Control problems on infinite horizon subject to time-dependent pure state constraints

Abstract: In the last decades, control problems with infinite horizons and discount factors have become increasingly central not only for economics but also for applications in artificial intelligence and machine learning. The strong links between reinforcement learning and control theory have led to major efforts towards the development of algorithms to learn how to solve constrained control problems. In particular, discount plays a role in addressing the challenges that come with models that have unbounded disturbances. Although algorithms have been extensively explored, few results take into account time-dependent state constraints, which are imposed in most real-world control applications. For this purpose, here we investigate feasibility and sufficient conditions for Lipschitz regularity of the value function for a class of discounted infinite horizon optimal control problems subject to time-dependent constraints. We focus on problems with data that allow nonautonomous dynamics, and Lagrangian and state constraints that can be unbounded with possibly nonsmooth boundaries.