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The Hopf-Lax formula for multiobjective costs with non-constant discount via set optimization (2105.02157v1)

Published 5 May 2021 in math.OC

Abstract: The minimization of a multiobjective Lagrangian with non-constant discount is studied. The problem is embedded into a set-valued framework and a corresponding definition of the value function is given. Bellman's optimality principle and Hopf-Lax formula are derived. The value function is shown to be a solution of a set-valued Hamilton-Jacobi equation.

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