Smooth approximation of feedback laws for infinite horizon control problems with non-smooth value functions

Abstract

In this work the synthesis of approximate optimal and smooth feedback laws for infinite horizon optimal control problems is addressed. In this regards, $L^{p}$ type error bounds of the approximating smooth feedback laws are derived, depending on either the $C^1$ norm of the value function or its semi-concavity. These error bounds combined with the existence of a Lyapunov type function are used to prove the existence of an approximate optimal sequence of smooth feedback laws. Moreover, we extend this result to the H\"older continuous case by a diagonalization argument combined with the Moreau envelope. It is foreseen that these error bounds could be applied to study the convergence of synthesis of feedback laws via data driven machine learning methods. Additionally, we provide an example of an infinite horizon optimal control problem for which the value functions is non-differentiable but Lipschitz continuous. We point out that in this example no restrictions on either the controls or the trajectories are assumed.