Minimum energy with infinite horizon: from stationary to non-stationary states

Abstract

We study a non standard infinite horizon, infinite dimensional linear-quadratic control problem arising in the physics of non-stationary states (see e.g. \cite{BDGJL4,BertiniGabrielliLebowitz05}): finding the minimum energy to drive a given stationary state $\bar x=0$ (at time $t=-\infty$) into an arbitrary non-stationary state $x$ (at time $t=0$). This is the opposite to what is commonly studied in the literature on null controllability (where one drives a generic state $x$ into the equilibrium state $\bar x=0$). Consequently, the Algebraic Riccati Equation (ARE) associated to this problem is non-standard since the sign of the linear part is opposite to the usual one and since it is intrinsically unbounded. Hence the standard theory of AREs does not apply. The analogous finite horizon problem has been studied in the companion paper \cite{AcquistapaceGozzi17}. Here, similarly to such paper, we prove that the linear selfadjoint operator associated to the value function is a solution of the above mentioned ARE. Moreover, differently to \cite{AcquistapaceGozzi17}, we prove that such solution is the maximal one. The first main result (Theorem \ref{th:maximalARE}) is proved by approximating the problem with suitable auxiliary finite horizon problems (which are different from the one studied in \cite{AcquistapaceGozzi17}). Finally in the special case where the involved operators commute we characterize all solutions of the ARE (Theorem \ref{th:sol=proj}) and we apply this to the Landau-Ginzburg model.