Convergence of the solutions of the discounted equation: the discrete case

28 Jul 2016  ·  Davini Andrea, Fathi Albert, Iturriaga Renato, Zavidovique Maxime ·

We derive a discrete version of the results of our previous work. If $M$ is a compact metric space, $c : M\times M \to \mathbb R$ a continuous cost function and $\lambda \in (0,1)$, the unique solution to the discrete $\lambda$-discounted equation is the only function $u_\lambda : M\to \mathbb R$ such that $$\forall x\in M, \quad u_\lambda(x) = \min_{y\in M} \lambda u_\lambda (y) + c(y,x).$$ We prove that there exists a unique constant $\alpha\in \mathbb R$ such that the family of $u_\lambda+\alpha/(1-\lambda)$ is bounded as $\lambda \to 1$ and that for this $\alpha$, the family uniformly converges to a function $u_0 : M\to \mathbb R$ which then verifies $$\forall x\in X, \quad u_0(x) = \min_{y\in X}u_0(y) + c(y,x)+\alpha.$$ The proofs make use of Discrete Weak KAM theory. We also characterize $u_0$ in terms of Peierls barrier and projected Mather measures.

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Optimization and Control Analysis of PDEs