Calculus of Variations and Geometric Measure Theory

M. Bardi - H. Kouhkouh

An Eikonal equation with vanishing Lagrangian arising in Global Optimization

created by bardi on 21 Jul 2022
modified on 12 Jan 2023

[BibTeX]

Accepted Paper

Inserted: 21 jul 2022
Last Updated: 12 jan 2023

Journal: Appl. Math. Optim.
Year: 2022

ArXiv: 2202.02561v2 PDF

Abstract:

We show a connection between global unconstrained optimization of a continuous function $f$ and weak KAM theory for an eikonal-type equation arising also in ergodic control. A solution $v$ of the critical Hamilton-Jacobi equation is built by a small discount approximation as well as the long time limit of an associated evolutive equation. Then $v$ is represented as the value function of a control problem with target, whose optimal trajectories are driven by a differential inclusion describing the gradient descent of $v$. Such trajectories are proved to converge to the set of minima of $f$, using tools in control theory and occupational measures. We prove also that in some cases the set of minima is reached in finite time.