A Convergent Approximation of the Pareto Optimal Set for Finite Horizon Multiobjective Optimal Control Problems (MOC) Using Viability Theory
Abstract
The objective of this paper is to provide a convergent numerical approximation of the Pareto optimal set for finite-horizon multiobjective optimal control problems for which the objective space is not necessarily convex. Our approach is based on Viability Theory. We first introduce the set-valued return function V and show that the epigraph of V is equal to the viability kernel of a properly chosen closed set for a properly chosen dynamics. We then introduce an approximate set-valued return function with finite set-values as the solution of a multiobjective dynamic programming equation. The epigraph of this approximate set-valued return function is shown to be equal to the finite discrete viability kernel resulting from the convergent numerical approximation of the viability kernel proposed in [4, 5]. As a result, the epigraph of the approximate set-valued return function converges towards the epigraph of V. The approximate set-valued return function finally provides the proposed numerical approximation of the Pareto optimal set for every initial time and state. Several numerical examples are provided.
Keywords
Cite
@article{arxiv.1203.0292,
title = {A Convergent Approximation of the Pareto Optimal Set for Finite Horizon Multiobjective Optimal Control Problems (MOC) Using Viability Theory},
author = {A. Guigue},
journal= {arXiv preprint arXiv:1203.0292},
year = {2012}
}