Optimal Switching for Ordinary Differential Equations
Italo Capuzzo Dolcetta, L. C. Evans · SIAM Journal on Control and Optimization · 1984
We consider the problem of controlling an ordinary differential equation, subject to positive switching costs, and show in particular that the value functions form the “viscosity solution” (cf. [6], [7]) of the dynamic programming quasi-variational inequalities. This interpretation allows for a rigorous application of various dynamic programming techniques.