A viscosity solution as a piecewise classical solution to a free boundary problem for the optimal switching problem with simultaneous multiple switches

\citeN{suzuki2020optimal} proves the uniqueness of the viscosity solution to a variational inequality which is solved by the value function of the infinite horizon optimal switching problem with simultaneous multiple switchings. Although it also identifies each connected region possibly including at most one connected switching region, the exact switching regions of the solution are not identified. The problem is finally converted into a system of free boundary problems and generally solved by the numerical calculation. However, if the PDE part of the variational inequality has a classical solution, the viscosity solution may be constructed as a series of piecewise classical solutions, possibly analytical. Under a certain assumption we prove that the series of piecewise classical solutions is indeed the viscosity solution on $\real{}$, after we prove the smooth pasting condition is its necessary condition, and establish the algorithm to compute all the free boundaries. Applying the results to the concrete problem studied in \citeN{suzuki2020optimal} we find the explicit solution and identify the continuation and switching regions in a computer with Python programs.

Publication Details

Journal
ArXiv.org
Published
2025-08-07
Primary Topic
Optimization and Variational Analysis
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

A viscosity solution as a piecewise classical solution to a free boundary problem for the optimal switching problem with simultaneous multiple switches

ArXiv.org
Optimization and Variational Analysis
article

A viscosity solution as a piecewise classical solution to a free boundary problem for the optimal switching problem with simultaneous multiple switches

article en

Abstract

\citeN{suzuki2020optimal} proves the uniqueness of the viscosity solution to a variational inequality which is solved by the value function of the infinite horizon optimal switching problem with simultaneous multiple switchings. Although it also identifies each connected region possibly including at most one connected switching region, the exact switching regions of the solution are not identified. The problem is finally converted into a system of free boundary problems and generally solved by the numerical calculation. However, if the PDE part of the variational inequality has a classical solution, the viscosity solution may be constructed as a series of piecewise classical solutions, possibly analytical. Under a certain assumption we prove that the series of piecewise classical solutions is indeed the viscosity solution on $\real{}$, after we prove the smooth pasting condition is its necessary condition, and establish the algorithm to compute all the free boundaries. Applying the results to the concrete problem studied in \citeN{suzuki2020optimal} we find the explicit solution and identify the continuation and switching regions in a computer with Python programs.

ArXiv.org
Reduced inequalities
Openalex Percentile: Top 48%
Optimization and Variational Analysis
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.