5.140), (5.49), and (5.139) that for each t 2 ŒT1 ; T2 , each
y1 ; y2 2 E, and each v 2 F
Together with (5.144) this relation implies that property (vi) holds with .f; G/ D
.f2 ; G2 /.
We show that property (vii) holds with .f; G/ D .f2 ; G2 /. Let ı > 0. Since
.f1 ; G1 / 2 A.B/ property (vii) holds with .f; G/ D .f1 ; G1 /. Therefore there is an
integrable scalar function ı .t/ 0, t 2 ŒT1 ; T2 such that
for all .t; y; v/ 2 ŒT1 ; T2 E F . It follows from (5.49), (5.140), (5.139), (5.147),
and (5.146) that for all .t; y; v/ 2 ŒT1 ; T2 E F
jjG2 .t; y; v/jj jjG1 .t; y; v/jj C jjG2 .t; y; v/ G1 .t; y; v/jj
Thus property (vii) holds for .f; G/ D .f2 ; G2 /. Now we show that property (viii)
holds with .f; G/ D .f2 ; G2 /. Since .f1 ; G1 / 2 A.B/ it follows from property (viii)
(see the definition of A.B/) that there is
such that
I f1 .x; u/ < 1: (5.149)
Since .x; u/ 2 X.G1 ; B/ (see (5.148)) we have that x 2 W 1;1 .T1 ; T2 I E/, u W
ŒT1 ; T2 ! F is strongly measurable and
It follows from Lemma 5.8, (5.141), (5.140), (5.49), (5.151), and (5.154) that there
exists z 2 W 1;1 .T1 ; T2 I E/ such that
By (5.152), (5.153), and (5.155) .z; u/ 2 X.G2 ; B/. Together with (5.156) this
implies that property (viii) holds with .f; G/ D .f2 ; G2 /. Proposition 5.3 is proved.
t
u
Then Z Z
T2 T2
f .t; x.t/; u.t//dt lim inf f .t; xi .t/; ui .t//dt:
T1 i !1 T1
For the proof of Proposition 5.14 see Proposition 2.6. Analogously to Proposi-
tion 2.7 we can prove the following result.
Proposition 5.15. Assume that .f; G/ 2 A.B/, f.xi ; ui /g1i D1 X.G; B/ is a
Cauchy sequence in the space .X; / and that the sequence fI f .xi ; ui /g1 i D1 is
bounded. Then there is .x ; u / 2 X.G; B/ such that ..xi ; ui /; .x ; u // ! 0
as i ! 1 and xi .t/ ! x .t/ as i ! 1 uniformly on ŒT1 ; T2 .
Analogously to Proposition 2.10 we can prove the following result.
Proposition 5.16. Let f 2 M, 2 .0; 1/ and D > 0. Then there is a
neighborhood V of f in M with the weak topology such that for each g 2 V
and each .x; u/ 2 X satisfying minfI f .x; u/; I g .x; u/g D the inequality
jI f .x; u/ I g .x; u/j holds.
For each f 2 M and each A X set
N N
I f .y; v/ inf.I f I A/ C 2ı. /r
Since .f; G/ 2 A.B/ it follows from property (vii) (see the definition of A.B/) that
there exists an integrable scalar function 1 .t/ 0, t 2 ŒT1 ; T2 such that
Set
Z T2
M0 D D0 C M C 1 .t/dt C T2 T1 : (5.159)
T1
Let H 2 P satisfy
dQPw .G; H / 1 (5.160)
I f .x; u/ M: (5.161)
Since .x; u/ 2 X.H; B/ we have x.T1 / 2 B. Together with (5.157) this implies that
It follows from (5.162), (5.160), (5.49), (5.158), (5.161), and (5.159) that for each
s 2 .T1 ; T2
156 5 Generic Well-posedness Result
Z s
jjx.s/jj jjx.T1 /jj C jjx.s/ x.T1 /jj D0 C jjx 0 .t/jjdt
T1
Z s Z T2
D0 C jjH.t; x.t/; u.t//jjdt D0 C jjH.t; x.t/; u.t//jjdt
T1 T1
Z T2
D0 C .1 C jjG.t; x.t/; u.t//jj/dt
T1
Z T2 Z T2
T2 T1 C D0 C 1 .t/dt C f .t; x.t/; u.t//dt
T1 T1
Z T2
D0 C T2 T1 C 1 .t/dt C M D M0 :
T1
Consider the space A.E/ introduced in Sect. 5.3 (here B D E). We equip the space
E with the metric induced by the norm of E. We assume that A.E/ 6D ; and set
A D A.E/ E. We study the optimal control problem
In view of Propositions 5.14 and 5.15 the functionals I f , JOa are lower semicontin-
uous on .X; / for each a D .f; G; z/ 2 A.
We prove the following result.
Proposition 5.20. Let .f; G/ 2 A.E/. Then for each z 2 E there is .x; u/ 2
X.G; fzg/ such that I f .x; u/ < 1.
Proof. Let z 2 E. Since .f; G/ 2 A.E/ it follows from property (viii) (see the
definition of A.B/) that there is .x1 ; u1 / 2 X such that
By (5.163) and Lemmas 5.9 and 5.12 there is a function x 2 W 1;1 .T1 ; T2 I E/ such
that .x; u1 / 2 X.G; fzg/ and I f .x; u1 / < 1. Proposition 5.20 is proved. t
u
Corollary 5.21. For each nonempty closed subset B E, A.B/ D A.E/.
Theorem 5.22. There exists an everywhere dense (in the strong topology) subset
B A which is a countable intersection of open (in the weak topology) subsets of
A such that for each a 2 B the minimization problem for JOa on .X; / is strongly
well posed with respect to A.
Proof. We have A1 D M, Q A2 D P E. By Proposition 5.3 A is a closed subset
of A1 A2 with the weak topology. In view of Proposition 5.20 and property
(iv) (see the definition of M) inf.JOa / is finite for each a 2 A. Since for each
a 2 A the functional JOa is lower semicontinuous on .X; / we conclude that
(A1) holds. By Theorem 2.3 we need to verify that (H1) and (H2) hold. (H2)
follows from Proposition 5.15. Therefore it is sufficient to show that (H1) holds.
By Proposition 5.1 it is sufficient to show that (A2)–(A5) are valid. Hypothesis
(A2) follows from Proposition 5.16. Proposition 5.17 implies (A3). Hypothesis
(A4) follows from Lemma 5.19 and Corollary 5.21. Lemma 5.9 implies (A5).
Theorem 5.22 is proved. t
u
Chapter 6
Nonoccurrence of the Lavrentiev Phenomenon
for Variational Problems
Assume that .X; jj jj/ is a Banach space. We denote by mes.˝/ the Lebesgue
measure of a Lebesgue measurable set ˝ R1 and denote by int.E/ the interior of
a set E X in the norm topology. For each x 2 X and each r > 0 set
where N; > 0. Clearly, the space MA with this uniformity is metrizable and
complete. We equip the space MA with the topology induced by this uniformity.
This topology will be called the strong topology of MA . We also equip the set MA
with the uniformity determined by the following base:
where N; > 0. Clearly, the space MA with this uniformity is metrizable and
complete. We equip the space MA with the topology induced by this uniformity.
This topology will be called the weak topology of MA . Denote by LA the set of all
functions f 2 MA which satisfy (A3).
162 6 Nonoccurrence of the Lavrentiev Phenomenon for Variational Problems
Clearly, for each x 2 W 1;1 .a; bI X / and each function f 2 MA the function
f .t; x.t/; x 0 .t//, t 2 Œa; b is Lebesgue measurable.
Now we define the second space of integrands.
Denote by MB the set of all continuous functions f W Œa; b X X ! R1
which satisfy assumptions (B1) and (B2). Clearly, MB MA .
We equip the set MB with the uniformity determined by the following base:
EB .N; / D f.f; g/ 2 MB MB W
jg.t; x; u/ f .t; x; u/j for all .t; x; u/ 2 Œa; b B.N / B.N /g
\f.f; g/ 2 MB MB W j.f g/.t; x1 ; u1 / .f g/.t; x2 ; u2 /j
.jjx1 x2 jj C jju1 u2 jj/
for each t 2 Œa; b and each x1 ; x2 ; u1 ; u2 2 B.N /g; (6.5)
where N; > 0. Clearly, the space MB with this uniformity is metrizable and
complete. We equip the space MB with the topology induced by this uniformity.
Denote by LB the set of all functions f 2 MB which satisfy (B3).
For each f 2 MA and each x 2 W 1;1 .a; bI X / set
Z b
I .x/ D
f
f .t; x.t/; x 0 .t//dt:
a
Since the set H is convex it is easy to see that U f .z1 ; z2 / is finite for each f 2 MA
and each z1 ; z2 2 H . For each r > 0 set
Hr D fx 2 H W B.x; r/ H g: (6.7)
Theorem 6.2. Let f 2 LB and let M; q; be positive numbers. Then there exists
K > 0 such that for each g 2 MB satisfying .f; g/ 2 EB .K; q/, each z1 ; z2 2 H
satisfying jjz1 jj; jjz2 jj M , and each x./ 2 AH .z1 ; z2 / the following assertion
holds:
If mes.ft 2 Œa; b W jjx 0 .t/jj > Kg/ > 0, then there exists y 2 AH .z1 ; z2 / such
that I g .y/ < I g .x/ and jjy 0 .t/jj K for almost every t 2 Œa; b:
Theorem 6.2 will be proved in Sect. 6.3. The next result follows easily from
Theorem 6.2.
Corollary 6.3. Let f 2 LB and let M; be positive numbers. Then there is K > 0
such that if g W Œa; b X X ! R1 is a continuous bounded from below function
which satisfies (B2), then there exists 0 > 0 such that for each 2 .0; 0 , each
z1 ; z2 2 H satisfying jjz1 jj; jz2 jj M , and each x./ 2 AH .z1 ; z2 / the following
assertion holds:
If mes.ft 2 Œa; b W jjx 0 .t/jj > Kg/ > 0, then there exists y 2 AH .z1 ; z2 / such
that jjy 0 .t/jj K for almost every t 2 Œa; b and
Z b Z b
0
.f C g/.t; y.t/; y .t//dt < .f C g/.t; x.t/; x 0 .t//dt:
a a
The next theorem which will be proved in Sect. 6.6 shows nonoccurrence of the
Lavrentiev phenomenon for most elements of MA .
Theorem 6.7. There exists a set FA MA which is a countable intersection of
open (in the weak topology) everywhere dense (in the strong topology) subsets of
MA such that for each f 2 FA and each z1 ; z2 2 int.H /
We will use the following two simple auxiliary results which are proved in a
straightforward manner.
Lemma 6.10. Let f 2 MA and let M; q be positive numbers. Then there is M1 > 0
such that for each g 2 MA satisfying .f; g/ 2 EAw .2M.1 C .b a/1 /; q/ and each
z1 ; z2 2 H satisfying jjz1 jj; jjz2 jj M the inequality U g .z1 ; z2 / M1 holds.
Lemma 6.11. Let f 2 MA and let M; q > 0. Then there is M0 > 0 such
that for each g 2 MA satisfying .f; g/ 2 EAw .2M.1 C .b a/1 /; q/, each
z1 ; z2 2 H satisfying jjz1 jj; jjz2 jj M , and each x 2 AH .z1 ; z2 / satisfying
I g .x/ U g .z1 ; z2 / C 1 the inequality jjx.t/jj M0 holds for all t 2 Œa; b.
We use the following auxiliary result proved in [97].
Lemma 6.12. Let f 2 LA and let ; M be positive numbers. Then there exist
and
f .t; x1 ; u/ f .t; x2 ; u/ .1 0 /1 f .t; x1 ; u/: (6.13)
Combined with (6.11), (6.12), and (6.10) the inequality (6.13) implies that
It is not difficult to see that Theorem 6.2 easily follows from Theorem 6.13.
Proof of Theorem 6.13. Let f 2 LB and let M; q; > 0. We may assume that
U g .z1 ; z2 / M1 (6.15)
By (B3) there are ı0 ; L0 > 0 and an integrable scalar function 0 .t/ 0, t 2 Œa; b
such that for each t 2 Œa; b, each u 2 X , and each x1 ; x2 2 B.M0 C 4/ satisfying
jjx1 x2 jj ı0 the inequality
Set
In view of (B2),
0 is a finite number. It follows from assumption (B2) that there is
L1 > 1 such that for each t 2 Œa; b and each x1 ; x2 ; u1 ; u2 2 B.K0 C M0 C 2/ the
following inequality holds:
Assume that
In view of (6.28), (6.26), and the choice of M1 the inequality (6.15) is true.
Combined with (6.30) the inequality (6.15) implies that
I g .x/ M1 C 1: (6.31)
Set
d > 0: (6.35)
Now we estimate mes.E2 /. It follows from (6.33), (6.19), (6.31), and assumption
(B1) that
Z Z
jjx 0 .t/jjdt 0 .jjx 0 .t/jj/dt
E1 [E3 E1 [E3
Z b
0 .jjx 0 .t/jjdt 0 I g .x/ 0 .M1 C 1/: (6.37)
a
Set
D 6d1 : (6.41)
In view of (6.41), (6.36), and (6.23)
Set
Z Z
0 1
h1 D x .t/dt C .b a/ mes.E1 [ E3 /.z2 z1 / C .1 / x 0 .t/dt:
E3 E1
(6.43)
6.3 Proof of Theorem 6.2 169
Clearly,
u 2 W 1;1 .a; bI X /; u.a/ D z1 : (6.46)
It follows from (6.33), (6.44), (6.43), and (6.29) that
Z b 3 Z
X Z Z
.t/dt D .t/dt D x 0 .t/dt C Œ.1 /x 0 .t/
a i D1 Ei E3 E2
u.b/ D z2 : (6.48)
It follows from (6.45), (6.44), (6.33), (6.28), (6.40), (6.41), and (6.49) that for almost
every t 2 E2
jjx 0 .t/ u0 .t/jj D jjx 0 .t/ .t/jj jjx 0 .t/jj C .b a/1 jjz2 z1 jj
By (6.29), (6.45), (6.33), (6.44), (6.34), and (6.51) for all s 2 Œa; b
Z s
jjx.s/ u.s/jj D
Œx 0
.t/ .t/dt
a
3 Z
X Z
Œx .t/ .t/dt
0
jjx 0 .t/jjdt
i D1 Œa;s\Ei E1
Z
C
Œx 0 .t/ .t/dt
Œa;s\E2
Z Z
D z1 C .1 / x 0 .t/dt C .s a/.b a/1 .z2 z1 / .1 / x 0 .t/dt
Œa;s Œa;s\E1
Z
C x 0 .t/dt .b a/1 .mes.Œa; s n E2 //.z2 z1 /
E3 \Œa;s
Now we estimate jjjj. In view of (6.55), (6.42), (6.38), (6.33), (6.28), (6.34),
and (6.37)
Z Z
jjjj jjx 0 .t/jjdt C jjx 0 .t/jjdt
E1 E3 \Œa;s
It follows from this inequality, (6.56), and (6.57) that u.s/ 2 H: Thus we have
shown that u.s/ 2 H for all s 2 Œa; b: Together with (6.46) and (6.48) this inclusion
implies that
u 2 AH .z1 ; z2 /: (6.58)
172 6 Nonoccurrence of the Lavrentiev Phenomenon for Variational Problems
Combined with (6.45), (6.44), (6.33), and (6.26) this inequality implies that
3 Z
X
I g .u/ I g .x/ D Œg.t; u.t/; u0 .t// g.t; x.t/; x 0 .t//dt: (6.62)
i D1 Ei
In view of (6.45), (6.44), (6.61), (6.28), (6.26), and (6.21) for almost every t 2 E1
Together with (6.63) this inequality implies that for almost every t 2 E1
By (6.61), (6.32), (6.33), (6.59), and the choice of L1 (see (6.22)) for almost every
t 2 E2
jf .t; x.t/; x 0 .t// f .t; u.t/; u0 .t//j L1 .jjx.t/ u.t/jj C jjx 0 .t/ u0 .t/jj/:
By this inequality, (6.32), (6.61), (6.33), (6.59), (6.28), and (6.26) for almost every
t 2 E2
jg.t; x.t/; x 0 .t// g.t; u.t/; u0 .t//j jf .t; x.t/; x 0 .t// f .t; u.t/; u0 .t//j
Cj.g f /.t; x.t/; x 0 .t// .g f /.t; u.t/; u0 .t//j
6.3 Proof of Theorem 6.2 173
Combined with (6.54) and (6.53) this inequality implies that for almost every t 2 E2
By (6.45), (6.44), (6.42), (6.61), (6.66), and the choice of ı0 , L0 (see (6.17)) for
almost every t 2 E3
jf .t; x.t/; x 0 .t// f .t; u.t/; u0 .t//j D jf .t; x.t/; x 0 .t// f .t; u.t/; x 0 .t//j
jjx.t/ u.t/jjL0 .f .t; x.t/; x 0 .t// C 0 .t//: (6.67)
It follows from (6.28), (6.32), (6.33), and (6.26) that for almost every t 2 E3
By (6.45), (6.44), (6.33), (6.32), (6.61), (6.26), and (6.28) for almost every t 2 E3
Combined with (6.67) and (6.68) this inequality implies that for almost every t 2 E3
jg.t; x.t/; x 0 .t// g.t; u.t/; u0 .t//j jf .t; x.t/; x 0 .t// f .t; u.t/; u0 .t//j
Cj.g f /.t; x.t/; x 0 .t// .g f /.t; u.t/; u0 .t//j
jjx.t/ u.t/jjL0 .f .t; x.t/; x 0 .t// C 0 .t// C qjjx.t/ u.t/jj
0
jjx.t/ u.t/jjŒq C L0 .f .t; x.t/; x .t// C 0 .t//
Together with (6.54) this inequality implies that for almost every t 2 E3
jg.t; x.t/; x 0 .t// g.t; u.t/; u0 .t//j 1 d Œq C L0 .g.t; x.t/; x 0 .t// C q C 0 .t//:
It follows from (B1), (6.33), and (6.27) that for almost every t 2 E1
Z Z
g.t; x.t/; x 0 .t//dt 11 jjx 0 .t/jjdt 11 d: (6.70)
E1 E1
The validity of Theorem 6.13 now follows from (6.58), (6.60), (6.34), (6.71), (6.54),
(6.53), and (6.50). t
u
6.4 An Auxiliary Result for Theorem 6.7 175
Proposition 6.14. Let f 2 LA and let M; ; be positive numbers. Then there exist
a neighborhood U of f in MA with the weak topology and K > 0 such that for each
g 2 U and each z1 ; z2 2 H satisfying jjz1 jj; jjz2 jj M there is x./ 2 AH .z1 ; z2 /
such that jjx 0 .t/jj K for almost every t 2 Œa; b and I g .x/ U g .z1 ; z2 / C :
Proof. We may assume without loss of generality that
U g .z1 ; z2 / M0 (6.73)
such that for each t 2 Œa; b, each y 2 X satisfying jjyjj N0 , and each x1 ; x2 2 X
satisfying
jjx1 jj; jjx2 jj M1 C 2; jjx1 x2 jj ı0 (6.80)
the following inequality holds:
Set
Set
U D fg 2 MA W .f; g/ 2 EAw .K C 1;
/g: (6.92)
Assume that
g 2 U; z1 ; z2 2 H \ B.M /: (6.93)
In order to prove the proposition it is sufficient to show that there is vN 2 AH .z1 ; z2 /
such that jjNv0 .t/jj K for almost every t 2 Œa; b and I g .Nv/ U g .z1 ; z2 / C :
There is
v 2 AH .z1 ; z2 / (6.94)
such that
I g .v/ U g .z1 ; z2 / C =4: (6.95)
We may assume without loss of generality that
By (6.93), (6.92), (6.91), (6.89), and the choice of M0 , relation (6.73) is true.
It follows from (6.73) and (6.95) that
I g .v/ M0 C 1: (6.97)
By (6.93), (6.92), (6.91), (6.89), (6.95), and the choice of M1 (see (6.74))
Set
Put Z
d D jjv0 .t/jjdt: (6.100)
E1
d > 0: (6.101)
It follows from (6.100), (6.99), (6.90), assumption (A1), and (6.97) that
Z Z
dD jjv0 .t/jjdt 1 .jjv0 .t/jj/dt
E1 E1
Z b
1 .jjv0 .t/jj/dt 1 I g .v/ 1 .M0 C 1/: (6.102)
a
Now we estimate mes.E2 /. Relations (6.99), (6.79), (6.78), (6.97), and assumption
(A1) imply that
Z Z
0
jjv .t/jjdt 0 .jjv0 .t/jj/dt
E1 [E3 E1 [E3
Z b
0 .jjv0 .t/jj/dt 0 I g .v/ 0 .M0 C 1/: (6.103)
a
Set
D 6d1 : (6.107)
By (6.107), (6.102), and (6.87)
Set
Z Z
h1 D v0 .t/dt C .b a/1 .mes.E1 [ E3 //.z2 z1 / C .1 / v0 .t/dt:
E3 E1
(6.109)
Define a measurable function W Œa; b ! X by
Clearly,
u 2 W 1;1 .a; bI X /; u.a/ D z1 : (6.112)
Arguing as in the proof of Theorem 6.13 (see (6.57)) we obtain that rela-
tions (6.99), (6.110), (6.109), and (6.94) imply that
Z b
.t/dt D z2 z1 : (6.113)
a
u.b/ D z2 : (6.114)
Arguing as in the proof of Theorem 6.13 (see (6.49)) we can show that
relations (6.109), (6.108), (6.103), (6.104), (6.93), (6.100), (6.107), and (6.77)
imply that
jjh1 jj < 2d: (6.115)
In view of (6.111) and (6.110) for almost every t 2 E3
Arguing as in the proof of Theorem 6.13 (see (6.55)–(6.58)) we can show that
u 2 AH .z1 ; z2 /: (6.120)
Combined with (6.89), (6.111), (6.110), and (6.99) this inequality implies that
3 Z
X
I g .u/ I g .v/ D Œg.t; u.t/; u0 .t// g.t; v.t/; v0 .t//dt: (6.124)
i D1 Ei
It follows from (6.122), (6.123), (6.99), (6.92), and (6.93) that for almost every
t 2 Œa; b
jg.t; u.t/; u0 .t// f .t; u.t/; u0 .t//j
: (6.125)
By (A1), (6.99), (6.90), and (6.89) g.t; v.t/; v0 .t// .jjv0 .t/jj/ jjv0 .t/jj K >
M2 C 4 for almost every t 2 E1 . Combined with (6.126) this inequality implies that
Z
Œg.t; u.t/; u0 .t// g.t; v.t/; v0 .t//dt 0: (6.127)
E1
It follows from (6.128), (6.129), (6.121), (6.99), (6.123), (6.98), and the choice of
ı1 (see (6.84)) that
for almost every t 2 E2 . By (6.98), (6.99), (6.89), (6.93), and (6.92) for almost
every t 2 E2 [ E3
Together with (6.130) and (6.125) this inequality implies that for almost every t2E2
jg.t; u.t/; u0 .t// g.t; v.t/; v0 .t//j jf .t; u.t/; u0 .t// f .t; v.t/; v0 .t//j
Cj.g f /.t; u.t/; u0 .t//j C j.g f /.t; v.t/; v0 .t//j .32.b a C 1//1 C 2
:
It follows from (6.111), (6.110), (6.99), (6.123), (6.98), (6.129), (6.83), and the
choice of ı0 , N0 (see (6.79)–(6.81)) that for almost every t 2 E3
Combined with (6.131), (6.125), (6.75), and (6.72) this inequality implies that for
almost every t 2 E3
6.5 Proof of Proposition 6.4 181
Together with (6.124), (6.127), and (6.132) this inequality implies that I g .u/
I g .v/ =2: Combined with (6.95) this inequality implies that
The validity of the proposition now follows from this inequality, (6.120),
and (6.122). t
u
In this section we prove the following result which implies Proposition 6.4.
Proposition 6.15. Let f 2 MA and ; N be positive numbers. Then there is g 2
LA such that
.f; g/ 2 EAs .N; /;
if f 2 MB , then g 2 LB and for each M > 0 there is L > 0 such that jg.t; x1 ; u/
g.t; x2 ; u/j Ljjx1 x2 jj for each t 2 Œ0; 1/, each u 2 X , and each x1 ; x2 2
B.M /:
In the proof of Proposition 6.15 we use the following simple auxiliary result
which is proved in a straightforward manner.
Lemma 6.16. Let f1 ; f2 W Œa; b X X ! Œ0; 1/ be continuous functions. The
the following assertions hold.
1. If (A2) holds with f D fi , i D 1; 2, then (A2) holds with f D f1 C f2 and with
f D f1 f2 .
2. If (B2) holds with f D fi , i D 1; 2, then (B2) holds with f D f1 C f2 and with
f D f1 f2 .
Proof of Proposition 6.15. Consider a function Q W Œ0; 1/ ! Œ0; 1/ such that for
each integer i 0,
Q / D .i C1/; .˛i
.i Q Q /C.1˛/ .i
C.1˛/.i C1// D ˛ .i Q C1/ for all ˛ 2 Œ0; 1:
182 6 Nonoccurrence of the Lavrentiev Phenomenon for Variational Problems
Thus (A1) holds for g. It is not difficult to see that (B2) holds for each of the
following functions: .t; x; u/ ! .jjxjj/; .t; x; u/ ! .jjujj/; .t; x; u/ !
Q
jjxjj; .t; x; u/ ! .jjujj/; .t; x; u/ ! .jjujj/; .t; x; u/ 2 Œa; b X X: Together
with Lemma 6.16 and the definition of g this implies that (A2) holds for g and if
f satisfies (B2), then (B2) holds for g. Clearly, (A3) holds with f D g. We have
already shown that g 2 LA . Evidently, .f; g/ 2 EAs .N; /.
Assume that f 2 MB . We have already shown that g 2 MB . Let M > 0. Since
(B2) holds with f D g there is an L > 0 such that for each t 2 Œa; b and each
x1 ; x2 ; u1 ; u2 2 B.M CN C4/ the inequality jg.t; x1 ; u1 /g.t; x2 ; u2 /j L.jjx1
x2 jj C jju1 u2 jj/ holds. Assume that t 2 Œa; b; x1 ; x2 2 B.M /; u 2 X: There
are two cases: jjujj N C 4; jjujj < N C 4: Assume that jjujj N C 4. By this
inequality, the definition of g, and the definition of , jg.t; x1 ; u/ g.t; x2 ; u/j D
jjjx1 jj jjx2 jjj jjx1 x2 jj: Assume that jjujj < N C 4. Then it follows from this
inequality and the choice of L that jg.t; x1 ; u/ g.t; x2 ; u/j Ljjx1 x2 jj: Clearly,
in both cases jg.t; x1 ; u/ g.t; x2 ; u/j .L C 1/jjx1 x2 jj: This completes the
proof of Proposition 6.15. t
u
jjx 0 .t/jj K.fm ; m/ for almost every t 2 Œa; b; I g .x/ U g .z1 ; z2 / C 1=m:
Choose a natural number m such that m > maxfM; 1=; 4qg: In view of (6.137)
and the definition of FB there is fm 2 LB such that g 2 U.fm ; m/:
Assume that
184 6 Nonoccurrence of the Lavrentiev Phenomenon for Variational Problems
It follows from the choice of fm , (6.138), (6.136), and the choice of m that
By (6.141), the choice of f and (6.140), .h; f / 2 EB .K.f /; 3q/: It follows from
this inclusion, property (P3), (6.141) and (6.142) that there is y 2 AH .z1 ; z2 / such
that I h .y/ < I h .x/ and jjy 0 .t/jj K.f / for almost every t 2 Œa; b: Theorem 6.5
is proved. t
u
6.7 Proofs of Theorems 6.8 and 6.9 185
for each t 2 Œa; b, each u 2 X satisfying jjujj n and each x1 ; x2 2 B.N /
satisfying jjx1 x2 jj 1=n.
It is not difficult to see that
LA D \1 1 .A/
N D1 [nD1 LN;n : (6.144)
.B/
For each pair of natural numbers N; n denote by LN;n the set of all functions f 2
MB for which there exists f 2 Œa; b such that
N .f / n: (6.148)
Assume that
u 2 X; x1 ; x2 2 B.N /; jjx1 x2 jj 1=n: (6.149)
By (6.149) and (6.147) jjx1 x2 jj < ı. It follows from this inequality, (6.149),
and the choice of ı; L; N that (6.146) is true for all t 2 Œa; b. Rela-
tions (6.146), (6.147), and (6.148) imply that
Q
.t/ .t/ for all t 0;
Q is a Lipschitzian function on all bounded subsets of Œ0; 1/: (6.150)
and define
C.1 Q
p .jjxjj/ p .jjujj// .jjujj/.njjxjj C 1/; .t; x; u/ 2 Œa; b X X:
(6.152)
Q
fp;n .t; xi ; u/ D .jjujj/.njjxi jj C 1/;
Q
fp;n .t; x1 ; u/ fp;n .t; x2 ; u/ D .jjujj/n.jjx1 jj jjx2 jj/:
The validity of Lemma 6.18 easily follows from (6.151), (6.152), and Lemma 6.16.
Fix a natural number q0 such that
Set
GA D \1
qDq0 [ fV .f; p/ W f 2 MA and an integer p qg; (6.156)
GB D \1
qDq0 [ fW .f; p/ W f 2 MB and an integer p qg: (6.157)
for each t 2 Œa; b, each x1 ; x2 2 B.8/ satisfying jjx1 x2 jj 1=n, and each u 2 X
satisfying jjujj n.
Assume that g 2 GA . By (6.156) there exist an integer p n C q0 and f 2 MA
such that
g 2 V .f; p/: (6.160)
Set x1 D 0 and fix
Q
jfp;p .t; 0; u/ fp;p .t; x2 ; u/j D .jjujj/pjjx Q
2 jj D .jjujj/: (6.163)
jg.t; 0; u/ fp;p .t; 0; u/j; jg.t; x2 ; u/ fp;p .t; x2 ; u/j .p/=32 .jjujj/=32:
(6.164)
Relations (6.164), (6.163), and (6.150) imply that
188 6 Nonoccurrence of the Lavrentiev Phenomenon for Variational Problems
Q
jg.t; 0; u/ g.t; x2 ; u/j .jjujj/.1 1=16/: (6.165)
maxfg.t; 0; u/; g.t; x2 ; u/g maxffp;p .t; 0; u/; fp;p .t; x2 ; u/g C .jjujj/=32
Q
maxf .jjujj/; Q
.jjujj/.pjjx2 jj C 1/g C .jjujj/=32
Q
D 2 .jjujj/ Q
C .jjujj/=32 .jjujj/.2 C 1=32/:
Q C 2/
On the other hand in view of (6.150), (6.153), and the choice of p, .p
.p C 2/ .n C q0 / > 0: The contradiction we have reached proves that g 62 GA
and LA \ GA D ;: This completes the proof of Theorem 6.8. t
u
Now assume that g 2 LB . We show that g 62 GB . Let us assume the contrary.
Then
g 2 GB : (6.166)
.B/
By Lemma 6.17 there is a natural number n such that g 2 L1;n . It follows from
.B/
this inclusion and the definition of L1;n (see (6.145)) that there exists 0 2 Œa; b
such that
Q
jfp;p .0 ; 0; u/ fp;p .0 ; x2 ; u/j D .jjujj/pjjx Q
2 jj D .jjujj/: (6.172)
In this section we ask if it is possible to combine the results of Chaps. 2 and 3 with
the results established in the previous sections of this chapter and obtain that for
most integrands in the space MB the corresponding variational problems have a
unique solution and this solution is Lipschitzian.
It turns out that the situation is not so simple as it looks at the first sight and the
generic existence of a Lipschitzian solution cannot be obtained immediately. The
problem is that in Chaps. 2 and 3 the space MB was not considered. Moreover,
the convergence in the topological space MB is convergence on bounded subsets
of Œa; b X X while the convergence in the spaces studied in Chaps. 2 and 3 is
convergence on the whole space Œa; b X X . So we need to adapt the ideas and
methods of Chaps. 2 and 3 to the topological space MB .
In Sect. 6.1 it was mentioned that the uniform space MB is metrizable (by a
metric d .) We equip the set W 1;1 .a; bI X / with the metric defined by
for all x1 ; x2 ; u1 ; u2 2 X and any t 2 Œa; b, and there exists xN 2 A such that the
function fN defined by fN.t; x; u/ D f .t; x; u/ C h.t; x; u/; .t; x; u/ 2 Œa; b X X
belongs to L0 MB and has the following property:
N N
For each y 2 A satisfying I f .y/ inf.I f I A/C2ı. /r the inequality .x; N y/
is valid.
In the sequel for any 2 .0; 1/ let ı. / 2 .0; 1/ be as guaranteed by
Proposition 6.20. We will verify (H1). Let f 2 MB and let ; > 0. By
Proposition 6.15 there is f0 2 L0 such that
xN 2 AH .z1 ; z2 / (6.181)
fN 2 L0 LB : (6.183)
192 6 Nonoccurrence of the Lavrentiev Phenomenon for Variational Problems
In view of (6.182), (6.179), and (6.177) d.f0 ; fN/ < =4: Together with (6.176) this
inequality implies that
d.f; fN/ < =2: (6.184)
Set
M0 D maxfjjz1 jj; jjz2 jjg: (6.185)
By Lemma 6.10 there exist a number M1 > 0 and an open neighborhood W1 of fN
in MB such that
U g .z1 ; z2 / M1 for each g 2 W1 : (6.186)
Lemma 6.11 implies that there exist a number M2 > 0 and an open neighborhood
W2 of fN in MB such that for each g 2 W2 and each x 2 AH .z1 ; z2 / satisfying
I g .x/ inf.I g / C 1 the following inequality holds:
It follows from Theorem 6.13 and (6.183) that there exist K;
> 0 and an open
neighborhood W3 of fN in MB such that the following property holds:
(P5) If
g 2 W3 ; x 2 AH .z1 ; z2 /; I g .x/ inf.I g / C 1 (6.188)
and the set
E WD ft 2 Œa; b W jjx 0 .t/jj Kg (6.189)
has a positive Lebesgue measure, then there exists y 2 AH .z1 ; z2 / such that
Set
W D W 1 \ W 2 \ W 3 \ W4 : (6.196)
6.8 Generic Existence of Lipschitzian Solutions 193
N
j inf.I g / inf.I f /j =8 for all g 2 W: (6.197)
Assume that
Q I g1 .y/;
I g1 .y/ (6.199)
0
jjyQ .t/jj K for almost every t 2 Œa; b: (6.200)
jjy.t/jj
Q M2 for all t 2 Œa; b: (6.201)
It follows from (6.198), (6.196), (6.195), (6.200), (6.201), and (6.199) that for
almost every t 2 Œa; b
Set
E D ft 2 Œa; b W jjy 0 .t/jj Kg: (6.203)
There are two cases: (1) mes .E/ D 0; (2) mes.E/ > 0. In the first case set yQ D y.
In the second cases it follows from (6.202), (6.196), (6.194), the choice of K;
; W3 ,
and property (P5) that there is yQ 2 AH .z1 ; z2 / such that
Z
jjy.t/
Q y.t/jj
jjy 0 .t/jjdt for all t 2 Œa; b; (6.206)
E
Z
0 0
jjyQ .t/ y .t/jj
jjy 0 .t/jjdt for almost every t 2 Œa; b n E: (6.207)
E
In the second case it follows from (6.206), (6.207), and (6.208) that
inf.I g / I g .y/
Q I g .y/ inf.I g / C (6.211)
and
jI g .y/
Q inf.I g /j : (6.212)
In view of the choice of M2 , W2 (see (6.187)), (6.202), (6.196), (6.211), and (6.194)
jjy.t/jj
Q M2 ; t 2 Œa; b: (6.213)
By (6.213), (6.204) (which hold in both cases), (6.202), (6.196), and (6.195)
jfN.t; y.t/;
Q yQ 0 .t// g.t; y.t/;
Q yQ 0 .t//j .16.b a C 1//1
N
Q I g .y/j
jI f .y/ Q 161 : (6.214)
N y/ .x;
.x; N y/ Q y/ 0 C M01 .3
C K/1 < =4 C =4 D =2:
Q C .y;
(6.216)
fN
In view of (6.202), (6.197), and (6.194) jI g .y/ inf.I /j D jI g .y/ inf.I g /j C
N
j inf.I g / inf.I f /j C =8 < : Thus we have shown that (H1) holds.
Theorem 6.19 is proved. t
u
Chapter 7
Nonoccurrence of the Lavrentiev Phenomenon
in Optimal Control
We use the following definitions and notation. For each t 2 R1 set exp.t/ D e t .
For each function h W Z ! R1 [ f1g, where Z is nonempty, and each nonempty
subset Y Z set
x 2 W 1;1 .T1 ; T2 I E/
u .t/ 2 U.t/; t 2 ŒT1 ; T2 a.e. and jju .t/jj N ; t 2 ŒT1 ; T2 a.e. (7.5)
For each D 2 D.E/ denote by X.G; D/ the set of all pairs .x; u/ 2 X such that
For each D 2 D.E/ denote by XL .G; D/ the set of all .x; u/ 2 X.G; D/ such that
jju.t/jj Mu for t 2 ŒT1 ; T2 a.e. where Mu is a positive constant depending on u.
In this chapter we study the nonoccurrence of the Lavrentiev phenomenon for
the following optimal control problem:
Z T2
f .t; x.t/; u.t//dt ! min; .x; u/ 2 X.G; D/; (P )
T1
where D 2 D.E/ and f belongs to one of the two complete metric spaces of
integrands MA and MB which will be described below.
Now we define the spaces of integrands MA and MB considered in the chapter.
Let 0 .t/, 1 .t/, t 2 ŒT1 ; T2 be integrable scalar nonnegative functions and let
c1 ; c2 be positive constants.
7.1 Preliminaries, Assumptions, and Main Results 199
f .t; y; v/ c1 jjG.t; y; v/jj0 .t/ for all .t; y; v/2ŒT1 ; T2 EF; (7.7)
f .t; y; v/ c2 .jjvjj/ 1 .t/ for all .t; y; v/ 2 ŒT1 ; T2 E F: (7.8)
where N; > 0. Clearly the space MA with this uniformity is metrizable and
complete. We equip the space MA with the topology induced by this uniformity.
This topology will be called the strong topology of MA .
We also equip the set MA with the uniformity determined by the base
where N; > 0. We equip the space MA with the topology induced by this
uniformity. This topology will be called the weak topology of MA .
Denote by MlA (respectively, McA ) the set of all lower semicontinuous (respec-
tively, continuous) functions f in MA . Clearly MlA , McA are closed subsets of MA
with the strong topology.
We equip the topological subspaces MlA ; McA MA with the relative weak and
strong topologies.
200 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
For each f 2 MA and each D 2 D.E/ we study the optimal control problem
where N; > 0. Clearly, the space MB with this uniformity is metrizable and
complete. We equip the space MB with the topology induced by this uniformity.
This topology will be called the strong topology of MB .
We also equip the set MB with the uniformity determined by the base
where N; > 0.
We equip the space MB with the topology induced by this uniformity. This
topology will be called the weak topology of MB . Denote by MaB the set of
all functions f 2 MB such that for almost every t 2 ŒT1 ; T2 the function
f .t; ; / W EF ! R1 is lower semicontinuous. Denote by MlB (respectively, McB )
the set of all lower semicontinuous (respectively, continuous) functions f 2 MB .
Clearly, MaB , MlB , and McB are closed subsets of MB with the strong topology.
We equip the topological subspaces MaB , MlB ; McB MB with the relative
weak and strong topologies.
Remark 7.1. If 1 .t/ D c3 , t 2 ŒT1 ; T2 , then MB MA .
For each M > 0 denote by DM .E/ the collection of all nonempty subsets D
E such that D BE .M /.
Let f 2 MB and M be a positive number. We say that the integrand f possesses
the .M /-strong Lipschitz regularity property, or briefly .M /-(SLR) property, if there
exists K > 0 such that for each g 2 MB satisfying .f; g/ 2 EBw .K; M /, each
D 2 DM .E/, and each .x; u/ 2 X.G; D/ satisfying mes.ft 2 ŒT1 ; T2 W jju.t/jj >
Kg/ > 0 there exists .y; v/ 2 X.G; D/ such that I g .y; v/ < I g .x; u/ and jjv.t/jj
K for almost every t 2 ŒT1 ; T2 .
Let f 2 MB . We say that the integrand f possesses the strong Lipschitz
regularity property, or briefly (SLR) property, if for any positive number M the
integrand f possesses the .M /-strong Lipschitz regularity property.
It is clear that if an integrand f 2 MB possesses the (SLR) property, D 2
D.E/ and .x; u/ 2 X.G; D/ is a minimizer of the problem (P), then there is a
positive number K > 0 such that jju.t/jj K for almost every t 2 ŒT1 ; T2 . It is
also clear that if an integrand f 2 MB possesses the (SLR) property and D 2
D.E/, then there exist K > 0 and a minimizing sequence of trajectory-control pairs
f.xn ; un /g1
nD1 for the problem (P) such that jjun .t/jj K for each natural number
n and almost every t 2 ŒT1 ; T2 . We will show (see Theorem 7.9) that the (SLR)
property is generic in the space MB .
202 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
Note that assumptions (A1)–(A4) and (B1)–(B4) are not very restrictive. They
are common in the literature and the spaces MA and MB contain many integrands.
Therefore it is natural to ask a question if the Lavrentiev phenomenon does not
occur for many integrands in MA and if the (SLR) property holds for many
integrands in MB . Our first goal is to find conditions on an integrand f 2 MB
(respectively, f 2 MA ) which imply the (SLR) property or the .M /-(SLR) property
(respectively, nonoccurrence of the Lavrentiev phenomenon). This goal is achieved
by Theorems 7.4–7.7. Our second goal is to show nonoccurrence of the Lavrentiev
phenomenon for most integrands in MA and that most integrands in MB possess
the (SLR) property. It is achieved by Theorems 7.8–7.10. In order to meet these
goals we introduce the following subspaces of integrands.
Let M > 0. Denote by LA;M the set of all functions f 2 MA which satisfy the
following assumption.
(A5) There exist M0 ; M1 ; M2 > 0 and an integrable scalar nonnegative function
.t/, t 2 ŒT1 ; T2 which depend only on f and M such that
(i) For each D 2 DM .E/ and each .x; u/ 2 X.G; D/ which satisfies jju.t/jj
M C N for almost every t 2 ŒT1 ; T2 the inequality jjx.t/jj M0 holds for
all t 2 ŒT1 ; T2
(ii) For almost every t 2 ŒT1 ; T2 the inequality f .t; x; u/ M1 holds for each
x 2 BE .M C M0 C N / and each u 2 BF .M C M0 C N /
(iii) For each g 2 MA , each D 2 DM .E/, and each .x; u/ 2 X.G; D/ satisfying
I g .x; u/ .M C M1 /.T2 T1 / C 1 the inequality jjx.t/jj M2 holds for all
t 2 ŒT1 ; T2
(iv) For each > 0 there exist
; ı > 0 such that for almost every t 2 ŒT1 ; T2 the
inequality
Remark 7.2. The existence of M0 in (A5)(i) follows from Lemma 7.13. The ex-
istence of M1 in (A5)(ii) follows from (A2) and the existence of M2 in (A5)(iii)
follows from Lemma 7.15.
Let M > 0. Denote by LB;M the set of all functions f 2 MB which satisfy the
following assumption.
(B5) There exist positive numbers M0 ; M1 ; M2 ; L; ı, and an integrable scalar
nonnegative function .t/, t 2 ŒT1 ; T2 which depend only on f and M such that
(i) For each D 2 DM .E/ and each .x; u/ 2 X.G; D/ which satisfies jju.t/jj
M C N for almost every t 2 ŒT1 ; T2 the inequality jjx.t/jj M0 holds for
all t 2 ŒT1 ; T2
(ii) For almost every t 2 ŒT1 ; T2 the inequality f .t; x; u/ M1 holds for each
x 2 BE .M C M0 C N / and each u 2 BF .M C M0 C N /
7.1 Preliminaries, Assumptions, and Main Results 203
(iii) For each g 2 MB , each D 2 DM .E/, and each .x; u/ 2 X.G; D/ satisfying
I g .x; u/ .M C M1 /.T2 T1 / C 1 the inequality jjx.t/jj M2 holds for all
t 2 ŒT1 ; T2
(iv) For almost every t 2 ŒT1 ; T2 the inequality
is valid for each x1 ; x2 2 BE .q/ satisfying jjx1 x2 jj ı and each u 2 F satisfying
jjujj
.
Then for each M; > 0 there exist a neighborhood U of f in MA with the
weak topology and K > 0 such that for each g 2 U and each D 2 DM .E/ there
is .x; u/ 2 X.G; D/ such that jju.t/jj K for almost every t 2 ŒT1 ; T2 and
I g .x; u/ inf.I g I X.G; D// C .
Theorem 7.7 implies that if an integrand f 2 MA satisfies assumption (A6),
then the Lavrentiev phenomenon does not occur for f . Theorems 7.6 and 7.7 will
be proved in Sect. 7.4.
Our following generic results (Theorems 7.8–7.10) will be obtained by using
Theorems 7.4 and 7.6 and an auxiliary density result which will be obtained in
Sect. 7.5. They will be proved in Sect. 7.6.
Theorem 7.8. Let M be a positive number. Then there exists an open (in the weak
topology) everywhere dense (in the strong topology) subset F MB such that each
f 2 F possesses the .M /-strong Lipschitz regularity property.
Moreover, F \ MaB (respectively, F \ MlB , F \ McB ) contains an open
(in the weak topology) everywhere dense (in the strong topology) subset of MaB
(respectively, MlB , McB ).
Theorem 7.9. There exists a subset FB MB which is a countable intersection
of open (in the weak topology) everywhere dense (in the strong topology) subsets of
MB such that each f 2 FB possesses the strong Lipschitz regularity property.
Moreover, FB \ MaB (respectively, FB \ MlB , F \ McB ) contains a countable
intersection of open (in the weak topology) everywhere dense (in the strong
topology) subsets of MaB (respectively, MlB , McB ).
Theorem 7.10. There exists a subset FA MA which is a countable intersection
of open (in the weak topology) everywhere dense (in the strong topology) subsets of
MA such that for each f 2 FA the Lavrentiev phenomenon does not occur.
Moreover, FA \ MlA (respectively, FA \ McA ) contains a countable intersection
of open (in the weak topology) everywhere dense (in the strong topology) subsets of
MlA (respectively, McA ).
Note that all the results presented in this chapter were obtained in [100].
Section 7.7 contains examples of integrands for which the Lavrentiev
phenomenon does not occur and examples of integrands possessing the (SLR)
property.
Sarychev [78] constructed a large class of integrands which exhibit the
Lavrentiev phenomenon. This class includes the famous example of Ball and
Mizel [9]. By Theorem 7.7 the Lavrentiev phenomenon does not occur for any
integrand f 2 MA which satisfies assumption (A6). In Sect. 7.8 we consider the
class of integrands studied in [78] and show that these integrands do not satisfy
assumption (A6).
7.2 Auxiliary Results 205
Denote by ˝ the set of all S 2 .T1 ; T2 such that there exists y 2 W 1;1 .T1 ; S I E/
which satisfies
We show that there exists limt !S0 y.t/ in the norm topology of E. Let T1 <
S0 . It follows from (7.20), (7.3), (7.16), (7.18), and the monotonicity of that
Z Z
jjy./jj jjy0 jj C jjG.t; y.t/; u.t//jjdt jjy0 jj C jjG.t; 0; u.t//jjdt
T1 T1
Z Z
C jjG.t; y.t/; u.t// G.t; 0; u.t//jjdt jjy0 jj C jjG.t; 0; u.t//jjdt
T1 T1
Z Z
C c0 jjy.t/jj .jju.t/jj/dt jjy0 jj C jjG.t; 0; u.t//jjdt
T1 T1
Z Z T2
C c0 jjy.t/jj .M0 /dt jjy0 jj C jjG.t; 0; u.t//jjdt
T1 T1
Z
Cc0 .M0 / jjy.t/jjdt:
T1
206 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
Therefore there exists limt !S0 y.t/ in the norm topology which is denoted by
y.S0 /.
It follows from (7.3), (7.21), the monotonicity of , (7.18), and (7.21) that
Z S0 Z S0 Z S0
jjG.t; y.t/; u.t//jjdt jjG.t; 0; u.t//jjdt C c0 jjy.t/jj .jju.t/jj/dt
T1 T1 T1
Z S0 Z S0
jjG.t; 0; u.t//jjdt C c0 .M0 / jjy.t/jjdt < 1:
T1 T1
Together with (7.20) and the equality y.S0 / D lim !S0 y./ this inequality
implies that
y 2 W 1;1 .T1 ; S0 I E/: (7.22)
and let
Z T2
jju.t/jjdt < 1; M0 > N ; ˝ D ft 2 ŒT1 ; T2 W jju.t/jj > M0 g: (7.24)
T1
Assume that
jjy./ x./jj
Z Z T2
2c0 .supfjjx.s/jj W s 2 ŒT1 ; T2 g/ jju.t/jjdt exp c0 .jjv.t/jj/dt :
˝ T1
Proof. Set
Let 2 .T1 ; T2 . It follows from (7.23), (7.26), (7.3), (7.25), (7.24), (7.4), the
monotonicity of , (7.5), (7.27), and (7.28) that
Z Z
jjy./ x./jj D G.t; y.t/; v.t//dt G.t; x.t/; u.t//
T1 T1
Z
jjG.t; y.t/; v.t// G.t; x.t/; v.t//jjdt
T1
Z
C jjG.t; x.t/; v.t// G.t; x.t/; u.t//jjdt
T1
Z Z
c0 jjy.t/ x.t/jj .jjv.t/jj/dt C c0 jju.t/ v.t/jj .jjx.t/jj/dt
T1 T1
208 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
Z Z
c0 jjy.t/ x.t/jj .jjv.t/jj/dt C c0 .M1 / jju.t/ v.t/jjdt
T1 ŒT1 ; \˝
Z Z
c0 jjy.t/ x.t/jj .jjv.t/jj/dt C c0 .M1 / jju.t/jjdt C N mes.˝/
T1 ˝
Z
c0 jjy.t/ x.t/jj .jjv.t/jj/dt C c0 .M1 /2d:
T1
Set
M0 D ŒM C M1 .T2 T1 /exp.c0 .M /.T2 T1 //: (7.30)
Assume that
By (7.31), (7.6), (7.29), (7.3), and the monotonicity of for any t 2 ŒT1 ; T2
Z t
jjx.t/jj jjx.T1 /jj C jjG.s; x.s/; u.s//jjds
T1
Z t Z t
MC jjG.s; 0; u.s//jjds C jjG.s; x.s/; u.s// G.s; 0; u.s//jjds
T1 T1
Z t
M C M1 .T2 T1 / C c0 jjx.s/jj .jju.s/jj/ds
T1
Z t
M C M1 .T2 T1 / C c0 .M / jjx.s/jjds:
T1
It follows from this inequality, (7.30), and Gronwall’s inequality that for each t 2
ŒT1 ; T2
7.3 Proofs of Theorems 7.4 and 7.5 209
Assume that
Let t 2 ŒT1 ; T2 . It follows from (7.33), (7.6), (7.7), and (7.32) that
Z t
jjx.t/jj jjx.T1 /jj C jjG.s; x.s/; u.s//jjds
T1
Z T2
M0 C c11 Œg.s; x.s/; u.s// C 0 .s/ds
T1
Z T2
M0 C c11 M1 C c11 0 .s/ds D M2 :
T1
Z
I g .y; v/ < I g .x; u/ M jju.t/jjdt; jjx.t/ y.t/jj
˝
Z
1 jju.t/jjdt; t 2 ŒT1 ; T2 ;
˝
c21 ..M C M1 /.T2 T1 / C 1 C c3 .T2 T1 // < 81 minf1; ıg; (7.37)
1
.4 / c2 8
1 :
Assume that
Set Z
˝ D ft 2 ŒT1 ; T2 W jju.t/jj > Kg; d D jju.t/jjdt: (7.43)
˝
Relations (7.42), (7.43), and (7.38) imply that
d > 0: (7.44)
We will show that jjx.t/jj M2 for all t 2 ŒT1 ; T2 and I g .x; u/ .M C M1 /.T2
T1 / C 1. By Lemma 7.11 and (7.5) there exists x 2 W 1;1 .T1 ; T2 I E/ such that
It follows from the choice of M1 , (B2)(ii), (7.46), and (7.5) that for almost every
t 2 ŒT1 ; T2
f .t; x .t/; u .t// M1 : (7.47)
By (7.47), (7.46), (7.5), (7.38), (7.40), and (7.15) for almost every t 2 ŒT1 ; T2
It follows from this inequality, the choice of M2 , (B5)(iii), (7.40), and (7.41) that
mes.˝/ K 1 d: (7.51)
212 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
Set
v.t/ D u.t/; t 2 ŒT1 ; T2 n ˝; v.t/ D u .t/; t 2 ˝: (7.52)
It is clear that v W ŒT1 ; T2 ! F is a strongly measurable function. Rela-
tions (7.52), (7.5), (7.43), and (7.38) imply that
In view of (7.53), Lemma 7.11, and (7.41) there exists y 2 W 1;1 .T1 ; T2 I E/ such
that
y.T1 / D x.T1 /; .y; v/ 2 X.G; D/: (7.54)
It follows from Lemma 7.12 (with M0 D K), (7.41), (7.38), (7.50), (7.43), (7.54), (7.52),
and (7.49) that for each t 2 ŒT1 ; T2
Z T2 Z
jjy.t/ x.t/jj exp c0 .jjv.t/jj/dt 2c0 jju.t/jjdt .M2 /: (7.55)
T1 ˝
Combined with (7.55), (7.43), and (7.35) this inequality implies that
It follows from (7.56), (7.50), and (7.37) that for all t 2 ŒT1 ; T2
jjy.t/ x.t/jj d
c21 ..M C M1 /.T2 T1 / C 1 C c3 .T2 T1 // < 81 minf1; ıg: (7.57)
It follows from (7.58), (7.52), (7.5), the choice of M3 (see (7.34)) that for almost ev-
ery t 2 ˝, f .t; y.t/; v.t// M3 . Together with (7.40), (7.15), (7.58), (7.52), (7.5),
and (7.38) this inequality implies that for almost every t 2 ˝
In view of (7.13), the monotonicity of , (7.43), (7.39), and (7.38) for every t 2 ˝
Relations (6.61), (6.60), and (6.38) imply that for almost every t 2 ˝
Therefore
Z Z Z
g.t; x.t/; u.t//dt g.t; y.t/; v.t//dt .7=8/ g.t; x.t/; u.t//dt:
˝ ˝ ˝
(7.62)
By (6.52), (6.58), (7.49), (7.57), the choice of L; ı, and (B5)(iv) for almost every
t 2 ŒT1 ; T2 n ˝
jf .t; x.t/; u.t// f .t; y.t/; v.t//j D jf .t; x.t/; u.t// f .t; y.t/; u.t//j (7.63)
jg.t; x.t/; u.t// g.t; y.t/; v.t//j D jg.t; x.t/; u.t// g.t; y.t/; u.t//j
jf .t; x.t/; u.t// f .t; y.t/; u.t//j
Cj.g f /.t; x.t/; u.t// .g f /.t; y.t/; u.t//j
Ljjx.t/ y.t/jj.f .t; x.t/; u.t// C .t// C M jjx.t/ y.t/jj
Ljjx.t/ y.t/jj.g.t; x.t/; u.t// C M C .t// C M jjx.t/ y.t/jj
d ŒL.g.t; x.t/; u.t// C M C .t// C M :
Z
d ŒL.g.t; x.t/; u.t// C M C .t// C M dt
ŒT1 ;T2 n˝
Z T2
d ŒL.g.t; x.t/; u.t// C c3 C M C .t// C M dt
T1
Z T2
d LI .x; u/ C L.c3 C M /.T2 T1 / C L
g
.t/dt C M.T2 T1 /
T1
It follows from (7.13), (7.43), (7.39), and (7.38) that for all t 2 ˝
Combined with (7.62), (7.43), and (7.37) this inequality implies that
Z Z
g.t; x.t/; u.t//dt g.t; y.t/; v.t//dt
˝ ˝
Z
.7=8/c2 1 21 jju.t/jjdt .2 /1 .7=8/c2 d 8
1 d:
˝
Together with (7.64), (7.59), and (7.36) this inequality implies that I g .x; u/
I g .y; v/ 7d
1 > M d . This completes the proof of Theorem 7.16. t
u
Proof of Theorem 7.5. Lemma 7.13, (B2), and Lemma 7.15 imply that f 2 LB;M
for each M > 0. Theorem 7.5 now follows from Theorem 7.4. u
t
Proof of Theorem 7.6. Since f 2 LA;M assumption (A5) holds. Let positive
numbers M0 ; M1 ; M2 and an integrable scalar nonnegative function .t/, t 2
ŒT1 ; T2 be as guaranteed by (A5). Choose a positive number 0 such that
Set Z
T2
D c21 .M C M1 /.T2 T1 / C 1 C 1 .t/dt : (7.66)
T1
In view of (A2) there is M3 > 0 such that for almost every t 2 ŒT1 ; T2
1 2 .0; 0 / (7.68)
such that
Z
1 .t/dt =8 for each Lebesgue measurable set e ŒT1 ; T2
e
for each u 2 BF .
C M2 C 1/ and each x1 ; x2 2 BE .
C M2 C 1/ satisfying
jjx1 x2 jj ı.
Choose a number 2 .0; 1/ such that
.c2 C 1/Œexp.c0 /2c0 .M2 /c21 < ı; .c2 C 1/c21 . C 1/ < 1 : (7.73)
K > 16.M C M0 C M1 C M2 C
C N C 1/; (7.74)
1
.t/=t for all t K and .K/ > .M3 C 1/c21 : (7.75)
Set
U D fg 2 MA W .f; g/ 2 EAw .K; 0 /g: (7.76)
216 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
Assume that
g 2 U; D 2 DM .E/: (7.77)
In order to prove the theorem it is sufficient to show that there exists
such that
.x; u/ 2 X.G; D/; I g .x; u/ inf.I g I X.G; D// C 41 minf; 1g: (7.80)
Set
By Lemma 7.11 and (7.5) there exists x 2 W 1;1 .T1 ; T2 I E/ such that (7.45) holds.
In view of (7.45), (7.77), (7.5), the choice of M0 , and (A5)(i), relation (7.47) holds.
It follows from the choice of M1 , (A2)(ii), (7.47), and (7.5) that for almost every
t 2 ŒT1 ; T2 relation (7.47) holds.
By (7.47), (7.46), (7.5), (7.74), (7.76), (7.77), (7.65), and (7.10) for almost every
t 2 ŒT1 ; T2
It follows from (7.83), (A5)(iii), (7.77), (7.80), and the choice of M2 that
Z Z Z T2
d D jju.t/jjdt .jju.t/jj/dt .jju.t/jj/dt (7.85)
˝0 ˝0 T1
Z T2
c21 Œg.t; x.t/; u.t// C 1 .t/dt
T1
Z T2
c21 Œ.M C M1 /.T2 T1 / C 1 C 1 .t/dt :
T1
Set
v.t/ D u.t/; t 2 ŒT1 ; T2 n ˝0 ; v.t/ D u .t/; t 2 ˝0 : (7.87)
Clearly v W ŒT1 ; T2 ! F is a strongly measurable function. Relations (7.87), (7.82),
(7.5), and (7.74) imply that
In view of (7.88), Lemma 7.11, (7.77), and (7.80) there is y 2 W 1;1 .T1 ; T2 I E/ such
that
y.T1 / D x.T1 /; .y; v/ 2 X.G; D/: (7.89)
It follows from Lemma 7.12 (with M0 D K), (7.80), (7.74), (7.82), (7.87), (7.89),
(7.85), (7.84), and the monotonicity of that for each t 2 ŒT1 ; T2
Z T2 Z
jjy.t/ x.t/jj exp c0 .jjv.t/jj/dt 2c0 jju.t/jjdt .M2 /: (7.90)
T1 ˝0
Combined with (7.66), (7.90), (7.82), (7.85), and (7.73) this inequality implies that
for each t 2 ŒT1 ; T2
jjy.t/ x.t/jj exp.c0 /2c0 d .M2 / exp.c0 /2c0 .M2 / < ı: (7.91)
218 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
Together with the inequality ı < 1=4 and (7.84) this inequality implies that
We will estimate I g .x; u/ I g .y; v/. It follows from (7.87), (7.5), (7.92),
and (7.67) that for almost every t 2 ˝0 , f .t; y.t/; v.t// M3 . Together
with (7.92), (7.87), (7.5), (7.77) (7.76), (7.65), (7.74), and (7.10) this inequality
implies that for almost every t 2 ˝0
g.t; y.t/; v.t// f .t; y.t/; v.t// C 0 < f .t; y.t/; v.t// C 1 M3 C 1: (7.93)
R mes.˝0 / d < 1 .
Relations (7.85), (7.86), (7.74), and (7.73) imply that
Together with (7.69) this inequality implies that ˝0 1 .t/dt =8. Combined
with (7.94) this inequality implies that
Z Z
g.t; x.t/; u.t//dt g.t; y.t/; v.t//dt =8: (7.95)
˝0 ˝0
By (7.92), (7.84), (7.82), (7.74), (7.87), (7.77), (7.76), and (7.10) for almost every
t 2 ŒT1 ; T2 n ˝0
jf .t; y.t/; v.t// g.t; y.t/; v.t//j 0 ; jf .t; x.t/; u.t// g.t; x.t/; u.t//j 0 :
(7.96)
It follows from (7.82), (7.74), (7.87), (8.92), (7.84), the choice of ı (see (7.71)),
and (7.91) that for almost every t 2 ˝1
jf .t; x.t/; u.t// f .t; y.t/; v.t//j D jf .t; x.t/; u.t// f .t; y.t/; u.t//j 0 :
Combined with (7.96) this relation implies that for almost every t 2 ˝1
jg.t; x.t/; u.t//g.t; y.t/; v.t//j jf .t; x.t/; u.t//f .t; y.t/; v.t//jC20 30 :
7.5 A Density Result 219
jf .t; x.t/; u.t// f .t; y.t/; v.t//j D jf .t; x.t/; u.t// f .t; y.t/; u.t//j
0 .f .t; x.t/; u.t// C .t//:
Combined with (7.96) this relation implies that for almost every t 2 ˝2
jg.t; x.t/; u.t// g.t; y.t/; v.t//j jf .t; x.t/; u.t// f .t; y.t/; v.t//j C 20
0 .f .t; x.t/; u.t// C .t// C 20 0 .g.t; x.t/; u.t// C .t/ C 3/:
By this inequality, (7.97), (7.95), and (7.82), I g .x; u/I g .y; v/ 3=8. Together
with (7.80) this relation implies that I g .y; v/ inf.I g I X.G; D// C 3=4. This
completes the proof of Theorem 7.6. t
u
Proof of Theorem 7.7. Lemma 7.13, (A2), and Lemma 7.15 imply that f 2 LA;M
for each M > 0. Theorem 7.7 now follows from Theorem 7.6. u
t
In the proof of Proposition 7.17 we use the following auxiliary result which is
proved in a straightforward manner.
Lemma 7.18. Let f1 ; f2 W ŒT1 ; T2 E F ! R1 be scalar functions. Then the
following assertions hold:
1. If (A1)–(A3) hold for f1 ; f2 , then (A1)–(A3) hold for f1 C f2 , f1 f2 .
2. If (B1)–(B3) hold for f1 ; f2 , then (B1)–(B3) hold for f1 C f2 , f1 f2 .
Proof (Proof of Proposition 7.17). Consider a function Q W Œ0; 1/ ! Œ0; 1/ such
that for each integer i 0
Q
.i/ Q
D .i C 1/; .˛i Q C .1 ˛/ .i
C .1 ˛/.i C 1// D ˛ .i/ Q C 1/ for all ˛ 2 Œ0; 1:
(7.98)
By Lemma 7.13 there exists M0 > 0 such that the following property holds:
(P1) For each D 2 DM .E/ and each .x; u/ 2 X.G; D/ which satisfies jju.t/jj
M C N for almost every t 2 ŒT1 ; T2 the inequality jjx.t/jj M0 holds for
all t 2 ŒT1 ; T2 .
By (A2) there exists M1 > 2 such that for almost every t 2 ŒT1 ; T2 the
following inequality holds:
By Lemma 7.15 there is M2 > 0 such that the following property holds:
(P2) For each g 2 MA , each D 2 DM .E/, and each .x; u/ 2 X.G; D/ satisfying
I g .x; u/ .M C M1 /.T2 T1 / C 1 the inequality jjx.t/jj M2 holds for all
t 2 ŒT1 ; T2 .
Choose natural numbers
For i D 1; 2 define
Set
d0 D supfjjG.t; 0; 0/jj W t 2 ŒT1 ; T2 g: (7.103)
It follows from (7.3), (7.4), and (7.103) that for each .t; y; v/ 2 ŒT1 ; T2 BE .N1 C
N2 / F
jjG.t; y; v/jj jjG.t; 0; v/jj C c0 jjyjj .jjvjj/ jjG.t; 0; 0/jj C c0 jjvjj .0/
Cc0 .N1 C N2 / .jjvjj/ d0 C c0 jjvjj .0/ C c0 .N1 C N2 / .jjvjj/: (7.104)
Q
.t; x; u/ ! .jjujj/; .t; x; u/ ! jjujj; .t; x; u/ 2 ŒT1 ; T2 E F:
Together with Lemma 7.18 and the definition of g; h (see (7.105), (7.106)) this
implies that (A3) holds for g; h and if (B3) holds for f , then (B3) holds for g; h.
Thus we have shown that g satisfies (A1)–(A3) and if 1 .t/ D c3 for all t 2 ŒT1 ; T2
and if f 2 MB , then g satisfies (B3). We will show that (A4) holds for g.
Let .t; x; u/ 2 ŒT1 ; T2 E F . There are two cases:
jjxjj N2 C 2I (7.107)
222 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
Assume that (7.107) is true. Then by (7.107), (7.106), (7.103), and (A4) which holds
for f
Assume that (7.108) is true. It follows from (7.104), (7.108), (7.101), and (7.99) that
Since (A4) holds for f it follows from this inequality, (7.105), and (7.102) that
Since (A4) holds for f it follows from this inequality, (7.102), and (7.106) that
Therefore this inequality holds in both cases, (A4) holds for g and g 2 MA .
It is clear that if 1 .t/ D c3 for all t 2 ŒT1 ; T2 and if f 2 MB , then (B4) holds
for g and g 2 MB . Thus we have shown that
We will show that (A5) holds for g. Note that we have already defined the constants
M0 > 0; M1 > 2; M2 > 0. By (7.106), (7.115), (7.102), and (7.101) for each
t 2 ŒT1 ; T2 , each x 2 BE .M C M0 C N /, and each u 2 BF .N C M0 C N /
Properties (P1) and (P2) and (7.100) imply (A5)(i), (A5)(ii), and (A5)(iii) for g.
Let us show that (A5)(iv) holds.
Assume that
7.5 A Density Result 223
It follows from (7.106), (7.101), (7.113), and (7.102) that for i D 1; 2 and all t 2
ŒT1 ; T2
Q
g.t; xi ; u/ D h.t; xi ; u/ D c2 .jjujj/Cc Q
1 d0 Cc1 c0 jjujj .0/Cc1 c0 .N1 CN2 / .jjujj/;
and g.t; x1 ; u/ D g.t; x2 ; u/. Therefore (A5)(iv) holds for g, (A5) holds for g and
g 2 LA;M .
Together with (7.111) this implies that
It follows from (7.105), (7.106), (7.101), and (7.102) that for each .t; x; u/ 2
ŒT1 ; T2 BE .N / BF .N /
and
.f; g/ 2 EAs .N; /:
Now assume that 1 .t/ D c3 for all t 2 ŒT1 ; T2 and that f 2 MB . We have already
shown that g 2 MB (see (7.110)). We will show that (B5) holds for g. Note that we
have already defined the constants M0 > 0; M1 > 2; and M2 > 0. Relation (7.112),
properties (P1) and (P2), and (7.100) imply (B5)(i), (B5)(ii), and (B5)(iii) for g.
Let us show that (B5)(iv) holds. Since (B3) holds for g there exist L > 0 and a
Lebesgue measurable set ˝ ŒT1 ; T2 such that mes.˝/ D T2 T1 and
jjujj N1 C 2I (7.117)
jjujj < N1 C 2: (7.118)
Assume that (7.117) holds. Then by (7.117), (7.102), and (7.105) for all t 2 ŒT1 ; T2
we have h.t; x1 ; u/ D h.t; x2 ; u/. Together with (7.119) this implies that for all t 2
ŒT1 ; T2 we have g.t; x1 ; u/ D g.t; x2 ; u/. Assume that (7.119) holds. Then in view
224 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
of (7.116), (7.118), and the choice of L the inequality (7.115) is true for all t 2 ˝.
Clearly, (7.115) holds in both cases for all t 2 ˝. Thus we have shown that (7.115)
holds for each u 2 F , each x1 ; x2 2 BE .M2 C 1/, and each t 2 ˝. Therefore
(B5)(iv) holds for g and g 2 LB;M . This completes the proof of Proposition 7.17.
t
u
It is easy to see that Proposition 7.17 implies the following result.
Proposition 7.19. Let M > 0. Then the set LA;M (respectively, LA;M \ MlA ,
LA;M \ McA ) is an everywhere dense subset of MA (respectively, Mla , McA ) with
the strong topology and the set LB;M (respectively, LB;M \ MaB , LB;M \ MlB ,
LB;M \ McB ) is an everywhere dense subset of MB (respectively, MaB , Mla , McA )
with the strong topology.
and
jjv.t/jj K.f / for almost every t 2 ŒT1 ; T2 :
Denote by U.f / an open neighborhood of f in MB with the weak topology
such that
fg 2 MB W .f; g/ 2 EBw .K.f /; M /g U.f /
fg 2 MB W .f; g/ 2 EBw .K.f /; 2M /g: (7.120)
Define F D [fU.f / W f 2 LB;M0 g: Clearly, F is an open (in the weak
topology) everywhere dense (in the strong topology) subset of MB and F MaB
7.6 Proofs of Theorems 7.8–7.10 225
It follows from this inclusion, property (P3), (7.121), and (7.122) that there is
.y; v/ 2 X.G; D/ such that I h .y; v/ < I h .x; u/ and
By (7.123) and the definition of FA there is fm 2 LA;m such that g 2 U.fm ; m/:
It follows from this inclusion, property (P4), and (7.124) that there is .x; u/ 2
226 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
7.7 Examples
It is easy to see that (7.3) holds for each t 2 ŒT1 ; T2 , each y1 ; y2 2 E, and each
v 2 F and (7.4) holds for each t 2 ŒT1 ; T2 , each y 2 E, and each v1 ; v2 2 F .
Example 7.20. Assume that h W ŒT1 ; T2 E ! R1 and g W ŒT1 ; T2 F ! R1 are
nonnegative continuous functions which are bounded on bounded sets such that
for each M; > 0 there exists ı > 0 such that jh.t; x1 / h.t; x2 /j for each
t 2 ŒT1 ; T2 and each x1 ; x2 2 BE .M / satisfying jjx1 x2 jj ı;
It is not difficult to see that the function f .t; x; u/ D h.t; x/ C g.t; u/, .t; x; u/ 2
ŒT1 ; T2 E F satisfies (A1)–(A3), (A6), and (A4) with c2 D cQ2 , 1 .t/ D 0 for all
t 2 ŒT1 ; T2 , c1 D cQ1 c01 , 0 .t/ D c4 for all t 2 ŒT1 ; T2 , where c4 is a sufficiently
large positive constant.
7.7 Examples 227
Example 7.21. Assume that h and g are as in Example 7.20 and that the following
condition holds:
for each M > 0 there exists L > 0 such that
It is not difficult to see that the function f .t; x; u/ D h.t; x/g.t; u/, .t; x; u/ 2
ŒT1 ; T2 E F satisfies (A1), (A2), (A3), (A6), and (A4) with 1 .t/ D 0 for
all t 2 ŒT1 ; T2 , a sufficiently small positive constant c2 and 0 .t/ D c4 for all
t 2 ŒT1 ; T2 , where c4 is a sufficiently large positive number.
Example 7.23. Assume that h; g are as in Example 7.22 and that the following
condition holds:
for each M > 0 there exists L > 0 such that
jh.t; x1 / h.t; x2 /j Ljjx1 x2 jj
for each t 2 ŒT1 ; T2 and each x1 ; x2 2 BE .M /:
It is not difficult to see that the function f .t; x; u/ D h.t; x/g.t; u/, .t; x; u/ 2
ŒT1 ; T2 E F satisfies (B1), (B2), (B3), (B6), and (B4) with c3 D 0, sufficiently
small positive constants c1 ; c2 and a sufficiently large positive number c4 .
Example 7.24. Let us consider the following optimal control problem with E D
F D R1 , T1 D 0, T2 D 1 and
Set
It is not difficult to see that the integrand f satisfies (B1), (B2), (B3), (B4), and
(B6) with sufficiently small positive numbers c1 ; c2 and sufficiently large positive
number c3 . Thus the assumptions of Theorem 7.5 hold and it can be applied to the
optimal control problem
Z 1
.ln.1 C t/ C 1/..x.t//2 C jx.t/j C 1/.e u.t / C 2 C t/dt
0
Z 1
C ..u.t//2 C ju.t/j C 2t C 1/.e jx.t /j C t C 1/dt ! min;
0
0 .0/ D 0; 0 .z/ jzjr for all z 2 R1 ; .v/ jvjm for all v 2 R1 ; (7.128)
0 .1; 1/ D 1; 0 .t; 0/ > 0 for all t 2 Œ0; 1; (7.129)
j 0 .t; x/j .x/ for all .t; x/ 2 Œ0; 1 Œ0; 1/;
where
lim .x/x 1 D 0
x!1
and
.x@ 0 =@x l 0/ < 0 in Œ0; 1 Œ0; 1/: (7.130)
7.8 Sarychev Integrands 229
with a 2 R1 and b.t; x/ being positive and bounded on bounded subsets of Œ0; 1
Œ0; 1/.
Sarychev [78] established the existence of a positive number 0 such that for any
2 Œ0; 0 the variational problem
Z 1
L.t; x.t/; x 0 .t// C 0 ..x.t//l t k 0 .t; x.t///.x
0
.t//dt ! min;
0
x.0/ D 0; x.1/ D 1
By the implicit function theorem [6] there exist 1 > 0, 2 > 0 and a continuous
differentiable function W .1 2 ; 1 C 2 / ! R1 such that
.1/ D 1;
if t 2 .1 2 ; 1 C 2 /; then j.t/ 1j < 1 and F .t; .t// D 0; (7.134)
for each .t; x/ 2 .1 2 ; 1 C 2 / .1 1 ; 1 C 1 / the equality (7.135)
F .t; x/ D 0 holds if and only if x D .t/:
Assume that the integrand f satisfies assumption (A6) and let an integrable
scalar nonnegative function .t/, t 2 Œ0; 1 be as guaranteed by (A6). In view of
(A6) there exist
; ı > 0 such that for almost every t 2 Œ0; 1 the following property
holds:
230 7 Nonoccurrence of the Lavrentiev Phenomenon in Optimal Control
(P5)
jf .t; x1 ; u/ f .t; x2 ; u/j f .t; x2 ; u/ C .t/
for all x1 ; x2 2 Œ2 1 ; 2 C 1 satisfying jx1 x2 j ı and each u 2 R1
satisfying juj
.
It follows from the definition of
and ı that there exists
for each
and
It follows from (7.128), (7.145), (7.146), and (7.131) that for each u 2 R1 n .
;
/
In this chapter we use the following definitions and notations. For each t 2 R1 set
exp.t/ D e t . For each function h W Z ! R1 [ f1g, where Z is nonempty, and each
nonempty subset Y Z set
We use the convention that 1=1 D 1. Denote by mes.˝/ the Lebesgue measure
of a Lebesgue measurable set ˝ R1 . If .Z; jj jj/ is a normed space, then for each
z 2 Z and each r > 0 set
Assume that .Z; jj jj/ is a Banach space. We use the notation W 1;1 .˝I Z/ D
W .1 ; 2 I Z/ where 1 < 1 < 2 < 1 and ˝ D Œ1 ; 2 .
1;1
Denote by S.Z/ the set of all nonempty closed convex subsets of Z. We equip the
set S.Z/ with the uniformity determined by the base
where > 0. It is not difficult to see that this uniformity is metrizable and complete.
Note that this uniformity is metrizable with the metric
Assume that .E; jj jj/, .F; jj jj/ are Banach spaces and that 0 T1 < T2 < 1.
Denote by X the set of all pairs of functions .x; u/ where x 2 W 1;1 .T1 ; T2 I E/
and u W ŒT1 ; T2 ! F is a strongly measurable function. To be more precise, we
have to define elements of X as classes of pairs equivalent in the sense that .x1 ; u1 /
and .x2 ; u2 / are equivalent if and only if x2 .t/ D x1 .t/ for all t 2 ŒT1 ; T2 and
u1 .t/ D u2 .t/ for almost every (a.e.) t 2 ŒT1 ; T2 .
Denote by D.E/ the collection of all nonempty bounded subsets of E. For each
M > 0 denote by DM .E/ the collection of all nonempty subsets D BE .M /.
Let G W ŒT1 ; T2 E F ! E be a continuous mapping, W Œ0; 1/ ! Œ0; 1/
be an increasing function and let c0 be a positive number such that
where N; > 0. Clearly the space M with this uniformity is metrizable and
complete. We equip the space M with the topology induced by this uniformity.
This topology will be called the strong topology of M.
We also equip the set M with the uniformity determined by the base
where N; > 0. We equip the space M with the topology induced by this
uniformity. This topology will be called the weak topology of M.
Denote by Ml (respectively, Mc ) the set of all lower semicontinuous (respec-
tively, continuous) functions f in M. Clearly Ml , Mc are closed subsets of M
with the strong topology.
We equip the topological subspaces Ml ; Mc M with the relative weak and
strong topologies.
By (A1), for each f 2 M, each continuous function x W ŒT1 ; T2 ! E, and
each strongly measurable function u W ŒT1 ; T2 ! F the function f .t; x.t/; u.t//,
t 2 ŒT1 ; T2 is Lebesgue measurable.
For each f 2 M and each .x; u/ 2 X define
Z T2
I f .x; u/ D f .t; x.t/; u.t//dt: (8.11)
T1
(i) For each D 2 DM .E/ and each .x; u/ 2 X.G; D; A; Q UQ / which satisfies
jju.t/jj M CN for almost every t 2 ŒT1 ; T2 the inequality jjx.t/jj M0
holds for all t 2 ŒT1 ; T2
(ii) For almost every t 2 ŒT1 ; T2 the inequality f .t; x; u/ M1 holds for each
x 2 BE .M C M0 C N / and each u 2 BF .M C M0 C N /
(iii) For each g 2 M, each D 2 DM .E/ and each .x; u/ 2 X.G; D; A; Q UQ /
satisfying I g .x; u/ .M C M1 /.T2 T1 / C 1 the inequality jjx.t/jj M2
holds for all t 2 ŒT1 ; T2
(iv) For each > 0 there exist
; ı > 0 such that for almost every t 2 ŒT1 ; T2
the inequality
Remark 8.1. The existence of M0 in (A5)(i) follows from Lemma 7.13. The
existence of M1 in (A5)(ii) follows from (A2) and the existence of M2 in (A5)(iii)
follows from Lemma 7.15.
Denote by P.ŒT1 ; T2 I E/ the set of all mappings A W ŒT1 ; T2 ! S.E/. We equip
the set P.ŒT1 ; T2 I E/ with the uniformity determined by the base
.E/
E.T1 ;T2 / ./ D f.A1 ; A2 / 2 P.ŒT1 ; T2 I E/ P.ŒT1 ; T2 I E/ W (8.13)
where > 0. It is not difficult to see that the space P.ŒT1 ; T2 I E/ with this
uniformity is metrizable and complete. This uniformity induces a topology in
P.ŒT1 ; T2 I E/.
Let D 2 D.E/ be a nonempty bounded subset of E and let U W ŒT1 ; T2 E !
2F n f;g be a set-valued mapping which does not depend on the state variable x.
Namely,
Denote by PU .ŒT1 ; T2 I E/ the closure (in the space P.ŒT1 ; T2 I E/) of the set of
all mappings A 2 P.ŒT1 ; T2 I E/ for which there exist .x; u/ 2 X.G; D; A; U / and
N > 0 such that
jju.t/jj N; t 2 ŒT1 ; T2 a.e. (8.14)
We assume that the space PU .ŒT1 ; T2 I E/ is nonempty and equip the topological
subspace PU .ŒT1 ; T2 I E/ P.ŒT1 ; T2 I E/ with the relative topology.
The following theorem is the first main result of this chapter.
238 8 Generic Nonoccurrence of the Lavrentiev Phenomenon
Moreover,
F \ .Ml PU .ŒT1 ; T2 I E//
(respectively, F \ .Mc PU .ŒT1 ; T2 I E//) contains a countable intersection of
open (in the weak topology) everywhere dense (in the strong topology) subsets of
Ml PU .ŒT1 ; T2 I E/
dF .U.t; x1 /; U.t; x2 // :
We equip the set P.ŒT1 ; T2 EI F / with the uniformity determined by the base
.F /
E.T1 ;T2 ;E/ ./ D f.U1 ; U2 / 2 P.ŒT1 ; T2 EI F / P.ŒT1 ; T2 EI F / W (8.15)
dF .U1 .t; x/; U2 .t; x// for all .t; x/ 2 ŒT1 ; T2 Eg;
where > 0. It is not difficult to see that the space P.ŒT1 ; T2 EI F / with this
uniformity is metrizable and complete. The topology induced by this uniformity
will be called the strong topology of P.ŒT1 ; T2 EI F /.
We also equip the set P.ŒT1 ; T2 EI F / with the uniformity determined by the
base
.F;w/
E.T1 ;T2 ;E/ .; N / D f.U1 ; U2 / 2 P.ŒT1 ; T2 EI F / P.ŒT1 ; T2 EI F / W (8.16)
dF .U1 .t; x/; U2 .t; x// for all .t; x/ 2 ŒT1 ; T2 BE .N /g;
where ; N > 0.
8.1 Preliminaries, Assumptions, and Main Results 239
It is not difficult to see that the space P.ŒT1 ; T2 EI F / with this uniformity
is metrizable. The topology induced by this uniformity will be called the weak
topology of P.ŒT1 ; T2 EI F /.
Denote by Pb .ŒT1 ; T2 EI F / the closure (in the space P.ŒT1 ; T2 EI F / with
the strong topology) of the set of all U 2 P.ŒT1 ; T2 EI F / for which there exist a
Bochner integrable function u.t/, t 2 ŒT1 ; T2 and N > 0 such that
and N > 0 such that jju.t/jj N for almost every t 2 ŒT1 ; T2 and
Q U // C :
I f .x; u/ inf.I f I X.G; D; A;
Moreover,
F \ .Ml Pb .ŒT1 ; T2 EI F //
Ml Pb .ŒT1 ; T2 EI F /
It follows from Theorem 8.4 that for a generic triplet .f; A; U / 2 M PQ the
corresponding optimal control problem (P ) possesses a minimizing sequence of
trajectory-control pairs with bounded controls.
Note that the results of this chapter were obtained in [103].
In the proofs of Theorems 8.2–8.4 we will use the following auxiliary results.
Proposition 8.5. Let M; N > 0. Then LM;N (respectively, LM;N \ Ml , LM;N \
Mc ) is an everywhere dense subset of M (respectively, Ml , Mc ) with the strong
topology.
Note that Proposition 8.5 is exactly Proposition 7.17 with U D UQ , LA;M D LM;N
and N D N .
Proposition 8.6 (Lemma 2.1 of [73]). Let .Z; jj jj/ be a normed vector space,
r > 0, C be a nonempty convex closed subset of Z such that for each z 2 BZ .r/
Then 0 2 C .
Fix a nonempty bounded set D E. We will prove Theorems 8.2–8.4
simultaneously. Define a space A as follows:
In the case of Theorem 8.2 A D PU .ŒT1 ; T2 I E/ fU g
In the case of Theorem 8.3 A D fAgQ Pb .ŒT1 ; T2 EI F /
In the case of Theorem 8.4 A D PQ
8.2 Auxiliary Results 241
D BE .N /: (8.18)
.E/
.A; A / 2 E.T1 ;T2 / ./I (8.20)
.F /
.U; U / 2 E.T1 ;T2 ;E/ ./I (8.21)
in the case of Theorem 8.4 the inclusions (8.20) and (8.21) hold; for each
.g; B; V / 2 W there is .x; u/ 2 X.G; D; B; V / such that
such that
u .t/ 2 U.t; x/; .t; x/ 2 ŒT1 ; T2 E; jju .t/jj N ; t 2 ŒT1 ; T2 a.e. (8.25)
Choose a number
f 2 LM;M I (8.27)
Q
In the case of Theorem 8.3 Ar D A,
Clearly, the function .r/, r 2 .0; 1 is monotone decreasing and for all r 2 .0; 1
Set
r2 D 21 .r0 C r1 /; a D .A ; U / D .Ar2 ; Ur2 /: (8.36)
Thus we have constructed f and a .
Step 3. In this step we will choose the constant K and construct the open
neighborhood W of .f ; a /.
Choose a positive number 0 such that
Set Z
T2
D c21 .M C M1 /.T2 T1 / C 1 C 1 .t/dt : (8.39)
T1
In view of (A2) there is M3 > 0 such that for almost every t 2 ŒT1 :T2
f .t; h; / M3 for each h 2 BE .M2 C M C 1/ and each 2 BF .M2 C M C 1/:
(8.40)
Since the function 1 is integrable there exists
1 2 .0; 0 / (8.41)
such that
Z
1 .t/dt =8 for each Lebesgue measurable set
e
N 2 ; .r0 r1 /=32g
ı < minfı; (8.45)
for each u 2 BF .
C M2 C 1/ and each x1 ; x2 2 BE .
C M2 C 1/ satisfying
jjx1 x2 jj ı.
Choose a number 0 2 .0; 1/ such that
K > 16.2M C M0 C M1 C M2 C
C 1/; (8.48)
.t/=t 01 for all t K and .K/ > .M3 C 1/c21 : (8.49)
Set
U1 D fg 2 M W .f ; g/ 2 Ew .K; 0 /g: (8.50)
Choose a positive number such that
Set
and denote by W the interior of the set U1 U2 with respect to the weak topology
of the space M A. Thus K and W have been constructed.
It is clear that (8.19) holds, in the case of Theorem 8.2 the relation (8.20) is
valid, in the case of Theorem 8.3 the relation (8.21) holds and in the case
of Theorem 8.4 the relations (8.20) and (8.21) are true. In order to prove
the proposition it is sufficient to show that for each .g; B; V / 2 W there is
.x; u/ 2 X.G; D; B; V / such that the relations (8.22) and (8.23) hold.
Assume that
.g; B; V / 2 W [ f.f ; ar1 /g: (8.53)
Step 4. We will show that
Consider the trajectory-control pair .x ; u / satisfying (8.24) and (8.25). In view
of (8.18), (8.24)–(8.27), (A5)(i), and the choice of M0 ; M1 ; M2
It follows from (8.53), the choice of W, (8.50), (8.55), (8.25), (8.26), (8.48),
(8.10), and (8.56) that for t 2 ŒT1 ; T2 a.e.
.g; B; V / 2 W: (8.59)
By (8.59), the choice of W, (8.36), (8.52), (8.55), and (8.48) for all t 2 ŒT1 ; T2
dE .B.t/; Ar2 .t// =16; dF .V .t; x .t//; Ur2 .t; x .t/// =16: (8.60)
It follows from (8.60), (8.24), the definition of Ar2 , Ur2 that for all t 2 ŒT1 ; T2
dE .B.t/ x .t/; Ar2 .t/ x .t// =16; BE .0; r2 / Ar2 .t/ x .t/;
(8.61)
dF .V .t; x .t// u .t/; Ur2 .t; x .t// u .t// =16 (8.62)
It follows from (8.61), (8.51), (8.36), and Proposition 8.6 that for all t 2 ŒT1 ; T2
In the cases of Theorems 8.3 and 8.4 it follows from (8.63), (8.62), (8.51), (8.36),
and Proposition 8.6 that
Together with (8.64) and (8.24) this implies that .x ; u / 2 X.G; D; B; V /:
Combined with (A4) and (8.58) this inclusion implies that
Set
˝0 D ft 2 ŒT1 ; T2 W jju.t/jj > Kg: (8.68)
x1 .T1 / D x.T1 /; x10 .t/ D G.t; x1 .t/; u1 .t//; t 2 ŒT1 ; T1 a.e. (8.71)
and
In view of (8.73), (8.70), (8.71), (8.65), (8.24), (8.25), (8.66), (A4), (8.5), (8.48),
(8.26), and (8.67) for each 2 ŒT1 ; T2
Z Z T2
s 2 ŒT1 ; T2 g/ jju.t/jjdt exp c0 .jju1 .t/jj/dt
˝0 T1
Z Z T2
2c0 .M2 / jju.t/jjdt exp c0 .jju1.t/jj/dt : (8.74)
˝0 T1
It follows from (8.70), (8.68), (8.25), (8.48), (8.26), (A4), and (8.61) that
Z T2 Z T2 Z T2
.jju1.t/jj/dt .jju.t/jj/dt c21 Œg.t; x.t/; u.t// C 1 .t/dt
T1 T1 T1
Z T2
c21 Œ.T2 T1 /M1 C 1 C 1 .t/dt: (8.77)
T1
jjx1 .t/ x.t/jj exp.c0 /2c0 .M2 /d exp.c0 /2c0 .M2 /0 < ı: (8.78)
Set
˝1 D ft 2 ŒT1 ; T2 W jju.t/jj
g; ˝2 D ŒT1 ; T2 n .˝0 [ ˝1 /: (8.80)
and
Z Z
g.t; x.t/; u.t//dt c2 .K/mes.˝0 / 1 .t/dt: (8.82)
˝0 ˝0
In view of (8.68), (8.67), (8.48), (8.53), the choice of W, and (8.50) for almost
every t 2 ŒT1 ; T2 n ˝0
By (8.80), (8.68), (8.70), (8.67), (8.79), the choice of ı, (8.45), (8.46), and (8.78)
for almost every t 2 ˝1
jf .t; x.t /; u.t // f .t; x1 .t /; u1 .t //j D jf .t; x.t /; u.t // f .t; x1 t /; u.t //j 0 :
(8.85)
Relations (8.80), (8.68), (8.48), (8.84), and (8.85) imply that for almost every
t 2 ˝1
It follows from (8.80), (8.84), and (8.87) that for almost every t 2 ˝2
2 Z
X 2 Z
X
I .x; u/ D
g
g.t; x.t/; u.t//dt f .t; x1 .t/; u1 .t//dt =8
i D0 ˝i i D0 ˝i
Z T2 Z T2
40 .T2 T1 / 0 M1 .T2 T1 / C 1 C .t/dt C 1 .t/dt
T1 T1
I f
.x1 ; u1 / =4:
Thus if (8.73) holds, then (8.72) is true. We conclude that (8.72) holds in both
cases.
Step 7. We will show that
In view of (8.71) and (8.65) it is sufficient to show that for t 2 ŒT1 ; T2 a.e.
It follows from (8.79), (8.67), (8.92), and (8.45) that for all t 2 ŒT1 ; T2
for a.e. t 2 ŒT1 ; T2 . If .g; B; V / D .f ; ar1 /, then by (8.96) u1 .t/ 2 Ur1 .t; x.t//,
t 2 ŒT1 ; T2 a.e. Therefore (8.97) holds in all the cases. In view of (8.97), (8.94),
and (8.51) for t 2 ŒT1 ; T2 a.e.
dF .u1 .t/; Ur2 .t; x1 .t/// dF .u1 .t/; Ur2 .t; x.t///
CdF .Ur2 .t; x.t//; Ur2 .t; x1 .t///
=16 C .r2 r1 /=64 < .r0 r1 /162 C .r2 r1 /=64 < .r0 r2 /=2:
Together with (8.36) and (8.29)–(8.31) this implies that for a.e. t 2 ŒT1 ; T2 ,
u1 .t/ 2 Ur0 .t; x1 .t//: Analogously we can show that x1 .t/ 2 Ar0 .t/, t 2 ŒT1 ; T2 .
Thus (8.91) holds. We have constructed the trajectory-control pair .x1 ; u1 / which
satisfies (8.72) and (8.91).
Step 8. By (8.72), (8.91), and (8.37)
and
I g .x; u/ .r0 / =4:
8.2 Auxiliary Results 251
Since the inequality above holds for any .x; u/ satisfying (8.65) it follows
from (8.35) that
Since the inequality above holds for any .g; B; V / satisfying (8.53) we obtain
that for all .h; C; H / 2 W
Assume that
.h; C; H / 2 W: (8.102)
By (8.100), the choice of W, (8.50), (8.101), (8.48), (8.67), (6.72) with g D f ,
(8.37), (8.100), and (8.98)
It follows now from the relation above and (8.101) that in order to complete the
proof of the proposition it is sufficient to show that .x1 ; u1 / 2 X.G; D; C; H /.
In view of (8.91) it is sufficient to show that for t 2 ŒT1 ; T2 a.e. we have
mes.˝/ D T2 T1 : (8.103)
252 8 Generic Nonoccurrence of the Lavrentiev Phenomenon
By (8.67), (8.48), (8.79), (8.102), the choice of W, (8.52), (8.36), (8.34), and (8.51),
dF .H.t; x1 .t//; Ur2 .t; x.t/// dF .H.t; x1 .t//; Ur2 .t; x1 .t///
CdF .Ur2 .t; x.t//; Ur2 .t; x1 .t/// =16 C .r2 r1 /=16
< .r0 r1 /162 C .r0 r1 /=16 < .r0 r1 /=8:
d.x1 .t/; Ar1 .t// jjx.t/ x1 .t/jj < ı < .r0 r1 /=32:
It follows from (8.102), the choice of W, (8.52), (8.36), and (8.51) that
Combined with (8.105) and Proposition 8.6 this inequality implies that x1 .t/ 2
C.t/. This completes the proof of Proposition 8.7. t
u
.f; f / 2 Es .n C q0 ; .2n/1 /I
and in the case of Theorem 8.4 the inclusions (8.106) and (8.107) hold.
(ii) For each .g; B; V / 2 W.f; a; n/ there is .x; u/ 2 X.G; D; B; V / such that
Set
F D \1
nD1 [ fW.f; a; n/ W .f; a/ 2 M A and n p is an integerg:
Assume that .Z; jj jj/ is a Banach space. We denote by mes.˝/ the Lebesgue
measure of a Lebesgue measurable set ˝ R1 and denote by int.E/ the interior of
a set E Z in the norm topology.
For each x 2 Z and each r > 0 set
Namely Z t
x.t/ D S.t/z0 C S.t s/Bu.s/ds for all t 2 Œa; b: (9.1)
a
x.t/ 2 H for all t 2 Œa; b and u.t/ 2 U.t/; t 2 Œa; b (a.e.): (9.2)
For each z 2 H denote by A.z/ the set of all trajectory-control pairs .x; u/
satisfying x.a/ D z and denote by AL .z/ the set of all trajectory-control pairs
.x; u/ 2 A.z/ for which there is Mu > 0 such that
In [98] we studied the problem (P ) with H D X and U.t/ D Y , t 2 Œa; b for two
classes of integrands. The first class of integrands considered in [98] contains the set
of all functions f W Œa; bX Y ! R1 which satisfy the following assumptions.
(A1) f is measurable with respect to the -algebra generated by products of
Lebesgue measurable subsets of Œa; b and Borel subsets of X Y .
(A2) f .t; x; u/ .jjujj/ for all .t; x; u/ 2 Œa; b X Y .
(A3) The set ff .t; 0; 0/ W t 2 Œa; bg is bounded from above.
(A4) For each M; > 0 there exists ı > 0 such that for every t 2 Œa; b
9.1 Preliminaries, Assumptions, and Main Results 257
jf .t; x1 ; u1 / f .t; x2 ; u2 /j
The second class of integrands studied in [98] contains all integrands f W Œa; b
X Y ! Œ0; 1/ which satisfy the following assumptions:
(B1) f is measurable with respect to the -algebra generated by products of
Lebesgue measurable subsets of Œa; b and Borel subsets of X Y .
(B2) f .t; x; u/ .jjujj/ for all .t; x; u/ 2 Œa; b X Y .
(B3) The set ff .t; 0; 0/ W t 2 Œa; bg is bounded from above.
(B4) For each M > 0 there exists L > 0 such that for each t 2 Œa; b, each
x1 ; x2 2 BX .M /, and each u1 ; u2 2 BY .M / the following inequality holds:
(B5) For each M > 0 there exist ı; L > 0 and an integrable scalar function
M .t/ 0, t 2 Œa; b such that for each t 2 Œa; b, each u 2 Y , and each
x1 ; x2 2 BX .M / satisfying jjx1 x2 jj ı the inequality jf .t; x1 ; u/
f .t; x2 ; u/j jjx1 x2 jjL.f .t; x1 ; u/ C M .t// holds.
In [98] we showed that if an integrand f belongs to this class of functions, z0 2
X , H D X and U.t/ D Y , t 2 Œa; b, then for the optimal linear control problem
(P ) there exist a minimizing sequence of trajectory-control pairs f.xi ; ui /g1
i D1 and
a positive number M such that for each integer i 1
One of our goals is to extend the results of [98] obtained for unconstrained optimal
linear control problems (with H D X and U.t/ D Y , t 2 Œa; b) to the class of
constrained linear control problems (P ).
258 9 Infinite-Dimensional Linear Control Problems
Our second goal is to answer the question if the extensions of the results of [98]
hold for constrained linear control problems (P ) with many integrands. In order to
meet this goal we introduce the following spaces of integrands.
Denote by MA the set of all functions f W Œa; b X Y ! R1 which satisfy
assumptions (A1)–(A4). We equip the set MA with the uniformity determined by
the base
where N; > 0. Clearly, the space MA with this uniformity is metrizable and
complete. We equip the space MA with the topology induced by this uniformity.
This topology will be called the strong topology of MA .
We also equip the space MA with the uniformity determined by the following
base:
where N; > 0. Clearly, the space MA with this uniformity is metrizable and
complete. We equip the space MA with the topology induced by this uniformity.
This topology will be called the weak topology of MA . Denote by LA the set of
all functions f 2 MA which satisfy (A5). Clearly, for each f 2 MA and each
trajectory-control pair .x; u/ the function f .t; x.t/; u.t//, t 2 Œa; b is Lebesgue
measurable.
Now we define the second space of integrands. Denote by MB the set of all
functions f W Œa; b X Y ! R1 which satisfy assumptions (B1)–(B4). Clearly,
MB MA .
We equip the set MB with the uniformity determined by the base
where N; > 0. Clearly, the space MB with this uniformity is metrizable and
complete. We equip the space MB with the topology induced by this uniformity.
Denote by LB the set of all functions f 2 MB which satisfy (B5).
Note that assumptions (A1)–(A4) and (B1)–(B4) are not very restrictive. They
are common in the literature and the spaces MA and MB contain many integrands.
Therefore it is natural to ask a question if the Lavrentiev phenomenon does not occur
for many integrands in these spaces. This goal is achieved by Theorems 9.1, 9.3, 9.4
and 9.5 obtained in [104].
For each f 2 MA and each trajectory-control pair .x; u/ set
Z b
I .x; u/ D
f
f .t; x.t/; u.t//dt:
a
and put
U f .z/ D inffI f .x; u/ W .x; u/ 2 A.z/g: (9.7)
We assume that there exists a strongly measurable function W Œa; b ! Y such
that
.t/ 2 U.t/; t 2 Œa; b (a.e.) and supfjj .t/jj W t 2 Œa; bg < 1: (9.8)
Denote by MAc the set of all continuous functions f 2 MA and by MBc the
set of all continuous functions f 2 MB . Set
Clearly, MAc is a closed subset of MA with the weak topology and MBc is a closed
subset of MB . We consider the topological subspace MBc MB with the relative
topology and the topological subspace MAc MA with the relative weak and
strong topologies.
For each > 0 put
H D fx 2 H W BX .x; / H g: (9.9)
Let ; M be positive numbers. Denote by HQ ;M the set of all z 2 H for which there
exists a trajectory-control pair .x; u/ such that
Put
D0 D supfjjS.t/jj W t 2 Œa; bg: (9.11)
Let
z 2 HQ ;M \ BX .M / (9.13)
Since .x; u/ is a trajectory-control pair it follows from (9.1), (9.11), and (9.13) that
for all 2 Œa; b
Z
jjx./jj D
S./z C S. t/Bu.t/dt
D0 M C .b a/D0 jjBjjM: (9.15)
a
In view of (9.12), (9.14), (9.15), and the choice of M1 for t 2 Œa; b a.e. we have
and
z 2 HQ ;M \ BX .M /; (9.16)
and each .x; u/ 2 A.z/ satisfying I g .x; u/ U g .z/ C 1, the inequality jjx.t/jj
M0 holds for all t 2 Œa; b.
Proof. Let M1 > 0 be as guaranteed by Lemma 9.6. In view of (9.3) there is c0 1
such that
.t/ t for all t c0 : (9.17)
Set
M0 D M C MD0 C D0 jjBjjc0 .b a/ C D0 jjBjj.M1 C 1/: (9.18)
I g .x; u/ M1 C 1: (9.20)
It follows from the equation above, (9.1), (9.11), (9.16), and (9.17) that
9.3 Proof of Theorem 9.1 263
Z Z
jjx./jj D jjS./z C S. s/Bu.s/dsjj jjzjjD0 C D0 jjBjj jju.s/jjds
a a
Z Z
jjzjjD0 C D0 jjBjj jju.s/jjds C jju.s/jjds
E1 E2
Z
MD0 C D0 jjBjjc0 .b a/ C D0 jjBjj jju.s/jjds
E1
Z
MD0 C D0 jjBjjc0 .b a/ C D0 jjBjj .jju.s/jj/ds:
E1
Combined with (A2), (9.20), and (9.18) this inequality implies that
Z b
jjx./jj MD0 C D0 jjBjjc0 .b a/ C D0 jjBjj .jju.s/jj/ds
a
In this section we establish the following result which easily implies Theorem 9.1.
Theorem 9.9. Let f 2 LB and let ; M; q be positive numbers. Then there exist
K;
1 > 0 such that for each g 2 MB satisfying .f; g/ 2 EB .K; q/, each z 2
HQ ;M \ BX .M /, and each .x; u/ 2 A.z/ satisfying I g .x; u/ U g .z/ C 1 the
following assertion holds:
If the set E WD ft 2 Œa; b W jju.t/jj Kg has a positive Lebesgue measure, then
there exists .y; v/ 2 A.z/ such that jjv.t/jj K for almost every t 2 Œa; b and the
following inequalities hold:
264 9 Infinite-Dimensional Linear Control Problems
Z
I g .y; v/ < I g .x; u/ M jju.t/jjdt;
E
Z
jjx.t/ y.t/jj
1 jju.t/jjdt for all t 2 Œa; b;
E
Z
jju.t/ v.t/jj
1 jju.t/jjdt; t 2 Œa; b n E .a:e:/:
E
U g .z/ M1 (9.22)
By Lemma 9.7 there exists M0 > 0 such that for each g 2 MB satisfying (9.23),
each z 2 HQ ;M \ BX .M /, and each .x; u/ 2 A.z/ satisfying I g .x; u/ U g .z/ C 1
the following inequality holds:
By (B5) there are ı0 2 .0; 1/, L0 > 0 and an integrable scalar function 0 .t/ 0,
t 2 Œa; b such that for each t 2 Œa; b, each u 2 Y , and each x1 ; x2 2 X satisfying
Set
Clearly, 0 < 1. Choose a positive number 0 < 1 and a number K0 > 1 such that
By (B4) there exists L1 > 1 such that for each t 2 Œa; b, each x1 ; x2 2 BX .2K0 /,
and each u1 ; u2 2 BY .2K0 /,
Set
1 D maxfD0 jjBjj.3 C 8M0 1 /; 8D0 jjBjj1 K0 g: (9.32)
Choose a number 1 2 .0; 1/ such that
.M0 C 1/8.D0 C 1/.jjBjj C 1/.minf1; g/1 1 .M1 C 2/ < ı0 ; (9.33)
Assume that
In view of (9.37), (9.35), and the choice of M1 , the inequality (9.22) is true. Together
with (9.39) the inequality (9.22) implies that
I g .x; u/ M1 C 1: (9.40)
266 9 Infinite-Dimensional Linear Control Problems
By (9.37), (9.35), (9.39), and the choice of M0 the inequality (9.24) holds. Set
d > 0: (9.43)
It follows from (9.37) and the definition of HQ ;M (see (9.10)) that there exists a
Q uQ / 2 A.z/ such that
trajectory-control pair .x;
Q
x.a/ D z; x.t/
Q 2 H for all t 2 Œa; b; (9.44)
jjQu.t/jj M; t 2 Œa; b a.e. (9.45)
Q uQ / 2 A.z/ it follows from (9.1), (9.11), (9.37), and (9.45) that for each
Since .x;
2 Œa; b
Z
jjx./jj
Q D jjS./z C S. t/B uQ .t/dtjj D0 M C .b a/D0 jjBjjM: (9.46)
a
jjx.t/jj
Q M0 for all t 2 Œa; b: (9.47)
Put
˛ D 4D0 jjBjjd1 : (9.50)
9.3 Proof of Theorem 9.1 267
Z Z Z b
jju.t/jjdt 0 .jju.t/jj/dt 0 .jju.t/jj/dt
E1 [E3 E1 [E3 a
Since the sets U.t/, t 2 Œa; b, and H are convex it follows from (9.1) that
.˛ xQ C .1 ˛/x; ˛ uQ C .1 ˛/u/
Let t 2 Œa; b. Relation (9.44) and the inclusion x.t/ 2 H imply that
Q C .1 ˛/x.t/ 2 H˛ :
˛ x.t/ (9.55)
jjy.t/ .˛ x.t/
Q C .1 ˛/x.t//jj
Z t Z t
D
S.t/z C S.t s/Bv.s/ds S.t/z S.t s/B.˛ Q
u .s/ C .1 ˛/u.s//ds
a a
3 Z 3 Z
X X
D S.t s/Bv.s/ds S.t s/B.˛ uQ .s/ C .1 ˛/u.s//ds
Œa;t \E Œa;t \E
i D1 i i D1 i
Z Z
S.t s/Bv.s/ds S.t s/B.˛ uQ .s/ C .1 ˛/u.s//ds
Œa;t \E1 Œa;t \E1
Z Z
C S.t s/Bv.s/ds S.t s/B.˛ Q
u .s/ C .1 ˛/u.s//ds
Œa;t \E3 Œa;t \E3
Z Z
S.t s/Bv.s/ds C
S.t s/B.˛ Q
u .s/ C .1 ˛/u.s//ds
Œa;t \E1 Œa;t \E1
Z
C
S.t s/B.˛.u.s/ uQ .s//ds
Œa;t \E3
Z Z
D0 jjBjj jj .s/jjds C D0 jjBjj jj˛ uQ .s/ C .1 ˛/u.s/jjds
E1 E1
Z
CD0 jjBjj˛ jju.s/ uQ .s/jjds:
E3
It follows from this relation, (9.21), (9.45), (9.49), (9.42), (9.53), (9.52), (9.35),
(9.28), and (9.50) that
Z
jjy.t/ .˛ x.t/
Q C .1 ˛/x.t//jj D0 jjBjjN0 mes.E1 / C D0 jjBjj˛ jjQu.s/jjds
E1
Z Z
CD0 jjBjj jju.s/jjds C D0 jjBjj˛ mes.E3 /M C jju.s/jjds
E1 E3
Thus
jjy.t/ .˛ x.t/
Q C .1 ˛/x.t//jj .3=4/˛ for all t 2 Œa; b:
Now we estimate I g .y; v/I g .x; u/. By (9.24), (9.47), and (9.50) for each t 2 Œa; b
jjx.t/ .˛ x.t/
Q C .1 ˛/x.t//jj D ˛jjx.t/ x.t/jj
Q 2˛M0 D 8M0 D0 jjBjjd1 :
jjy.t/ x.t/jj dD0 jjBjj.3 C 8M0 1 / for all t 2 Œa; b: (9.62)
Relations (9.62), (9.48), and (9.33) imply that for all t 2 Œa; b
It follows from (9.56), (9.45), (9.41), (9.28), and (9.50) that for all t 2 E2
Together with (9.41), (9.56), (9.21), and (9.35) this implies that
Clearly,
3 Z
X Z
I g .x; u/ I g .y; v/ D g.t; x.t/; u.t//dt g.t; y.t/; v.t//dt :
i D1 Ei Ei
270 9 Infinite-Dimensional Linear Control Problems
jf .t; x.t/; u.t// f .t; y.t/; v.t//j C j.g f /.t; x.t/; u.t// .g f /.t; y.t/; v.t//j
(9.74)
jf .t; x.t/; u.t// f .t; y.t/; v.t//j C qjjx.t/ y.t/jj C qjju.t/ v.t/jj:
By the choice of L1 (see (9.31)), (9.65), (9.24), (9.42), (9.66), (9.29), (9.62),
and (9.64),
jf .t; y.t/; v.t// f .t; x.t/; u.t//j L1 .jjy.t/ x.t/jj C jjv.t/ u.t/jj/
L1 .˛D0 jjBjj8.1 C M0 1 / C 8dD0 jjBjj1 K0 / 8dD0 jjBjjL1 .31 K0 /:
(9.75)
9.3 Proof of Theorem 9.1 271
Combined with the inequality L1 > 1, (9.74), (9.62), (9.64), and (9.29) the
inequality (9.75) implies that
Let t 2 E3 . It follows from (9.56), the choice of L0 (see (9.26)), (9.65), (9.24),
and (9.63) that
jf .t; x.t/; u.t// f .t; y.t/; v.t//j D jf .t; x.t/; u.t// f .t; y.t/; u.t//j
jjx.t/ y.t/jjL0 .f .t; x.t/; u.t// C 0 .t//: (9.78)
jg.t; x.t/; u.t// g.t; y.t/; v.t//j jjx.t/ y.t/jjŒL0 .f .t; x.t/; u.t// C 0 .t// C q
1
8dD0 jjBjj.1 C M0 /ŒL0 .f .t; x.t/; u.t// C 0 .t// C q: (9.80)
Together with (9.24), (9.41), (9.35), (9.37), and (9.6) this inequality implies that
Z #
b
Cq.L0 C 1/.b a/ C L0 0 .t/dt : (9.82)
a
I g .x; u/ I g .y; v/
Z
.7=8/ g.t; x.t/; u.t//dt 24dD0 jjBjjL1 1 K0 .1 C q/.b a/
E1
"
8dD0 jjBjj.1 C M0 1 / L0 .M1 C 1/ C q.L0 C 1/.b a/
Z #
b
CL0 0 .t/dt : (9.83)
a
Z !#
b
C8D0 jjBjj.1 C M0 1 / L0 .M1 C 1/ Cq.L0 C 1/.b a/ C L0 0 .t/dt
a
Z
.41 /1 d > M d D M jju.t/jjdt: (9.85)
E1
Lemma 9.10. Let f 2 LA and let M; ; be positive numbers. Then there exists a
neighborhood U of f in MA with the weak topology and K > 0 such that for each
g 2 U and each z 2 HQ ;M \ BX .M / there is .x; u/ 2 A.z/ such that jju.t/jj K
for almost every t 2 Œa; b and I g .x; u/ U g .z/ C .
Proof. We may assume without loss of generality that
U g .z/ M1 (9.88)
and each z 2 HQ ;M \ BX .M /. By Lemma 9.7 there is M0 > 0 such that for each
g 2 MA satisfying (9.89), each z 2 HQ ;M \ BX .M /, and each .x; u/ 2 A.z/
satisfying I g .x; u/ U g .z/ C 1 the following inequality holds:
such that for each t 2 Œa; b, each u 2 Y satisfying jjujj N2 , and each x1 ; x2 2 X
satisfying
jjx1 jj; jjx2 jj M0 C 4; jjx1 x2 jj ı0 (9.96)
the following inequality holds:
Set
such that for each t 2 Œa; b, each x1 ; x2 2 BX .M0 C 4 C 2N2 /, y1 ; y2 2 BY .M0 C
4 C 2N2 / satisfying
jjx1 x2 jj; jjy1 y2 jj ı1 (9.100)
1 < 1 and .M0 C 1/321 .M1 C 1/.D0 C 1/.N2 C 1/.jjBjj C 1/1 < ı1 : (9.102)
and set
U D fg 2 MA W .f; g/ 2 EAw .K C 1;
/g: (9.106)
Assume that
g 2 U; z 2 HQ ;M \ BX .M /: (9.107)
In order to prove the lemma it is sufficient to show that there is .x; u/ 2 A.z/ such
that jju.t/jj K for almost every t 2 Œa; b and I g .x; u/ U g .z/ C . There is
such that
I g .x; u/ U g .z/ C =4: (9.109)
We may assume without loss of generality that
In view of (9.107), (9.106), (9.105), (9.103), and the choice of M1 , (9.88) is true.
Combined with (9.109) and (9.86) the relation (9.88) implies that
I g .x; u/ M1 C 1: (9.111)
By (9.107), (9.106), (9.103), (9.105), (9.109), and the choice of M0 , the inequal-
ity (9.90) holds. Set
Q
x.a/ D z; x.t/
Q 2 H for all t 2 Œa; b; (9.115)
jjQu.t/jj M; t 2 Œa; b (a.e.): (9.116)
Arguing as in the proof of Theorem 9.1 we can show that it follows from (9.1),
(9.11), (9.107), (9.91), and (9.116) that
jjx.t/jj
Q M0 for all t 2 Œa; b: (9.117)
276 9 Infinite-Dimensional Linear Control Problems
Arguing as in the proof of Theorem 9.1 (see (9.48)) we can show that (9.113),
(9.112), (9.104), (9.111), and (A2) imply that
d 1 .M1 C 1/: (9.118)
Set
˛ D 4D0 jjBjjd1 : (9.120)
By (9.118), (9.102), (9.95), (9.99), and (9.86)
˛ < 1: (9.121)
It follows from (9.112), (9.103), (9.95), (9.94), (9.111), and (A2) that
Z Z Z b
jju.t/jjdt 0 .jju.t/jj/dt 0 .jju.t/jj/dt
E1 [E3 E1 [E3 a
Since the sets U.t/, t 2 Œa; b and H are convex it follows from (9.1) that .˛ xQ C.1
˛/x; ˛ uQ C .1 ˛/u/ is a trajectory-control pair. The inclusions .x;
Q uQ /, .x; u/ 2 A.z/
imply that
.˛ xQ C .1 ˛/x; ˛ uQ C .1 ˛/u/ 2 A.z/: (9.124)
Equations (9.115) and (9.108) imply that
Define
jjy.t/ .˛ x.t/
Q C .1 ˛/x.t//jj 3D0 jjBjjd for all t 2 Œa; b: (9.129)
jjy.t/ .˛ x.t/
Q C .1 ˛/x.t//jj .3=4/˛ for all t 2 Œa; b: (9.130)
Now we estimate I g .y; v/ I g .x; u/. By (9.117), (9.90), and (9.120) for each t 2
Œa; b
jjx.t/ .˛ x.t/
Q C .1 ˛/x.t//jj D ˛jjx.t/ x.t/jj
Q 2˛M0 D 8D0 jjBjjd1M0 :
(9.133)
Combined with (9.129) this implies that
jjy.t/ x.t/jj dD0 jjBjj.3 C 8M0 1 / for all t 2 Œa; b: (9.134)
Relations (9.134), (9.118), (9.102), (9.99), and (9.95) imply that for all t 2 Œa; b
It follows from (9.126), (9.116), (9.112), (9.95), (9.120), (9.118), and (9.102) that
for all t 2 E2
jjv.t/jj K: (9.139)
Clearly,
3 Z
X Z
I g .x; u/ I g .y; v/ D g.t; x.t/; u.t//dt g.t; y.t/; v.t//dt :
i D1 Ei Ei
By (9.137), (9.126), (9.87), (9.91), (9.103), (9.106), (9.107), (9.5), and (9.142) for
all t 2 E1
g.t; y.t/; v.t//
C f .t; y.t/; v.t//
C
1 : (9.143)
It follows from (9.143), (9.103), (9.125), (9.141), and (9.102) that
Z
g.t; y.t/; v.t//dt .
C
1 /mes.E1 /
E1
Z
81 Kmes.E1 / 81 g.t; x.t/; u.t//dt: (9.144)
E1
jg.t; x.t/; u.t// g.t; y.t/; v.t//j jf .t; x.t/; u.t// f .t; y.t/; v.t//j
Cj.g f /.t; x.t/; u.t//j C j.g f /.t; y.t/; v.t//j
jf .t; x.t/; u.t// f .t; y.t/; v.t//j C 2
: (9.145)
9.4 An Auxiliary Result for Theorem 9.5 279
By (9.137), (9.90), (9.102), (9.136), (9.135), and the choice of ı1 (see (9.97)),
jf .t; x.t/; u.t// f .t; y.t/; v.t//j D jf .t; x.t/; u.t// f .t; y.t/; u.t//j
0 minff .t; x.t/; u.t//; f .t; y.t/; v.t//g: (9.148)
Together with (9.148), (9.105), (9.111), (9.112), (9.90), (9.103), and (9.105)–
(9.107) this inequality implies that
ˇZ Z ˇ
ˇ ˇ
ˇ g.t; x.t/; u.t//dt g.t; y.t/; v.t//dt ˇˇ 2
.b a/
ˇ
E3 E3
Z
C0 f .t; x.t/; u.t//dt
E3
Z Z
=16 C 0 g.t; x.t/; u.t//dt C 0 jg.t; x.t/; u.t// f .t; x.t/; u.t//jdt
E3 E3
In this section we prove the following result which implies Lemma 9.2.
Lemma 9.11. Let f 2 MA (respectively, MAc ) and let ; N be positive numbers.
Then there is g 2 LA (respectively, LAc ) such that
C .1 Q
.jjxjj/ .jjujj//Œjjxjj C jjujj C .jjujj/ C 1;
.t; x; u/ 2 Œa; b X Y:
Clearly g satisfies (A1)–(A3). It is not difficult to see that (B4) holds for each of the
following functions:
.t; x; u/ ! .jjxjj/; .t; x; u/ ! .jjujj/; .t; x; u/ ! jjxjj; .t; x; u/ ! jjujj;
Q
.t; x; u/ ! .jjujj/; .t; x; u/ 2 Œa; b X Y:
Together with Lemma 9.12 and the definition of g this implies that (A4) holds for
g and if f satisfies (B4), then (B4) holds for g. Clearly (A5) holds for g. Thus
g 2 LA . Evidently .f; g/ 2 EAs .N; /. Clearly, if f 2 MAc , then g 2 LAc .
Assume that f 2 MB . We have already shown that g 2 MB . Let M > 0.
Since (B4) holds for g there is L > 0 such that for each t 2 Œa; b, each x1 ; x2 2
BX .M C N C 4/, and each y1 ; y2 2 BY .M C N C 4/ the inequality
jg.t; x1 ; y1 / g.t; x2 ; y2 /j L.jjx1 x2 jj C jjy1 y2 jj/
holds. Assume that
t 2 Œa; b; u 2 Y; x1 ; x2 2 BX .M /:
There are two cases: jjujj N C 4; jjujj < N C 4. Assume that jjujj N C 4. By
this inequality, the definition of g, and the definition of
Assume that jjujj < N C 4. Then it follows from the choice of L that
Let f 2 LA and n be a natural number. By Lemma 9.10 there exist K.f; n/ > 0
and an open neighborhood U.f; n/ of f in MA with the weak topology such that
the following property holds:
(P1) If g 2 U.f; n/ and z 2 HQ 1=n;n \ BX .n/, then there is .x; u/ 2 A.z/ such that
jju.t/jj K.f; n/ for almost every t 2 Œa; b and I g .x; u/ U g .z/ C 1=n.
Define
FA D \1 1
nD1 [ fU.f; n/ W f 2 LA g; FAc D \nD1 [ fU.f; n/ \ MAc W f 2 LAc g:
then there exists .y; v/ 2 A.z/ such that I g .y; v/ < I g .x; u/,
jjv.t/jj K.f; n/ for almost every t 2 Œa; b:
FB D \1 1
nD1 [fU.f; n/ W f 2 LB g; FBc D \nD1 [fU.f; n/\MBc W f 2 LBc g:
Assume that
Clearly, z 2 HQ 1=m;m \ BX .m/: Now by property (P2) there is .y; v/ 2 A.z/ such
that I g .y; v/ < I g .x; u/,
Define
jxi j M; i D 1; 2; juj
; jx1 x2 j ı:
jf .t; x1 ; u1 / f .t; x2 ; u2 /j
holds and there exists an increasing function 0 W Œ0; 1/ ! Œ0; 1/ such that
Theorem 10.1. For each h 2 M, each ı 2 .0; 1/, and each z 2 Rn there exists an
.h/-good function Zıh W Œ0; 1/ ! Rn satisfying Zıh .0/ D z such that the following
assertions hold:
1. Let f 2 M, 2 .0; 1/, z 2 Rn and let y W Œ0; 1/ ! Rn be an a.c. function.
Then one of the following properties holds:
f
(i) I f .0; T; y/ I f .0; T; Z / ! 1 as T ! 1
f
(ii) supfjI f .0; T; y/ I f .0; T; Z /j W T 2 .0; 1/g < 1 and
In this chapter we also prove the following result which establishes that for every
bounded set E Rn the C.Œ0; T / norms of approximate solutions x W Œ0; T !
Rn for the minimization problem on an interval Œ0; T with x.0/; x.T / 2 E are
bounded by some constant which does not depend on T .
10.2 Preliminary Results 289
satisfying
v.T1 / D x; I g .T1 ; T2 ; v/ g .T1 ; T2 ; x/ C M2
relation (10.6) holds.
I f .T1 ; T2 ; x/ M1 (10.8)
is bounded.
Proposition 10.10. Assume that f 2 M, 0 < c1 < c2 < 1 and M; > 0. Then
there exists ı > 0 such that for each T1 ; T2 0 satisfying
T2 T1 2 Œc1 ; c2 (10.9)
Proof. We may assume that c1 < 1 and c2 > 1. By Proposition 10.9 there exists a
number
By Proposition 10.7 there exists a number M1 > 0 such that for each pair of numbers
T1 ; T2 0 satisfying (10.9) and each a.c. function x W ŒT1 ; T2 ! Rn which satisfies
I f .T1 ; T2 ; x/ 4M0 C 1 the following relation holds:
0 > 2 and ı2 2 .0; 81 / (10.15)
such that
jxi j M1 C 1; i D 1; 2; juj
0 1; jx1 x2 j ı2 : (10.17)
such that
jf .t; x1 ; u1 / f .t; x2 ; u2 /j ı1 (10.20)
for each t 2 Œ0; 1/ and each u1 ; u2 ; x1 ; x2 2 Rn which satisfy
I f .T1 ; T2 ; x1 / M0 : (10.24)
Set
˝0 D ft 2 ŒT1 ; T2 W jx10 .t/j d1 g; ˝1 D ŒT1 ; T2 n ˝0 : (10.26)
292 10 Uniform Boundedness of Approximate Solutions of Variational Problems
Equations (10.26), (10.24), assumption A(ii), (10.18), and (10.9) imply that
Z Z
M0 f .t; x1 .t/; x10 .t//dt C f .t; x1 .t/; x10 .t//dt (10.27)
˝0 ˝1
Z Z
. .d1 /d1 a/dt adtd1 mes.˝0 /ac2 ; mes.˝0 /d11 .M0 Cac2 /:
˝0 ˝1
Define
Equations (10.32), (10.30), (10.31), (10.23), (10.10), and (10.9) imply that for all
s 2 ŒT1 ; T2
ˇZ s Z s ˇ
ˇ ˇ
ˇ
jx1 .s/ x2 .s/j jx1 .T1 / x2 .T1 /j C ˇ 0
x1 .t/dt x2 .t/dt ˇˇ
0
T1 T1
It follows from this fact, (10.32), and (10.22) that for all t 2 ŒT1 ; T2
jx10 .t/ x20 .t/j < ı3 ; jx1 .t/ x2 .t/j < ı3 : (10.33)
We have
jI f .T1 ; T2 ; x2 / I f .T1 ; T2 ; x1 /j 0 C 1 ; (10.34)
where
Z
j D jf .t; x1 .t/; x10 .t// f .t; x2 .t/; x20 .t//jdt; j D 0; 1: (10.35)
˝j
10.2 Preliminary Results 293
Let f 2 M, zN 2 Rn and let 0 < c1 < c2 < 1. By Proposition 10.9 there exist a
neighborhood U0 of f in M and a number
Proposition 10.13. Assume that a positive number M1 satisfies (10.38) and that
M2 > 0. Then there exist a neighborhood U of f in M and an integer N > 2 such
that
1. For each g 2 U , each
2 Œ0; 1/, each T 2 Œc1 ; c2 , each pair of integers
q2
q1 ; q2 satisfying 0 q1 < q2 , q2 q1 N , and each sequence fzi gi Dq 1
Rn
satisfying
fi 2 fq1 ; : : : :q2 g W jzi j M1 g D fq1 ; q2 g
the following relation holds:
q2 1
X
ŒU g .
CiT;
C.i C1/T; zi ; zi C1 /U g .
CiT;
C.i C1/T; yi ; yi C1 /M2 ;
i Dq1
(10.39)
where yi D zi ; i D q1 ; q2 ; yi D zN; i D q1 C 1; : : : ; q2 1.
2. For each g 2 U , each
2 Œ0; 1/, each T 2 Œc1 ; c2 , each pair of integers q1 ; q2
q2
satisfying 0 q1 < q2 , q2 q1 N and each sequence fzi gi Dq 1
Rn satisfying
Proposition 10.14. Assume that a positive number M1 satisfies (10.38) and that
M3 > 0. Then there exist a neighborhood V of f in M and a number M4 > M1
such that:
1. For each g 2 V , each
2 Œ0; 1/, each T 2 Œc1 ; c2 , each pair of integers q1 ; q2
q2
satisfying 0 q1 < q2 , and each sequence fzi gi Dq1
Rn satisfying
q2 1
X
ŒU g .
CiT;
C.i C1/T; zi ; zi C1 /U g .
CiT;
C.i C1/T; yi ; yi C1 /M3 :
i Dq1
(10.41)
2. For each g 2 V , each
2 Œ0; 1/, each T 2 Œc1 ; c2 , each pair of integers q1 ; q2
q2
satisfying 0 q1 < q2 , and each sequence fzi gi Dq1
Rn satisfying
q
Assume that i2 i1 < N and define a sequence fyi gi Dq
2
1
Rn by
It follows from (10.45), (10.43), assumption (Aii), and the definition of i1 ; i2 ; j that
q2 1
X
ŒU g .
C iT;
C .i C 1/T; zi ; zi C1 / U g .
C iT;
C .i C 1/T; yi ; yi C1 /
i Dq1
(10.46)
2 1
iX
D ŒU g .
CiT;
C.i C1/T; zi ; zi C1 /U g .
CiT;
C.i C1/T; yi ; yi C1 /
i Di1
q2 1
X
ŒU g .
C iT;
C .i C 1/T; zi ; zi C1 / (10.47)
i Dq1
yi D zi ; i D q1 ; : : : ; i1 ; yi D zN; i D i1 C 1; : : : ; q2 :
Q1 > Q0 C M2 C 1 (10.52)
such that
jx.t/j Q1 ; t 2 ŒT1 ; T2 (10.53)
for each g 2 M, each T1 ; T2 satisfying
0 T1 < T2 ; T2 T1 2 Œ41 ; 4
gq
X
q1
gq gq
z0 D z; U g .i; i C 1; zi ; zi C1 / D g .0; q; z/: (10.56)
i D0
gq .j /
zi D lim xi ; i D 0; : : : ; q: (10.58)
j !1
Clearly
gq
z0 D z: (10.59)
By (10.58), (10.57), and Proposition 10.10,
X
q1
gq gq
X
q1
.j / .j /
U g .i; i C 1; zi ; zi C1 / D lim U g .i; i C 1; xi ; xi C1 /
j !1
i D0 i D0
g gqj
zi D lim zi ; i D 0; 1; 2; : : : (10.61)
j !1
g
jzi j M2 ; i D 0; 1; : : : (10.62)
we have
2 1
iX
g g g g
U g .i; i C 1; zi ; zi C1 / > U g .i1 ; i2 ; zi1 ; zi2 / C
0 (10.64)
i Di1
and that there exists an a.c. function zQqj W Œi1 ; i2 ! Rn such that
gq gq
zQqj .i1 / D zi1 j ; zQqj .i2 / D zi 2 j ;
2 1
iX
gq gq
I g .i1 ; i2 ; zQqj / < U g .i; i C 1; zi j ; zi C1
j
/
0 :
i Di1
This fact contradicts (10.56). The contradiction we have reached proves (10.63).
Thus (10.63) is true for any pair of integers i1 0 and i2 > i1 .
g
For each 2 .0; 1/ there exists an a.c. function Z W Œ0; 1/ ! Rn such that for
each integer i 0
gq
X
q1
gq gq
Zgq .i / D zi ; i D 0; : : : ; q; I g .0; q; Zgq / U g .i; i C 1; zi ; zi C1 / C :
i D0
(10.66)
It follows from (10.66), (10.60), and (10.51) that
300 10 Uniform Boundedness of Approximate Solutions of Variational Problems
By (10.67), (10.68), and the definition of Q1 (see (10.52), (10.53)) for each 2
.0; 1/,
q
Proof. Assume that integers q1 ; q2 satisfy 0 q1 < q2 and a sequence fyi gi Dq
2
1
R satisfies jyq1 j M1 . We will show that (10.70) holds.
n
q2 1
X
ŒU g .i; i C 1; yi ; yi C1 / U g .i; i C 1; yNi ; yNi C1 / 21
i Dq1
q
for each sequence fyNi gi Dq
2
1
Rn satisfying yNq1 D yq1 . It follows from (10.50)
and (10.52) that
jyi j M2 < Q1 ; i D q1 ; : : : ; q2 : (10.72)
By Proposition 10.10 and (10.61) for any integer i 0
g g gqj gq
U g .i; i C 1; zi ; zi C1 / D lim U g .i; i C 1; zi j
; zi C1 /:
j !1
X
q2
g g gq gq
ŒU g .i; i C 1; zi ; zi C1 / U g .i; i C 1; zi ; zi C1 / 1=4: (10.73)
i Dq1
q
We define a sequence fhi gi D0 Rn as follows:
gq
hi D zi ; i 2 f0; : : : ; q1 g[fq2 C1; : : : ; qg; hi D yi ; i D q1 C1; : : : ; q2 : (10.74)
X
q1
gq gq
0 ŒU g .i; i C 1; zi ; zi C1 / U g .i; i C 1; hi ; hi C1 / (10.75)
i D0
X
q2
gq gq
D ŒU g .i; i C 1; zi ; zi C1 / U g .i; i C 1; hi ; hi C1 /
i Dq1
X
q2
gq gq g g
D ŒU g .i; i C 1; zi ; zi C1 / U g .i; i C 1; zi ; zi C1 /
i Dq1
q2 1
X
q2
g g
X
C U g .i; i C 1; zi ; zi C1 / U g .i; i C 1; yi ; yi C1 /
i Dq1 i Dq1
Together with (10.74), (10.72), (10.62), (10.60), (10.52), and (10.54) this relation
implies that
g
0 3 C 4Q2 C U g .q2 ; q2 C 1; zgq2 ; zq2 C1 / C U g .q1 ; q1 C 1; yq1 ; yq1 C1 / (10.76)
gq
U g .q1 ; q1 C 1; zgq
q1 ; yq1 C1 / U .q2 ; q2 C 1; yq2 ; zq2 C1 / 3 C 4Q2 4Q2 :
g
By Lemma 10.16,
It follows from (10.81) and (10.55) that jI g .q; T1 ; x1 /j Q3 . Equation (10.80) now
follows from this relation, (10.83), and (10.81). The lemma is proved. t
u
Lemma 10.18. Let g 2 U , z 2 Rn , jzj M , fyi g1
i D0 R and
n
Then
X
N 1
g g
ŒU g .i; i C 1; yi ; yi C1 / U g .i; i C 1; zi ; zi C1 / ! 1 as N ! 1:
i D0
The proof of Lemma 10.18 is analogously to the proof of Lemma 1.5.4 of [99].
The following auxiliary result is proved analogously to Lemma 1.5.5 of [99].
Lemma 10.19. Assume that g 2 U , z 2 Rn , jzj M , 2 .0; 1/ and y W Œ0; 1/ !
Rn is an a.c. function which satisfies
10.4 Proofs of Theorems 10.1, 10.3, and 10.4 303
Then
I g .0; T; y/ I g .0; T; Zg / ! 1 as T ! 1:
The following auxiliary result is proved analogously to Lemma 1.5.6 of [99].
Lemma 10.20. Let g 2 U , z 2 Rn , jzj M , 2 .0; 1/ and let y W Œ0; 1/ ! Rn
be an a.c. function. Then one of the relations below holds:
g
(i) I g .0; T; y/ I g .0; T; Z / ! 1 as T ! 1
g
(ii) supfjI g .0; T; y/ I g .0; T; Z /j W T 2 .0; 1/g < 1
Proof (Proof of Theorem 10.1). At the beginning of Sect. 10.4 for each f 2 M and
each M > 2jNzj we constructed a neighborhood U of f in M and for each g 2 U ,
g
each z 2 Rn satisfying jzj M , and each 2 .0; 1/ we defined a.c. functions Z W
gq
Œ0; 1/ ! R ; Z W Œ0; q ! R ; q D 1; 2; : : : satisfying (10.65)–(10.69) and
n n
By Proposition 10.7 there exist S > S1 C 1 such that jv.t/j S , t 2 ŒT1 ; T2 for
each g 2 M, each T1 2 Œ0; 1/, T2 2 ŒT1 C c; T1 C 2c C 2, and each a.c. function
v W ŒT1 ; T2 ! Rn satisfying I g .T1 ; T2 ; v/ 2M3 C 2M2 C 2.
Assume that g 2 U , T1 2 Œ0; 1/, and T2 c C T1 . We will show that property
(i) holds.
Let x; y 2 Rn , jxj; jyj M1 and let v W ŒT1 ; T2 ! Rn be an a.c. function which
satisfies
X
p1
ŒU g .T1 C iT; T1 C .i C 1/T; v.T1 C iT /; v.T1 C .i C 1/T //
i D0
jv.T1 C iT /j S1 ; i D 0; : : : ; p:
jv.t/j S; t 2 ŒT1 ; T2 :
Therefore property (i) holds. Analogously to this we can show that property
(ii) holds. The theorem is proved. t
u
Chapter 11
The Turnpike Property for Approximate
Solutions of Variational Problems
Denote by j j the Euclidean norm in Rn . Let a > 0 be a positive constant and let
W Œ0; 1/ ! Œ0; 1/ be an increasing function such that .t/ ! C1 as t ! 1.
Denote by M the set of all continuous functions f W Œ0; 1/Rn Rn ! R1 which
satisfy the following assumptions:
A(i) The function f is bounded on Œ0; 1/ E for any bounded set E Rn Rn .
A(ii) f .t; x; u/ maxf .jxj/; .juj/jujga for each .t; x; u/ 2 Œ0; 1/Rn Rn .
A(iii) For each M; > 0 there exist
; ı > 0 such that
jxi j M; i D 1; 2; juj
; jx1 x2 j ı:
A(iv) For each M; > 0 there exists ı > 0 such that jf .t; x1 ; u1 / f .t; x2 ; u2 /j
for each t 2 Œ0; 1/ and each u1 ; u2 ; x1 ; x2 2 Rn which satisfy
For the set M we consider the uniformity which is determined by the following
base:
where > 0.
Clearly, the space M with this uniformity is metrizable (by a metric s ) and
complete. The metric s induces in M a topology which is called the strong
topology.
We consider functionals of the form
Z T2
I f .T1 ; T2 ; x/ D f .t; x.t/; x 0 .t//dt; (11.3)
T1
where > 0.
Clearly this uniform space is Hausdorff and has a countable base. Therefore it is
metrizable (by a metric k ). It is not difficult to see that the metric space .Mk ; k /
is complete. We equip the set Mk with the topology induced by the metric k . This
topology will be called the strong topology.
Let k 1 be an integer. Denote by Mk the set of all f 2 M such that
the function f .t; ; / W Rn Rn ! R1 belongs to C k .R2n / for all t 2 Œ0; 1/.
We equip the set Mk with a topology induced by the metric w . This topology
will be called the weak topology. For the set Mk we also consider the uniformity
determined by the following base:
be as guaranteed by Theorem 10.1 (with z D zN/. We have that for any 2 .0; 1/,
ZN is an .f /-good function, ZN .0/ D zN and for each T1 0, T2 > T1
f f
Fix a natural number p and a number M > jNzj. By Theorems 10.1 and 10.3 there
exist an open neighborhood W f of f in M with the weak topology and a number
M f > 0 such that
jNzj < M f ; supfjZN f .t/j W t 2 Œ0; 1/; 2 .0; 1/g < M f (11.11)
There exist an open neighborhood W0 .f; p/ of f in M with the weak topology and
a number M0 .f; p/ such that
There exists an open neighborhood W .f; p/ of f in M with the weak topology and
a number M.f; p/ such that
is finite.
There exists a function 2 C 1 .R1 / such that
Mp
It is not difficult to see that for any 2 .0; 1/, is a bounded continuous function
and .t; / W Rn ! R1 belongs to C 1 .Rn / for all t 2 Œ0; 1/.
Mp
belongs to V .
2. Assume that k 1 is an integer, f 2 Mk (Mk , respectively) and V be
a neighborhood of f in Mk (Mk , respectively) with the strong topology.
310 11 The Turnpike Property for Approximate Solutions
Then there exists a number r0 2 .0; 1/ such that for each r 2 .0; r0 and each
2 .0; 1/ the function g defined by (11.20) belongs to V .
For each ; r 2 .0; 1/ define
f r 2 W .f; p/ for each 2 .0; 1/ and each r 2 .0; r.f; p//: (11.22)
Fix
r 2 .0; r.f; p//: (11.23)
Lemma 11.5. Let 2 .0; 1/. Then there are ; ı 2 .0; / such that for each T1 2
Œ0; 1/, T2 2 ŒT1 C 1; 1/ and each a.c. function v W ŒT1 ; T2 ! Rn which satisfies
Proof. By Assertion 4 of Theorem 10.1, (11.11), and Proposition 10.9 there exists
a number
S1 > supfjI f .T1 ; T2 ; ZN f /j W 2 .0; 1/; T1 2 Œ0; 1/; T2 2 ŒT1 C 41 ; T1 C 10g:
(11.26)
By Proposition 10.8 there exists ı0 2 .0; 81 / such that for each g 2 M, each
T1 2 Œ0; 1/, T2 2 ŒT1 C 41 ; T1 C 10, each a.c. function v W ŒT1 ; T2 ! Rn
satisfying
I g .T1 ; T2 ; v/ 2S0 C 2S1 C 2 (11.27)
and each t1 ; t2 2 ŒT1 ; T2 satisfying jt1 t2 j ı0 the following relation holds:
Choose numbers
2 .0; 28 r 2 ı0 /; ıN 2 .0; 212 r 2 ı0 /: (11.29)
By Proposition 10.10 there exists a number
N
ı 2 .0; 161 ı/ (11.30)
11.2 Auxiliary Results for the Main Theorems 311
It follows from (11.24), (11.14), Theorem 10.4, (11.22), (11.23), and (11.11) that
d2 d1 D 1; t1 2 Œd1 ; d2 : (11.35)
Mp
By this relation, (11.34), the definition of (see (11.19)), and (11.18),
g
For g D f; f r there exist a.c. functions vi W ŒT1 ; T2 ! Rn , i D 1; 2 such that
g g g N
I g .S; S C 21 ; v2 / U g .S; S C 21 ; v2 .S /; v2 .S C 21 // C ı=8;
S D T1 ; T2 21 :
g D f; f r ; S D T1 ; T2 21 ; (11.41)
jU g .S; S C 21 ; v1 .S /; v1 .S C 21 // U g .S; S C 21 ; v.S /; v.S C 21 //j ıN
g g
g D f; f r ; S D T1 ; T2 21 : (11.42)
Equations (11.10), (11.40), (11.41), (11.21), and (11.19) imply that for g D f; f r
C I g .T1 ; T2 ; v2 / I g .T1 ; T2 ; ZN f /
g
g g N
C U g .T1 ; T1 C 21 ; v2 .T1 /; v2 .T1 C 21 // C ı=8
U g .T1 ; T1 C 21 ; ZN f .T1 /; ZN f .T1 C 21 //
It follows from these inequalities, (11.43) which holds with g D f; f r and (11.44)
that (11.39) holds with g D f; f r . Combined with (11.10), (11.21), (11.19),
and (11.24) this implies that
Combined with (11.48), (11.30), and (11.29) this inequality implies that
Proof. By Theorem 10.1 there exists S1 > 0 such that for each T1 0, T2 > T1
and each a.c. function v W ŒT1 ; T2 ! Rn satisfying jv.T1 /j M.f; p/ C 1 the
relation I f .T1 ; T2 ; ZN / I f .T1 ; T2 ; v/ C S1 holds. It follows from Assertion 4 of
f
S2 > supfjI f .T1 ; T2 ; ZN f /j W T1 2 Œ0; 1/; T2 2 ŒT1 C 41 ; T1 C 8g C 2M.f; p/:
(11.51)
11.2 Auxiliary Results for the Main Theorems 315
By Proposition 10.8 there exists ı 2 .0; 81 / such that for each g 2 M, each
T1 2 Œ0; 1/, T2 2 ŒT1 C 41 ; T1 C 8, each a.c. function v W ŒT1 ; T2 ! Rn satisfying
It follows from (11.49), Theorem 10.4, and the definition of W .f; p/, M.f; p/
(see (11.15), (11.16)) that
jU f r .T; T CN; v.T /; v.T CN //U g .T; T CN; v.T /; v.T CN //j 41 : (11.59)
j1 2 < T j1 1: (11.62)
Fix an integer i 2 Œ0; N 6. By (11.56) there exists a number ti such that
By (11.51)
jI f .T C i; T C i C 6; ZN f /j S2 : (11.64)
Equations (11.49), (11.57), and (11.17) imply that
I g .T C i; T C i C 6; v/ (11.65)
U .T C i; T C i C 6; v.T C i /; v.T C i C 6// C 2M0 .f; p/ C 2
g
It follows from (11.65), (11.64), (11.63), (11.51), and the definition of ı (see (11.52),
(11.53)) that for each
t 2 Œi C T; i C T C 6 \ Œti ı; ti C ı (11.66)
jv.ti / v.t/j 161 0 ; jZN f .ti / ZN f .t/j 161 0 ; jv.t/ ZN f .t/j 3 41 0 :
11.2 Auxiliary Results for the Main Theorems 317
It follows from these relations, (11.57), (11.19), and (11.18) that for each integer
i 2 Œ0; N 6 and each number t satisfying (11.66)
By (11.21),
Z T CN
I f r .T; T C N; v/ D I f .T; T C N; v/ C r Mp .t; v.t//dt:
T
It follows from this relation and relation (11.67) which holds for each integer i 2
Œ0; N 6 and each t satisfying (11.66) that
Proof. By Lemma 11.5 there exist ı; 2 .0; / such that for each T1 2 Œ0; 1/,
T2 2 ŒT1 C 1; 1/, and each a.c. function v W ŒT1 ; T2 ! Rn which satisfies
the relation
jI f r .T1 ; T2 ; v/ I g .T1 ; T2 ; v/j 41 ı (11.81)
holds.
(b) For each y1 ; y2 2 Rn satisfying jyi j M.f; p/ C 2, i D 1; 2 the relation
holds.
Assume that g 2 U, T1 2 Œ0; 1/, T2 2 ŒT1 C 1; 1/ and v W ŒT1 ; T2 ! Rn is an
a.c. function which satisfies (11.73). We will show that (11.74) holds.
There are two cases: (i) T2 T1 6N ; (ii) T2 T1 > 6N . Consider the case (i).
Equation (11.80) follows from (11.73), (11.79), and (11.11). (11.80) and property
(a) imply (11.81). It follows from (11.73), (11.11), and property (b) that
Equation (11.74) follows from this relation, (11.73), and the definition of ı
(see (11.75), (11.76)).
Consider the case (ii). It follows from (11.73), (11.11), Theorem 10.4, and the
definition of M0 .f; p/, W0 .f; p/ (see (11.14)) that
By (11.83), (11.73), and the definition of U0 , N (see (11.77), (11.78)), for each
2 ŒT1 ; T2 N there is an integer i 2 Œ0; N 6 such that
Fix an integer i 2 f0; : : : q 1g. By (11.73), (11.85), (11.86), (11.83), and (11.79)
It follows from (11.87), (11.85), (11.83), and the properties (a), (b) that
and
By the definition of ı (see (11.75), (11.76)), (11.86), and (11.88), jv.t/ ZN .t/j
f
Set
D 2N: (11.92)
Assume that g 2 V, T1 2 Œ0; 1/, T2 2 ŒT1 C 2
; 1/ and v W ŒT1 ; T2 ! Rn is an
a.c. function satisfying (11.89). It follows from the definition of V; N , and (11.89)
that for each T 2 ŒT1 ; T2 N there is an integer i0 2 Œ0; N 6 for which (11.91)
holds. Therefore there exists a sequence of numbers fti gG i D0 ŒT1 ; T2 such that
t0 D T1 ; ti C1 ti 2 Œ6; N ; i D 0; : : : G 1; T2 tG N; (11.93)
jv.ti / ZN f .ti /j ı; i D 1; : : : G: (11.94)
The next result follows from Lemma 11.8, Theorem 10.4, the definition of
W0 .f; p/, M0 .f; p/ (see (11.13), (11.14)), (11.22), and (11.23).
Lemma 11.10. Let 2 .0; 1/ and let ; ı 2 .0; / and a neighborhood U of f r
in M with the weak topology be as guaranteed by Lemma 11.7. Then there exist a
number
> 1 and a neighborhood V of f r in M with the weak topology such that
V U and that for each g 2 V, each T1 2 Œ0; 1/, T2 2 ŒT1 C 2
; 1/, and each
a.c. function v W ŒT1 ; T2 ! Rn the following properties hold:
Œ0; 1/ ! R defined in Sect. 11.2 (see (11.10)), numbers M , M0 .f; p/, M.f; p/,
n f
Set
Fp D \1
qD1 [ fV .f; p; r; q/ W f 2 M; r 2 .0; r.f; p//g; (11.97)
Fpk D Œ\1
qD1 [ fV .f; p; r; q/ W f 2 Mk ; r 2 .0; r.f; p//g \ Mk ;
Fpk D Œ\1
qD1 [ fV .f; p; r; q/ W f 2 Mk ; r 2 .0; r.f; p//g \ Mk :
is an everywhere dense subset of Mk with the strong topology and the set
is an everywhere dense subset of Mk with the strong topology. This implies that Fp
(Fpk , Fpk , respectively) is a countable intersection of open (in the weak topology)
everywhere dense (in the strong topology) subsets of M (Mk , Mk , respectively).
Set
F D \1 k 1
pD1 Fp ; F D \pD1 Fp ; F
k k
D \1
pD1 Fp :
k
(11.98)
It follows from property (iii) and Lemma 11.10 that the following property holds:
(iv) For each h 2 V .f; p; r; q/, each T1 0, T2 T1 C 2
.f; p; r; q/, and each
a.c. function v W ŒT1 ; T2 ! Rn :
If jv.Ti /j 2M f C 2 C 2p; i D 1; 2;
I h .T1 ; T2 ; v/ U h .T1 ; T2 ; v.T1 /; v.T2 // C ı.f; p; r; q/;
then
jv.t/ ZN .f;p;r;q/ .t/j .4q/1
f
(11.102)
for all
t 2 ŒT1 C
.f; p; r; q/; T2
.f; p; r; q/:
Moreover, if jv.T1 / ZN .f;p;r;q/ .T1 /j ı.f; p; r; q/, then (11.102) is true for all
f
then (11.102) holds for all t 2 ŒT1 C
.f; p; r; q/; T2
.f; p; r; q/. Moreover, if
jv.T1 / ZN .f;p;r;q/ .T1 /j ı.f; p; r; q/, then (11.102) is true for all t 2 ŒT1 ; T2
f
.f; p; r; q/.
By property (iv), (11.101), (11.99), (11.100), and the definition of ZN s (s 2 .0; 1/)
g
jZN sg1 .t/ ZN sg2 .t/j .2q/1 < for all t 2 Œ0; 1/: (11.104)
Since is an arbitrary positive number this implies that there exists a function Xg W
Œ0; 1/ ! Rn such that
Equations (11.103)–(11.105) imply that for each t 2 Œ0; 1/, s 2 .0; ı.f; p; r; q//
or
jv.T1 /j S; I h .T1 ; T2 ; v/ h .T1 ; T2 ; v.T1 // C ı.f; p; r; q/
then by (iv) and (11.100)
Let .K; d / be a compact metric space equipped with a metric d and with the
topology induced by this metric and let M be a nonempty closed subset of K K
equipped with the product topology. Set
A D fx 2 K W fxg K \ M 6D ;g (12.1)
and
a.x/ D fy 2 K W .x; y/ 2 Mg for all x 2 A: (12.2)
Denote by Z the set of all integers. For each pair of integers q > p set
q
A sequence xi 2 K, i 2 I , where I is either Z or Zp or Zp (with p; q 2 Z satisfying
p < q/, is called a trajectory if .xi ; xi C1 / 2 M for each integer i 2 I such that
i C 1 2 I.
Denote by C.M/ the space of all continuous functions v W M ! R1 and by
B.M/ the space of all bounded functions v W M ! R1 with the topology of the
uniform convergence .jjvjj D supfjv.x; y/j W .x; y/ 2 Mg).
X
T 1
v.xi ; xi C1 / ! min (P )
i D0
1
s. t. f.xi ; xi C1 /giTD0 M;
and
f .q; y/ D inffU f .q; y; z/ W z 2 Kg: (12.5)
(We suppose that infimum over an empty set is 1.)
For any subset E of a metric space the closure of E is denoted by cl.E/ and also
by E. N
For any sequence fxi g1 1
i D0 K denote by ˝.fxi gi D0 / the set of all points
.z1 ; z2 / 2 K K such that some subsequence f.xik ; xik C1 /g1 kD1 converges to .z1 ; z2 /
and denote by !.fxi g1 i D0 / the set of all points z 2 K such that some subsequence
fxik g1 lD1 converges to z.
Define a metric d1 on K K by
Denote by Mreg the set of all lower semicontinuous functions f 2 B.M/ which
satisfy the following assumption.
(A) There exist a trajectory fzj g1
f
j D0 K, constants c.f / > 0, .f / > 0, and
.f / 2 R , and an open set Vf M in the relative topology such that
1
P 1 f f
(i) j N j D0 Œf .zj ; zj C1 / .f /j c.f / for all integers N 1.
(ii) For each integer N 1 and each trajectory fzj gN j D1 K
X
N 1
Œf .zj ; zj C1 / .f / c.f /:
j D0
(iii) Œ!.fzj g1
f
j D0 / Vf and the restriction f jVf W Vf ! R is a continuous
2 1
function.
(iv) For each integer j 0 and each .x; y/ 2 M satisfying
f f
d1 ..x; y/; .zj ; zj C1 // .f /
f f
the inclusions .x; zj C1 /, .zj ; y/ 2 M hold.
f
(v) For each integer j 0 and each .x; y/ 2 M satisfying d.x; zj C1 / .f /
f
the inclusion .zj ; x/ 2 M holds.
(vi) For each x; y; z 2 !.fzj g1
f
j D0 / which satisfy .x; y/ 2 M and d.x; z/ .f /
the inclusion .z; y/ 2 M holds.
Let f 2 B.M/. Clearly, (A)(iii) holds if the function f is continuous.
Assumptions (A)(iv)–(A)(vi) mean that if an integer j 0 and if .x; y/ 2 K K
f f
is close enough to .zj ; zj C1 /, then .x; y/ 2 M. They hold if there is 0 > 0 such
that all the closed balls in K K with radius 0 and with centers belonging to
M \ Œcl.fzj g1
f
j D0 / are contained in M.
2
330 12 A Turnpike Result for Optimal Control Systems
Assumptions (A)(i) and (A)(ii) imply that for any natural number T
X
T 1
f f
f .zj ; zj C1 / inffU f .T; y; z/ W y; z 2 Kg C 2c.f /:
j D0
X
T 1
g.xi ; xi C1 / inffU g .T; y; z/ W y; z 2 Kg C S
i D0
q q
there exist sequences of integers fbi gi D1 ; fci gi D1 Œ0; T such that
q Q; 0 ci bi l; i D 1; : : : :q;
dist.H.f /; f.xi ; xi C1 / W i D p; : : : ; p C L 1g/
q
for each integer p 2 Œ0; T L n [i D1 Œbi ; ci :
This result was obtained in [107].
Example 12.2. Suppose that M D KK. It follows from the results of Leizarowitz
[46] that C.K K/ Mreg . Then there exists a set F C.K K/ which is
a countable intersection of open everywhere dense subsets of C.K K/ and for
which Theorem 12.1 is valid.
Let x0 ; y0 2 K and x0 6D y0 . Define a function g 2 C.K K/ by
Clearly, the function g does not have the turnpike property. It means that
Theorem 12.1 cannot be improved in principle.
12.3 Preliminaries 331
Let f 2 Mconv . It is a well-known fact of the convex analysis [46] that there exists
2 Rn such that
12.3 Preliminaries
8ˇ ˇ 9
<ˇˇNX 1 ˇ
ˇ =
sup ˇˇ Œf .yj ; yj C1 / .f /ˇˇ W N D 1; 2; : : : < 1:
:ˇ ˇ ;
j D0
X
N 1
Œf .yj ; yj C1 / .f / ! 1 as N ! 1:
j D0
Moreover, if fyj g1
j D0 is an .f /-good trajectory, then there exists an integer N0 1
such that for each pair of integers q > p N0
332 12 A Turnpike Result for Optimal Control Systems
X
q1
Œf .yj ; yj C1 / .f / c.f / C 1:
j Dp
X
q1
z0 D x; zq D y; f .zj ; zj C1 / D U f .q; x; y/:
j D0
Proposition 12.6. For each integer q 1 the function .x; y/ ! U f .q; x; y/,
x; y 2 K, is lower semicontinuous.
q
A trajectory xj , j 2 I , where I is either Z or Zp or Zp (with p; q 2 Z satisfying
p < q), is .f /-minimal [7, 48, 83, 99] if for each n; m 2 I satisfying m < n
X
n1
f .xj ; xj C1 / D U f .n m; xm ; xn /:
j Dm
Q 2 ˝.fzi g1
f
Proposition 12.7. 1. For each .x; y/ 2 M and each .x; Q y/ i D0 /
Q y//
satisfying d1 ..x; y/; .x; Q < .f / the inclusions .x; y/;
Q .x;Q y/ 2 M hold.
Q 2 ˝.fzi g1
f
2. For each .x; y/ 2 M and each .x; Q y/ Q x/ .f /
i D0 / satisfying d.y;
Q x/ 2 M holds.
the inclusion .x;
Proposition 12.8. Let fzi g1
i D0 K be an .f /-good trajectory and let
.y0 ; y1 / 2 ˝.fzi g1
i D0 /:
.yj ; yj C1 / 2 ˝.fzi g1
i D0 /
X
q1
Œf .yj ; yj C1 / .f / c.f / C 1 for all integers q > p: (12.9)
j Dp
Moreover, if ˝.fzi g1 1 1
f
i D0 / ˝.fzi gi D0 /, then fyi gi D1 is an .f /-minimal
trajectory.
Proof. There exists a subsequence
X
q1
Œf .zj ; zj C1 / .f / c.f / C 1 for all integers q > p: (12.11)
j Dp
k
There exist a subsequence of trajectories fyi j W i ikj g, j D 1; 2; : : : and a
sequence fyi g1
i D1 such that
k
yi j ! yi as j ! 1 for each integer i: (12.13)
It is easy to see that the sequence fyi g1 i D1 is a trajectory. Equations (12.8)
and (12.9) follow from (12.11), (12.12), (12.13), and the lower semicontinuity of f .
Assume that
˝.fzi g1
f 1
i D0 / ˝.fzi gi D0 /: (12.14)
We will show that fyi g1
i D1 is an .f /-minimal trajectory.
Let us assume the contrary. Then there exist r > 0 and integers p < q such that
X
q1
f .yi ; yi C1 / > U f .q p; yp ; yq / C r: (12.15)
i Dp
q
By Proposition 12.5 there exists a trajectory fxi gi Dp K such that
X
q1
xi D yi ; i D p; q; f .xi ; xi C1 / D U f .q p; yp ; yq /: (12.16)
i Dp
Since fzi g1
i D0 is an .f /-good trajectory there exists an integer N0 1 such that
X
n1
f .zi ; zi C1 / U.q p; zp ; zq / C 321 r for all integers n > m N0 : (12.19)
i Dm
It follows from (12.20), (12.8), (12.14), (12.17), and Proposition 12.7 that
We define
X
qCik
Œf .zj ; zj C1 / f .vj ; vj C1 /:
j Dp1Cik
X
qCik
Œf .zj ; zj C1 / f .vj ; vj C1 / 321 r: (12.23)
j Dp1Cik
On the other hand it follows from (12.22), (12.16), and (12.15) that
X
qCik
Œf .zj ; zj C1 / f .vj ; vj C1 / D f .zp1Cik ; zpCik / f .zpCik 1 ; yp /
j Dp1Cik
qCik 1
X X
q1
X
q1
X
q1
C f .zj ; zj C1 / f .yj ; yj C1 / C f .yj ; yj C1 / f .xj ; xj C1 /
j DpCik j Dp j Dp j Dp
X
q1
Cf .zqCik ; zqCik C1 / f .yq ; zqCik C1 / C Œf .zj Cik ; zj Cik C1 / f .yj ; yj C1 /:
j Dp
12.3 Preliminaries 335
By the equation above, (12.20), (12.21), and the definition of (see (12.17), (12.18)),
X
qCik
Œf .zj ; zj C1 / f .vj ; vj C1 / r 2.q p C 2/81 r.q p 2/1 21 r:
j Dp1Cik
D.f / D f˝.fzi g1 1
i D0 / W fzi gi D0 K is an .f /-good trajectory such that
˝.fzi g1 1
f
i D0 / ˝.fzi gi D0 /g: (12.24)
Proposition 12.9. There exists H f 2 D.f / such that for every D 2 D.f / n fH f g
D n H f 6D ;:
D D \D2E D:
dist.D ; Dp / p 1 : (12.25)
By (12.24) and Proposition 12.8 for every integer p 1 there exists a trajectory
fvi g1
p
i D1 K such that
p p
.vi ; vi C1 / 2 Dp ; i 2 Z;
X
q1
p p
Œf .vi ; vi C1 / .f / c.f / C 1 for each pair of integers q > j: (12.26)
i Dj
p
vj ! vj as p ! 1 for each j 2 Z: (12.27)
336 12 A Turnpike Result for Optimal Control Systems
It follows from (12.26), (12.27), Proposition 12.4, and the lower semicontinuity of
f that fvj g1
j D0 is an .f /-good trajectory. Equations (12.25)–(12.27) imply that
f f
.xj ; xj C1 / 2 H f for each integer j; (12.28)
X
q1
f f
Œf .xj ; xj C1 / .f / c.f / C 1 for each pair of integers q > p: (12.29)
j Dp
˝.fxj g1 1
f f
j D0 / D H ˝.fzj gj D0 /:
f
(12.30)
Set
f
H0 D fx 2 K W there exists y 2 K such that .x; y/ 2 H f g: (12.31)
f
For any x 2 H0 we define
( 1
X
N
.x/ D inf lim inf
f
Œf .yi ; yi C1 / .f / W
N !1
i D0
o
a trajectory fyi g1
f
i D0 H0 and y0 D x : (12.32)
f
Proposition 12.10. f W H0 ! R1 is a continuous function.
Proof. It follows from assumption (A)(ii), Proposition 12.8, and (12.28)–(12.31)
that
f
f .x/ 2 Œc.f /; c.f / C 1; x 2 H0 :
f
By assumption (A)(vi) for each x; y; z 2 H0 which satisfy
the inclusion .z; y/ 2 M holds. By assumption (A)(iii) and (12.30) there exists
ı0 2 .0; 21 .f // such that for each .x1 ; y1 / 2 H0 H0 and each .x2 ; y2 / 2 M
f f
satisfying
d1 ..x1 ; y1 /; .x2 ; y2 // ı0
12.3 Preliminaries 337
Suppose that
f
x; y 2 H0 ; d.x; y/ ı: (12.37)
Define
y0 D y; yi D xi ; i D 1; 2; : : : : (12.40)
By (12.39), (12.40), (12.37), and (12.38), fyi g1
i D0 is a trajectory and
X
N 1
f .y/ lim inf Œf .yi ; yi C1 / .f /
N !1
i D0
X
N 1
lim inf Œf .xi ; xi C1 / .f / C 81 f .x/ C 41 :
N !1
i D0
f f f f
for each .x; y/ 2 M \ .H0 H0 /. Then f W M \ .H0 H0 / ! R1 is a
continuous nonnegative function such that f .x; y/ D 0 for each .x; y/ 2 H f .
338 12 A Turnpike Result for Optimal Control Systems
Proof. The continuity of f follows from Proposition 12.10, (12.30), (12.31), and
assumption (A)(iii). It follows from the definition of f , f that
f .x; y/ 0
f f
for each .x; y/ 2 .H0 H0 / \ M.
Let .x; y/ 2 H f . We show that f .x; y/ D 0. By (12.28) and (12.29) for each
integer N 1
X
N 1 X
N 1
f f f f f f
c.f /C1 Œf .xi ; xi C1 /.f /D f .xi ; xi C1 / f .xN /C f .x0 /;
i D0 i D0
f f
f
.xi ; xi C1 / ! 0 as i ! 1: (12.42)
It follows from the continuity of f , (12.42), and (12.30) that f .x; y/ D 0. The
proposition is proved. t
u
Proposition 12.12. Let j 2 Z. Then
X
N 1
f f f
f
.xj / D lim inf Œf .xi ; xi C1 / .f /; (12.43)
N !1
i Dj
f
supf f .y/ W y 2 H0 g D 0:
Proof. It follows from Propositions 12.11 and 12.10, (12.28), (12.30), and (12.31)
that
X
N 1
f f f f
lim inf Œf .xi ; xi C1 / .f / D lim infŒ f .xj / f .xN /
N !1 N !1
i Dj
f f
D f .xj / supf f .y/ W y 2 H0 g: (12.44)
fyi g1
f
i D0 H0 ;
X
N 1
f f
y0 D xj ; lim inf Œf .yi ; yi C1 / .f / f .xj / C 1: (12.45)
N !1
i D0
X
N 1
f
lim inf Œf .yi ; yi C1 / .f / lim infŒ f .xj / f .yN /
N !1 N !1
i D0
f f
f .xj / supf f .y/ W y 2 H0 g:
12.4 Auxiliary Results 339
Assume that f 2 Mreg . It follows from assumption (A) and the results of Sect. 12.3
(see (12.28)–(12.30), Proposition 12.7) that there exist an .f /-minimal trajectory
fxi g1
f
i D1 , constants c.f / > 0, .f / > 0, .f / 2 R , an open set Vf M in
1
the relative topology, and the nonempty closed set H M such that the following
f
properties hold:
Pq1 f f
(a) j Dp Œf .xj ; xj C1 / .f / c.f / for each pair of integers q > p.
(b) For each integer N 1 and each trajectory fzj gN j D0 K,
X
N 1
Œf .zj ; zj C1 / .f / c.f /:
j D0
(c) Œ!.fxi g1
f
i D0 / Vf and the restriction f jVf W Vf ! R is a continuous
2 1
function.
(d) For each .x1 ; y1 / 2 H f and each .x2 ; y2 / 2 M satisfying
f
Consider the set H0 K defined by (12.31) and the continuous functions
f f f
f W H0 ! R1 and f W .H0 H0 / \ M ! Œ0; 1/ defined by (12.32)
and (12.41).
340 12 A Turnpike Result for Optimal Control Systems
˝.fxi g1
i D0 / D H :
f
1
P1 It is easy to see that fxi gi D0 K is an .f /-good trajectory
Proof.
1
and that
i D0 .xi ; xi C1 / < 1. Together with (12.46) this implies that ˝.fxi gi D0 / H .
f
Proof. Let us assume the contrary. Then for each integer N 1 there exists an
.fr /-good trajectory fxiN g1
i D0 K such that
By Proposition 12.4 and (12.48) we may assume that for each integer N 1 and
each pair of integers q > p 0
X
q1
Œfr .xiN ; xiNC1 / .f / c.f / C 1: (12.50)
i Dp
Properties (c) and (g) and (12.31) imply that there exists an open set V M in the
relative topology for which
H0 H0 V and VN Vf :
f f
(12.51)
˝.fxiN g1
i D0 / D H ; d1 ..xi ; xi C1 /; H / ! 0 as i ! 1:
f N N f
(12.52)
12.4 Auxiliary Results 341
By (12.52), (12.51), (12.31), and property (g) we may assume without loss of
generality that for each pair of integers N 1 and i 0
Together with (12.53) this implies that for each integer N 1 there exists hN 2 H f
which satisfies
1
For each integer N 1 we define a trajectory fvN
i gi D0 K by
i D xi CTN ; i D 0; 1; : : :
vN N
(12.56)
hN ! h 2 H f as N ! 1 (12.58)
i ! vi as N ! 1 for each integer i 0:
vN (12.59)
On the other hand it follows from the lower semicontinuity of fr , (12.50), (12.56),
and (12.59) that fvi g1
i D0 is an .fr /-good trajectory. Together with Lemma 12.13
and (12.58) this implies that
h 2 H f D ˝.fvi g1
i D0 /:
for all large integers p (the existence of l follows from Lemma 12.14). Then there
exists an integer N 10 such that for each trajectory fxi gN
i D0 K which satisfies
l
NX
l1
fr .xi ; xi C1 / N l.f / C M0 (12.62)
i D0
NX
l1
fr .xiN ; xiNC1 / N l.f / C M0 (12.64)
i D0
and that for each integer j 2 Œ0; N 8 there exists an integer T .j / 2 Œj l; .j C 7/l
for which
dist.H f ; f.xiN ; xiNC1 /I i 2 ŒT .j /; T .j / C lg/ > 0 : (12.65)
It follows from (12.64), (12.48), and property (b) that for each integer N 1 and
each pair of integers q > p 0
X
q1
fr .xiN ; xiNC1 / .q p/.f / C M0 C 2c.f /:
i Dp
Together with (12.66), (12.48), and lower semicontinuity of fr this implies that
fyi g1
i D0 is an .fr /-good trajectory. Therefore by the definition of l (see (12.61))
there exists an integer Q 1 such that for each integer T Ql
It follows from (12.67) and (12.68) that for each integer T 2 ŒQL; .Q C 10/l
This contradicts (12.69) which holds for each integer T 2 ŒQl; .Q C 10/l. The
obtained contradiction proves the lemma. t
u
Lemma 12.15 and property (a) imply the following result.
Lemma 12.16. Let 0 ; M0 > 0 and let l 1 be an integer such that each .fr /-
good trajectory fxi g1
i D0 K satisfies (12.61) for all sufficiently large integers p.
Then there exist an integer N 10 and a neighborhood U of fr in B.M/ such that
for each g 2 U and each trajectory fxi gNi D0 K which satisfies
l
NX
l1
g.xi ; xC1 / inffU g .N l; y; z/ W y; z 2 Kg C M0
i D0
there exists an integer j0 2 Œ0; N 8 such that (12.63) holds for each integer
T 2 Œj0 l; .j0 C 7/l.
Lemma 12.17. Let 0 ; M0 > 0. Then there exist an integer Q 1 and a
neighborhood U of fr in B.M/ such that for each g 2 U, each integer q 8Q C 8,
q
each trajectory fxi gi D0 K which satisfies
X
q1
g.xi ; xi C1 / inffU g .q; y; z/ W y; z 2 Kg C M0 ; (12.70)
i D0
By property (c) and (12.73) we may assume without loss of generality that
and
jf .x1 ; x2 / f .x3 ; x4 /j 41 (12.75)
for each .x1 ; x2 /; .x3 ; x4 / 2 M which satisfy
d.xk ; !.fxi g1
f
i D0 // 8ı0 ; k D 1; 2; 3; 4; d1 ..x1 ; x2 /; .x3 ; x4 // 40 : (12.76)
It follows from property (g) that there exist integers N1 ; N2 1 such that
1 2 .0; 41 0 /; inff .x; y/ W .x; y/ 2 M and d1 ..x; y/; H f / 81 0 g 41 :
(12.78)
Fix a number
ı1 2 .0; 161 r1 / (12.79)
and integers
Q0 > 32r 1 11 .M0 C18C6c.f /C18jjfr jjC18jjf jj/; Q > 4.Q0 CN1 CN2 C4/:
(12.80)
Set
U D fg 2 B.M/ W jjg fr jj < 21 ı1 g: (12.81)
q
Assume that g 2 U, an integer q 8Q C 8 and that a trajectory fxi gi D0 K
satisfies (12.70). We show that for each pair of integers k; s 2 Œ0; q satisfying
s k Q0 ; k.q s/ D 0 (12.82)
Let us assume the contrary. Then there exist integers k; s 2 Œ0; q which
satisfy (12.82) and such that
p 2 Œ0; q 1 \ fk 1; sg (12.85)
It follows from (12.87), (12.74), (12.72), and properties (d) and (g) that for any
p 2 Œ0; q 1 \ fk 1; sg
f f
.xp ; xj.p/C1 /; .xj.p/ ; xpC1 / 2 M: (12.88)
f f f f
g.xj.p/ ; xj.p/C1 /; g.xp ; xj.p/C1 /; g.xj.p/ ; xpC1 /
There are three cases: (i) k D 0; s D q; (ii) k D 0; s < q; (iii) k > 0, s D q. In all
q
these cases we define a trajectory fyi gi D0 K and estimate
X
q1
Œf .yi ; yi C1 / f .xi ; xi C1 /:
i D0
q
By (12.88), the trajectory fyi gi D0 K is well defined. It follows from (12.70),
(12.89)–(12.92), and (12.81) that
346 12 A Turnpike Result for Optimal Control Systems
X
q1
X
s1
M0 Œg.xi ; xi C1 / g.yi ; yi C1 / Œg.xi ; xi C1 / g.yi :yi C1 / 4
i D0 i Dk
X
s1
Œfr .xi ; xi C1 / fr .yi ; yi C1 / .s k/ı1 4: (12.93)
i Dk
X
s1
fr .yi ; yi C1 / .s k/.f / C c.f /: (12.94)
i Dk
X
s1 X
s1
fr .xi ; xi C1 /.sk/41 rC f .xi ; xi C1 /4.s k/1 rC.f /.sk/c.f /:
i Dk i Dk
(12.95)
Combining (12.93)–(12.95), (12.79), and (12.82) we obtain that
This contradicts (12.80). The obtained contradiction proves the following assertion:
(B) Equation (12.83) holds for each pair of integers k; s 2 Œ0; q which
satisfy (12.82).
Assume that an integer p 2 Œ0; qQ. We show that (12.71) holds. Let us assume
the contrary. Then
Dj D fi 2 Œ0; j \ Z W d1 ..xi ; xi C1 /; H f / 0 g;
Cj D fi 2 Œj; q 1 \ Z W
d1 ..xi ; xi C1 /; H f / 0 g: (12.97)
It follows from assertion (B), (12.96), (12.82), (12.80), and (12.83) that
Set
k D supfi W i 2 Dp1 g; s D inffi W i 2 CpCQ g: (12.99)
12.4 Auxiliary Results 347
By (12.96)–(12.99)
0 k p 1; p C Q s q 1; d1 ..xi ; xi C1 /; H f / 0 ; i D k; s;
d1 ..xi ; xi C1 /; H f / > 0 ; i 2 Œk C 1; : : : ; s 1: (12.100)
Set
m D inffi W i 2 Dk g; n D supfi W i 2 Cs g: (12.101)
Assertion (B), (12.101), and (12.97) imply that
m Q0 ; n q Q0 : (12.102)
d1 ..xi ; xi C1 /; H f / 0 ; i D m; n: (12.103)
such that
It follows from (12.105), (12.74), (12.72), and properties (d) and (g) that
f f f
.xk ; xi.k/C1 / 2 M; .xi.s/ ; xsC1 / 2 M; .xn ; xi.n/C1 / 2 M: (12.106)
q
We define a trajectory fyi gi D0 and estimate
X
q1
Œg.xi ; xi C1 / g.yi ; yi C1 /:
i D0
Set
f
yi D xi ; i D 0; : : : ; k; yi D xi kCi.k/ ; i D k C 1; : : : ; k C i.s/ i.k/;
If n D s, then we set
f
yi D xi kCi.k/ ; i D k C i.s/ i.k/ C 1; : : : ; q: (12.108)
348 12 A Turnpike Result for Optimal Control Systems
Otherwise we put
X
q1
X
q1
M0 .g.xi ; xi C1 / g.yi ; yi C1 // D .g.xi ; xi C1 / g.yi ; yi C1 //
i D0 i Dk
X
s1 X
q1
jjfr jj 1 C g.xi ; xi C1 / C g.xi ; xi C1 /
i DkC1 i Ds
!
X
q1
jjfr jj C 1 C g.yi ; yi C1 / : (12.110)
i DkC1
It follows from (12.81), (12.100), (12.78), (12.79), (12.47), and property (b) that
X
s1 X
s1
g.xi ; xi C1 / ı1 .s k 1/ C fr .xi ; xi C1 /
i DkC1 i DkC1
X
s1
ı1 .s k 1/ C 41 r.s k 1/ C f .xi ; xi C1 /
i DkC1
X
q1
X
q1
g.xi ; xi C1 / ı1 Q0 C fr .xi ; xi C1 / ı1 Q0 c.f / C .q s/.f /:
i Ds i Ds
(12.112)
By (12.107), (12.108), (12.81), (12.46), (12.47), and properties (a) and (g),
X
q1
X
qkCi.k/1
f f
g.yi ; yi C1 / ı1 .q k 1/ C f .xi ; xi C1 /
i DkC1 i Di.k/C1
ı1 .q k 1/ C .q k 1/.f / C c.f /:
12.4 Auxiliary Results 349
X
q1
X
q1
g.xi ; xi C1 / g.yi ; yi C1 / .kC1s/.f /ı1 Q0 2c.f /ı1 .qk1/:
i Ds i DkC1
Combining this equation with (12.110), (12.111), (12.79), and (12.112) we obtain
that
M0 2jjfr jj 2 C .s k 1/31 r c.f / C .f /.s k 1/
C.f /.k C 1 s/ ı1 Q0 2c.f / ı1 .q k 1/
2jjfr jj 2 3c.f / 2ı1 Q0 C 21 r.s k 1/: (12.113)
Consider the case (2). It follows from (12.107), (12.81), (12.104), (12.100),
(12.102), (12.109), (12.46), (12.47), and properties (a) and (g) that
X
q1 1
X X
nsC
g.yi ; yi C1 / g.yi ; yi C1 / C jjfr jj C 1 C g.yi ; yi C1 /
i DkC1 i DkC1 i D C1
X
q1
C g.yi ; yi C1 /
i DnsCC1
X
i.s/1
f f
X
n
.i.s/ i.k//ı1 C fr .xi ; xi C1 / C jjfr jj C 1 C g.xi ; xi C1 /
i Di.k/C1 i DsC1
X
qCi.n/nCs1
f f
C2 C 2jjfr jj C fr .xi ; xi C1 / C ı1 .q n C s 1/
i Di.n/C1
X
n
g.xi ; xi C1 / C 3jjfr jj C 3 C ı1 .q n k C s 1/
i DsC1
X
q1
g.xi ; xi C1 / ı1 .q n/ C .f /.q n/ c.f /:
i Dn
350 12 A Turnpike Result for Optimal Control Systems
Together with (12.114), (12.110), (12.111), (12.81), (12.79), and (12.102) this
implies that
X
q1
C g.xi ; xi C1 / 2jjfr jj 2
i Dn
X
q1
g.xi ; xi C1 / inffU g .q; y; z/ W y; z 2 Kg C M0 ; (12.116)
i D0
p2 1
X
g.xi ; xi C1 / inffU g .p2 p1 ; y; z/ W y; z 2 Kg C M1 : (12.118)
i Dp1
Proof. By properties (c) and (d) there exist an open set V M in the relative
topology and a number ı0 2 .0; 81 / such that
Œ!.fxi g1
f N
i D0 / V V Vf I
2
d1 ..x1 ; y1 /; .x2 ; y2 // ı0
we have
.x1 ; y2 /; .x2 ; y1 / 2 MI (12.120)
for each .xi ; yi / 2 VN ; i D 1; 2 satisfying
X
q1
g.xi ; xi C1 / inffU g .q; y; z/ W y; z 2 Kg C 4M0 C 8; (12.124)
i D0
a number
q
Assume that g 2 U, an integer q 1, a trajectory fxi gi D0 K satisfies (12.116)
and that integers p1 ; p2 2 Œ0; q 1 satisfy (12.117). We show that (12.118) holds.
Let us assume the contrary. Then
p2 1
X
g.xi ; xi C1 / > inffU g .p2 p1 ; y; z/ W y; z 2 Kg C M1 : (12.129)
i Dp1
p
There exists a trajectory fzi gi Dp
2
1
K such that
p2 1
X
g.zi ; zi C1 /
i Dp1
8 9
<pX
2 1 =
< min g.xi ; xi C1 / M1 ; inffU g .p2 p1 ; y1 ; y2 / W y1 ; y2 2 Kg C 1 :
: ;
i Dp1
(12.130)
It follows from (12.130) and the definition of Q1 and U1 (see (12.124), (12.125)),
(12.119), and (12.126) that there exist integers
such that
d1 ..zi ; zi C1 /; H f / 21 ; i D j1 ; j2 : (12.132)
Set
p3 D supfi 2 Œp2 ; q 1 W d1 ..xi ; xi C1 /; H f / g: (12.133)
By (12.117), (12.116), the definition of Q1 ; U1 (see (12.124), (12.125)),
and (12.126),
p3 p2 ; p3 q Q 1 : (12.134)
Equations (12.132), (12.117), (12.123), (12.134), and (12.133) imply that there exist
integers
such that
q
We define a trajectory fyi gi D0 and estimate
X
q1
Œg.xi ; xi C1 / g.yi ; yi C1 /:
i D0
Set
.1/ D p1 i1 ;
.2/ D j1 .s1 i1 C p1 /;
.3/ D s2 .j2 j1 C s1 i1 C p1 /;
.4/ D p2 .i2 s2 C j2 j1 C s1 i1 C p1 /;
.5/ D i3 .p3 p2 C i2 s2 C j2 j1 C s1 i1 C p1 /; (12.137)
f
yi D xi ; i D 0; : : : ; p1 ; yi D xi .1/ ; i D p1 C 1; : : : ; s1 i1 C p1 ;
yi D zi C .2/ ; i D s1 i1 C p1 C 1; : : : s1 i1 C p1 C j2 j1 ;
f
yi D xi C .3/ ; i D s1 i1 C p1 C j2 j1 C 1; : : : ; i2 s2 (12.138)
Cj2 j1 C s1 i1 C p1 ; (12.139)
if p3 p2 N3 , then we set
f
yi D xi C .3/ ; i D i2 s2 C j2 j1 C s1 i1 C p1 C 1; : : : ; q; (12.140)
otherwise we set
yi D xi C .4/ ;
i D i2 s2 C j2 j1 C s1 i1 C p1 C 1; : : : ; p3 p2
C i2 s2 C j2 j1 C s1 i1 C p1 ;
f
yi D xi C .5/ ; i D p3 p2 C i2 s2 C j2 j1
C s1 i1 C p1 C 1; : : : ; q: (12.141)
X
q1
M0 .g.xi ; xi C1 / g.yi ; yi C1 //
i D0
X
q1
D Œg.xi ; xi C1 / g.yi ; yi C1 /: (12.142)
i Dp1
354 12 A Turnpike Result for Optimal Control Systems
j2 .2/1
X X
q1
C g.yi ; yi C1 / C g.yi ; yi C1 /
i Ds1 C .1/C1 i Dj2 .2/C1
1 1
sX j2 1
f f
X X
q1
5jjgjj C g.xi ; xi C1 / C g.zi ; zi C1 / C g.yi ; yi C1 /
i Di1 C1 i Dj1 C1 i Dj2 .2/C1
j2 1
X X
q1
5jjgjj C jjgjj.2N1 C 3 C N2 / C g.zi ; zi C1 / C g.yi ; yi C1 /:
i Dj1 C1 i Dj2 .2/C1
(12.143)
It follows from (12.131) and (12.130) that
j2 1 p2 1
X X
g.zi ; zi C1 / g.zi ; zi C1 / C jjgjj.2Q1 C 161 N0 C 4/2
i Dj1 C1 i Dp1
p2 1
X
g.xi ; xi C1 / M1 C jjgjj.2Q1 C 161 N0 C 4/2: (12.144)
i Dp1
There two cases: (i) p3 p2 N3 ; (ii) p3 p2 > N3 . Consider the case (i).
Equations (12.131), (12.134), (12.135), (12.136), and (12.139) imply that
p2 1
X
q1
X
g.xI ; xi C1 / g.xi ; xi C1 / jjgjj.Q1 C N3 /:
i Dp1 i Dp1
12.4 Auxiliary Results 355
p3 .4/1
X
q1
X
g.yi ; yi C1 / jjgjj.i2 s2 C 2/ C g.yi ; yi C1 /
i Dj2 .2/C1 i Dp2 .4/C1
Cjjgjj.q .p3 p2 C i2 s2 C j2 j1 C s1 i1 C p1 / C 2/
p3 1
X
jjgjj.2N1 C N2 C 5/ C g.xi ; xi C1 / C jjgjj.Q1 C 4Q1 C 81 N0 C 2/
i Dp2 C1
p3 1
X
g.xi ; xi C1 / C jjgjj.2N1 C N2 C 5Q1 C 81 N0 C 7/:
i Dp2 C1
X
q1
g.yi ; yi C1 /
i Dp1
p2 1
X
jjgjj.2N1 C N2 C 8/ C g.xi ; xi C1 / M1 C jjgjj.2Q1 C 161 N0 C 4/2
i Dp1
p3 1
X
C g.xi ; xi C1 / C jjgjj.2N1 C N2 C 5Q1 C 81 N0 C 7/
i Dp2 C1
p3 1
X
g.xi ; xi C1 / M1 C jjgjj.4N1 C 2N2 C 9Q1 C 41 N0 C 28/:
i Dp1
Combining the equation above with (12.142) and (12.134) we obtain that
X
q1
g.xi ; xi C1 / inffU g .q; y; z/ W y; z 2 Kg C M0 ; (12.148)
i D0
and each pair of integers p1 2 Œ0; q 1, p2 2 .p1 ; q the following inequality
holds:
p2 1
X
g.xi ; xi C1 / inffU g .p2 p1 ; y; z/ W y; z 2 Kg C M1 :
i Dp1
for all sufficiently large natural numbers p (the existence of l follows from
Lemma 12.14). Then there exist an integer N 10 and a neighborhood U of fr in
q
B.M/ such that for each g 2 U, each integer q 1, each trajectory fxi gi D0 K
which satisfies (12.148), and each integer p satisfying 0 p q N l there exists
an integer j0 2 Œ0; N 8 such that for each integer T 2 Œp C j0 l; p C .j0 C 7/l
the following inequality holds:
Lemma 12.21. Let > 0 and let L 1 be an integer such that each .fr /-good
trajectory fxi g1
i D0 K satisfies
X
T 1
x0 D xsf ; xT D xqf ; Œfr .xi ; xi C1 / .f / f .xsf / C f .xqf / ı
i D0
Proof. Assume the contrary. Then for each integer k 1 there exist integers
T .k/
T .k/ L, s.k/; q.k/; p.k/, and a trajectory fxik gi D0 K such that
f f
x0k D xs.k/ ; xTk .k/ D xq.k/ ;
X
T .k/1
Œfr .xik ; xikC1 / .f / f .xs.k/ / C f .xq.k/ / 2k ;
f f
i D0
p.k/ 2 Œ0; T .k/ L; dist.H f ; f.xik ; xikC1 / W i 2 Œp.k/; p.k/ C Lg/ > :
(12.150)
It follows from (12.151), properties (c) and (d), and Proposition 12.10 that there
exists an integer j.k/ such that
Set
X
k X
k1
.1/ D T .1/; .k/ D .1 C T .i // C Œj.i / q.i /; k 2 Z2 :
i D1 i D1
We define
f
yi D xi1 ; i D 0; : : : ; .1/; y .k/Ci D xq.k/Ci ; i D 1; : : : ; j.k/ q.k/;
y .k/Cj.k/q.k/Ci D xikC1
1 ; i D 1 : : : ; 1 C T .k C 1/; k D 1; 2; 3; : : : (12.153)
f
y .k/ D xTk .k/ ; y .k/Cj.k/q.k/ D xj.k/ ; k D 1; 2; : : : ;
fyi g1
i D0 is a trajectory and that for each integer k 1
358 12 A Turnpike Result for Optimal Control Systems
X
.kC1/1
Œfr .yi ; yi C1 / .f / f .y .k/ / C f .y .kC1/ /
i D .k/
X
.k/Cj.k/q.k/1
D Œfr .yi ; yi C1 / .f / f .y .k/ / C f .y .k/Cj.k/q.k//
i D .k/
X
.kC1/1
C Œfr .yi ; yi C1 / .f / f .y .k/Cj.k/q.k/C1/ C f .y .kC1/ /
i D .k/Cj.k/q.k/C1
X
j.k/1
f f f f
D Œfr .xi ; xi C1 / .f / f .xq.k/ / C f .xj.k/ /
i Dq.k/
f f f f
CŒfr .xj.k/ ; xs.kC1/ / .f / f .xj.k/ / C f .xs.kC1/ /
X
T .kC1/1
C C1 / .f / .x0
Œfr .xikC1 ; xikC1 f kC1
/ C f .xTkC1
.kC1/ /
i D0
This contradicts (12.154). The contradiction we have reached proves the lemma.
t
u
Lemma 12.22. Let M0 ; > 0. Then there exist a neighborhood U of fr in B.M/
and integers l; L; Q 1 such that for each g 2 U, each integer T L C lQ ,
and each trajectory fxi gTiD0 K which satisfies
X
T 1
g.xi ; xi C1 / inffU g .T; y; z/ W y; z 2 Kg C M0 (12.155)
i D0
12.4 Auxiliary Results 359
Q Q
there exist sequences of integers fbi gi D1 ; fci gi D1 Œ0; T such that
Q Q ; 0 ci bi l; i D 1; : : : ; Q;
dist.H f ; f.xi ; xi C1 / W i D s; : : : ; s C L 1g/
Q
for each integer s 2 Œ0; T l n [i D1 Œbi ; ci :
Proof. By Lemma 12.14 there exists an integer L 2 such that for each .fr /-good
trajectory fxi g1
i D0 K the equation
holds for all large enough integers s 1. By Lemma 12.21 there exists
ı0 2 .0; 81 / (12.157)
such that for each integer T L and each trajectory fxi gTiD0 K which satisfies
X
T 1
f
x0 ; xT 2 fxi W i 2 Zg; Œfr .xi ; xi C1 / .f / f .x0 / C f .xT / ı0
i D0
(12.158)
equation (12.156) holds for all integers s 2 Œ0; T L.
Let an open set Vf M in the relative topology be as guaranteed by property
(c). By properties (c), (d) and (e) we may assume without loss of generality that
we have
.x1 ; y2 /; .x2 ; y1 / 2 M; (12.160)
and that for each .x1 ; y1 / 2 H f and each .x2 ; y2 / 2 M satisfying d.y1 ; x2 / 8ı0
we have
.x1 ; x2 / 2 M: (12.161)
Set
f
jj f jj D supfj f .x/j W x 2 H0 g: (12.162)
Fix a natural number
It follows from property (c), (12.159), and Proposition 12.10 that there exists
which satisfies
d.yi ; zi / 8ı1 ; i D 1; 2 (12.166)
we have
jf .y1 ; y2 / f .z1 ; z2 /j .16Q/1 ı0 I (12.167)
f
for each y; z 2 H0 which satisfy d.y; z/ 8ı1 the equation
By Lemma 12.14 there exists an integer L1 1 such that for each .fr /-good
trajectory fxi g1
i D0 K the equation
X
Q1
g.xi ; xi C1 / inffU g .Q; y; z/ W y; z 2 Kg C M0 C 4; (12.172)
i D0
Set
l D 50NL1 : (12.174)
Fix a number
ı2 2 .0; .6400QN.L1 C l//1 ı1 / (12.175)
and a neighborhood U of fr in B.M/ such that
E D fs 2 Z W 10NL1 s T 10NL1
and dist.H f ; f.xi ; xi C1 / W i 2 Œs; s C L 1g/ > g: (12.177)
If E D ;, then the assertion of the lemma is valid. Hence we may assume that
E 6D ;. Set
h1 D inffh W h 2 Eg: (12.178)
It follows from the choice of U1 , N (see (12.172), (12.173)) that there are integers
i1 ; i2 2 f0; : : : ; N 8g such that (12.173) holds for any integer
s 2 Œh1 .2N i1 /L1 ; h1 .2N i1 7/L1 [Œh1 C.N Ci2 /L1 ; h1 C.N Ci2 C7/L1 :
(12.179)
Set
b1 D h1 .2N i1 /L1 ; c1 D h1 C .N C i2 /L1 : (12.180)
By induction we define sequences of integers bq ; cq ; q 1 such that
(B) NL1 cq bq 4NL1 ; bq cq1 if q 2,
q
Œbq ; cq NL1 \ E 6D ;; E n [j D1 Œbj ; cj .cq ; T I
(C) for h 2 fbq ; cq g equation (12.173) holds for each s 2 Œh; h C 7L1 .
It is easy to see that for q D 1 properties (B) and (C) hold.
Assume that sequences of integers fbq gkqD1 , fcq gkqD1 have been defined and
properties (B) and (C) hold for q D 1; : : : ; k where k is a natural number. If
E n [kqD1 Œbq ; cq D ;;
then the construction of the sequences is completed and bk ; ck are their last
elements.
Let us assume that
E n [kqD1 Œbq ; cq 6D ;
362 12 A Turnpike Result for Optimal Control Systems
and set
h2 D inffh W h 2 E n [kqD1 Œbq ; cq g:
It follows from (12.54), (12.177), and the definition of U1 (see (12.172), (12.173))
that there are integers j1 ; j2 2 Œ0; N 8 such that (12.173) holds for any integer
s2Œh2 .2N j1 /L1 ; h2 .2N j1 7/L1 [Œh2 C.N Cj2 /L1 ; h2 C.N Cj2 C7/L1 :
Set
ckC1 D h2 C .N C j2 /L1 ; bkC1 D maxfck ; h2 2NL1 C j1 L1 g:
It is easy to see that properties (B) and (C) hold with q D k C 1. Evidently the
construction of the sequence will be completed in a finite number of steps. Let
bQ ; cQ be the last elements of the sequences. Clearly,
Q
E [qD1 Œbq ; cq : (12.181)
It follows from these inequalities and the choice of N1 ; N2 (see (12.169)) that there
exist
such that
We show that
i 1
cX
Œfr .xj ; xj C1 / .f / C f .xs.i / / f .xp.i / / ı0 .1 .8Q /1 /: (12.184)
f f
j Dbi
C1
Define a sequence fwj gjciDbi
K by
f f
wbi D xp.i / ; wj D xj ; j 2 Œbi C 1; : : : ; ci ; wci C1 D xs.i C1/ : (12.185)
C1
By (12.185), (12.183), (12.164), (12.160), and (12.161) the sequence fwj gjciDbi
is a
trajectory.
12.4 Auxiliary Results 363
X
ci
Œfr .wj ; wj C1 / .f / f .wbi / C f .wci C1 / > ı0 : (12.186)
j Dbi
f f
ı0 < f .xs.i /C1 / f .xp.i / /
i 1
cX
C Œfr .xj ; xj C1 / .f /
j Dbi
f f
C f .xs.i /C1 / f .xp.i / /:
Equation (12.184) follows from the equation above. By Proposition 12.12, (12.184),
(12.176), and property (B),
i 1
cX
f f
Œg.xj ; xj C1 / .f / C f .xs.i / / f .xp.i / /
j Dbi
s.i /p.i /
Define a sequence fuij gj D0 K by
f
ui0 D xbi ; uij D xp.i /Cj ; j D 1; : : : ; s.i / p.i / 1; uis.i /p.i / D xci : (12.188)
It follows from (12.188), (12.183), (12.164), (12.160), and (12.161) that the
s.i /p.i /
sequence fuij gj D0 is a trajectory. By (12.188), Proposition 12.12, (12.183),
and (12.164)–(12.167)
364 12 A Turnpike Result for Optimal Control Systems
X
s.i /p.i /1
f f
Œfr .uij ; uij C1 / .f / f .xp.i / / C f .xs.i / /
j D0
f f f f f f
D fr .xbi ; xp.i /C1 / fr .xp.i / ; xp.i C1/ / C fr .xs.i /1 ; xci / f .xs.i /1 ; xs.i / /
X
s.i /1
Œfr .xj ; xj C1 / .f / f .xp.i / / C f .xs.i / / .8Q /1 ı0 :
f f f f
C
j Dp.i /
X
s.i /p.i /1
Œg.uij ; uij C1 / .f / f .xp.i / / C f .xs.i / / .8Q /1 ı0 C ı2 L1 :
f f
j D0
(12.189)
N /; c.i
By induction we define sequences of integers b.i N /,i D 1; : : : ; Q by
N
b.1/ D b1 ; c.i N / C s.i / p.i /; i D 1; : : : ; Q;
N / D b.i
N C 1/ D bi C1 C c.i
b.i N / ci for all integers i such that i Q 1: (12.190)
X
Q
cQ c.Q/
N D Œci bi .s.i / p.i // 2 ŒQL1 .N 1/; 4QL1 N : (12.191)
i D1
c
Define a sequence fyj gjQD0 K by
yj D xj ; j D 0; : : : ; b1 ; yj D uij b.i N
N / ; j 2 Œb.i /; c.i
N /; i D 1; : : : ; Q;
yj D xj c.i
N /Cci ; j 2 Œc.i
N C 1/ for all natural numbers i Q 1;
N /; b.i
f
yj D xj c.Q/Cs.Q/
N ; j D c.Q/
N C 1; : : : ; cQ : (12.192)
It follows from (12.191), (12.190), (12.188), (12.183), (12.160), and (12.161) that
c
fyj gjQD0 is well defined and is a trajectory. Evidently,
f
ycQ D xcQ c.Q/Cs.Q/
N : (12.193)
Equation (12.169) implies that there exists an integer q 2 Œ0; : : : ; N1 1 for which
Together with (12.193), (12.160), (12.161), and (12.164) this implies that
f
.ycQ ; xqC1 / 2 M: (12.195)
By (12.183), which holds with i D Q, and (12.160), (12.161), and (12.164)
f
.xs.Q/ ; xcQ C1 / 2 M: (12.196)
We set
f
ycQ Cj D xqCs ; j D 1; : : : ; s.Q/ q;
ycQ Cs.Q/qCj D xcQ Cj ; j D 1; : : : ; T cQ s.Q/ C q: (12.197)
Equations (12.197), (12.195), and (12.196) imply that fyj gTj D0 K is a trajectory.
It follows from (12.155), (12.192), (12.190), (12.187), and (12.189) that
X
T 1 X
T 1
M0 Œg.xi ; xi C1 / .f / Œg.yi ; yi C1 / .f /
i D0 i D0
Q cj 1 bj C1 1
X X X X
D Œg.xi ; xi C1 / .f / C Œg.xi ; xi C1 / .f /
j D1 i Dbj j 2ZW 1j Q1 i Dcj
1 N /1
X
T X X
Q c.j
C Œg.xi ; xi C1 / .f / Œg.yi ; yi C1 / .f /
i DcQ j D1 i Db.j
N /
N C1/1 1
X b.j
X X
T
Œg.yi ; yi C1 / .f / Œg.yi ; yi C1 / .f /
j 2ZW 1j Q1 i Dc.j
N / i DcNQ
1 cQ c.Q/Cs.Q/1
N
X
T X f f
Œg.yi ; yi C1 /.f /jjgjjCj.f /jC Œg.xi ; xi C1 /.f /
i Dc.Q/
N i Ds.Q/C1
X
s.Q/1
f f
Cjjgjj C j.f /j C Œg.xi ; xi C1 / .f / C jjgjj C j.f /j
i DqC1
366 12 A Turnpike Result for Optimal Control Systems
T s.Q/Cq1
X
C Œg.xi ; xi C1 / .f / 4.jjgjj C j.f /j/
i DcQ C1
cQ c.Q/Cs.Q/1
N
X f f
Cı2 .cQ c.Q//
N C Œfr .xi ; xi C1 / .f / C ı2 s.Q/
i Ds.Q/C1
X
s.Q/1
f f
C Œfr .xi ; xi C1 / .f /
i DqC1
X
T 1 X
T 1
C Œg.xi ; xi C1 / .f / C ı2 .s.Q/ C 1/ Œfr .xi ; xi C1 / .f /:
i DcQ i DT s.Q/q
(12.199)
X
T 1
Œg.yi ; yi C1 .f /
i Dc.Q/
N
X
T 1
Œg.xi ; xi C1 / .f / C 4.jjgjj C j.f /j/ C ı2 8QL1 N C 3c.f /:
i DcQ
(12.200)
By (12.201) and (12.163), Q Q 24. This completes the proof of the lemma.
t
u
Construction of the set F : Let A be either Mreg or Mreg \ C.M/. Denote by A N the
closure of A in B.M/. For any f 2 Mreg there exist an .f /-minimal trajectory
fxi g1
f
i D1 , constants c.f / > 0, .f / > 0, .f / 2 R , an open set Vf M (in
1
the relative topology), and the closed set H f M such that properties (a)–(g) hold
(see Sect. 12.4).
12.5 Proof of Theorem 12.1 367
It was shown in Sect. 12.4 that fr 2 A for each f 2 A and each r 2 .0; 1. It is easy
to see that for each f 2 A and each r 2 .0; 1 Lemmas 12.13–12.22 hold. Evidently
the set
ffr W f 2 A; r 2 .0; 1/g
is everywhere dense in A. N
For each f 2 A, each r 2 .0; 1/, and each integer k 1 there exist a neighbor-
hood V .f; r; k/ of fr in B.M/ and integers l.f; r; k/,L.f; r; k/ Q.f; r; k/ 1 such
that the following property holds:
(D) Lemma 12.22 holds for f , r, H f with M0 D k, D k 1 , U D V .f; r; k/;
l D l.f; r; k/, L D L.f; r; k/, Q D Q.f; rk/.
We define
N
Clearly F is a countable intersection of open everywhere dense sets in A.
Proof of Theorem. 12.1. Let f 2 F . For each integer k 1 there exist fk 2 A and
rk 2 .0; 1/ such that
f 2 V .fk ; rk ; k/: (12.204)
Let p; n 1 be integers. We show that
Fix an integer
Clearly,
inffU f .T; y; z/ W y; z 2 Kg 2 .1; 1/:
There exists a trajectory fxi gTiD0 K such that
X
T 1
f .xi ; xi C1 / < inffU f .T; y; z/ W y; z 2 Kg C 1: (12.207)
i D0
368 12 A Turnpike Result for Optimal Control Systems
It follows from property (D), Lemma 12.22, (12.204), (12.206), and (12.207) that
qn qn p qp p qp
there exist sequences of integers fbin gi D1 , fcin gi D1 , fbi gi D1 , fci gi D1 Œ0; T such
that
such that
q q p p
Œs0 ; s0 C L.fn ; rn ; n/ C L.fp ; rp ; p/ C 8 \ Œ[i D1
n
Œbin ; cin [ .[i D1
p
Œbi ; ci / D ;:
(12.211)
We may assume without loss of generality that
Therefore (12.205) holds. It is easy to see that there exists a compact set H.f / M
such that
dist.H fp ; H.f // ! 0 as p ! 1: (12.212)
12.5 Proof of Theorem 12.1 369
Set
X
T 1
g.xi ; xi C1 / inffU g .T; y; z/ W y; z 2 Kg C S: (12.215)
i D0
It follows from (12.214), (12.215), property (D), and Lemma 12.22 which holds
for f D fk , r D rk with M0 D k, D k 1 , U D V .fk ; rk ; k/, l D l.fk ; rr ; k/,
q
L D L.fk ; rk ; k/, Q D Q.fk ; rk ; k/ that there exist sequences of integers fbi gi D1 ,
q
fci gi D1 Œ0; T such that
q Q; 0 ci bi l; i D 1; : : : ; q;
dist.H f ; f.xi ; xi C1 / W i 2 Œs; : : : ; s C L 1g/ k 1
q
for each integer s 2 Œ0; T L n [i D1 Œbi ; ci : Together with (12.213) this implies
the assertion of the theorem. t
u
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Index
M
E Measurable set, 3, 6, 18, 32, 38, 39, 46, 73, 80,
Egorov’s theorem, 39, 82 81, 92, 95, 111, 125, 159, 197, 215,
Euclidean norm, 3, 73, 286, 305, 331 223, 243, 255, 287
Metric space, 2, 4, 5, 10–12, 24, 27, 45, 55, 126, 127, 133–135, 157, 161, 163,
63–66, 68, 75–77, 79, 80, 87, 88, 164, 182, 183, 187, 199, 201, 204,
94, 104–106, 111, 114, 125, 126, 224, 225, 236, 238–240, 253, 258,
133–135, 137, 159, 197, 198, 235, 260, 281, 282, 307, 309, 323
285, 305–307, 327, 328
Mild solution, 256
Minimal solution, 286 T
Topological product, 17
Topological space, 2, 3, 5, 66, 189, 330
N Trajectory-control pair, 10, 197, 201, 216,
Neumann path, 11 233, 238–240, 244, 246, 250, 251,
255–259, 261, 266, 267, 275, 276
Turnpike property, 11, 12, 15, 305–325, 327,
P
328, 330, 331
Porous set, 5, 63–66, 104–106, 111, 114
Product topology, 3, 19, 23, 31, 41, 44, 45, 47,
49, 50, 53, 56, 74, 327
U
Uniformity, 2, 3, 19–23, 45, 50–54, 94, 134,
161, 162, 199–201, 234–239, 258,
R
259, 287, 306, 307
Relative topology, 2, 3, 237, 329–331, 339,
Uniformly integrable set, 32, 33, 46
340, 359, 366
S V
Sarychev integrand, 228–231 Variational principle, 24–26, 44, 54–56, 68–73,
algebra, 19, 47, 50, 74, 93, 112, 113, 133, 88–89, 106–111, 125
199, 200, 235, 256, 257
porous set, 5, 63–66, 111, 114
Strong lipschitz regulaity property, 201, 203, W
204 Weak topology, 5, 17, 20–22, 24–28, 30, 31,
Strongly measurable function, 132–134, 136, 33, 34, 36, 37, 48, 51–57, 59, 60,
138, 142, 148–150, 198, 200, 205, 65, 78, 80, 88, 89, 91, 94, 96, 97,
207, 212, 217, 234, 236, 259, 264, 126–128, 130, 134, 135, 143, 144,
267, 273, 277 154, 156, 157, 161, 164, 175, 182,
Strongly well-posed problem, 25, 45, 47, 66, 183, 186, 187, 199, 201, 203, 204,
68, 73, 76, 78, 80, 96, 97, 106, 108, 224, 225, 236, 238–241, 244, 253,
114, 135 258–260, 273, 282, 306–309, 314,
Strong topology, 5, 17, 20, 22, 24–27, 31, 45, 315, 318–323
47, 48, 50–55, 65, 88, 94, 96, 97, Well-posed problem, 17–62, 66–68, 87–157