A min-plus fundamental solution semigroup for a class of approximate infinite dimensional optimal control problems

Abstract

By exploiting min-plus linearity, semiconcavity, and semigroup properties of dynamic programming, a fundamental solution semigroup for a class of approximate finite horizon linear infinite dimensional optimal control problems is constructed. Elements of this fundamental solution semigroup are parameterized by the time horizon, and can be used to approximate the solution of the corresponding finite horizon optimal control problem for any terminal cost. They can also be composed to compute approximations on longer horizons. The value function approximation provided takes the form of a min-plus convolution of a kernel with the terminal cost. A general construction for this kernel is provided, along with a spectral representation for a restricted class of sub-problems.