The Annals of Applied Probability

Nonconvex homogenization for one-dimensional controlled random walks in random potential

Atilla Yilmaz and Ofer Zeitouni

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Abstract

We consider a finite horizon stochastic optimal control problem for nearest-neighbor random walk $\{X_{i}\}$ on the set of integers. The cost function is the expectation of the exponential of the path sum of a random stationary and ergodic bounded potential plus $\theta X_{n}$. The random walk policies are measurable with respect to the random potential, and are adapted, with their drifts uniformly bounded in magnitude by a parameter $\delta\in[0,1]$. Under natural conditions on the potential, we prove that the normalized logarithm of the optimal cost function converges. The proof is constructive in the sense that we identify asymptotically optimal policies given the value of the parameter $\delta$, as well as the law of the potential. It relies on correctors from large deviation theory as opposed to arguments based on subadditivity which do not seem to work except when $\delta=0$.

The Bellman equation associated to this control problem is a second-order Hamilton–Jacobi (HJ) partial difference equation with a separable random Hamiltonian which is nonconvex in $\theta$ unless $\delta=0$. We prove that this equation homogenizes under linear initial data to a first-order HJ equation with a deterministic effective Hamiltonian. When $\delta=0$, the effective Hamiltonian is the tilted free energy of random walk in random potential and it is convex in $\theta$. In contrast, when $\delta=1$, the effective Hamiltonian is piecewise linear and nonconvex in $\theta$. Finally, when $\delta\in(0,1)$, the effective Hamiltonian is expressed completely in terms of the tilted free energy for the $\delta=0$ case and its convexity/nonconvexity in $\theta$ is characterized by a simple inequality involving $\delta$ and the magnitude of the potential, thereby marking two qualitatively distinct control regimes.

Article information

Source
Ann. Appl. Probab., Volume 29, Number 1 (2019), 36-88.

Dates
Received: May 2017
Revised: January 2018
First available in Project Euclid: 5 December 2018

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1544000425

Digital Object Identifier
doi:10.1214/18-AAP1395

Mathematical Reviews number (MathSciNet)
MR3910000

Zentralblatt MATH identifier
07039121

Subjects
Primary: 60K37: Processes in random environments 93E20: Optimal stochastic control 35B27: Homogenization; equations in media with periodic structure [See also 74Qxx, 76M50]

Keywords
Random walk in random potential stochastic optimal control Hamilton–Jacobi homogenization corrector large deviations tilted free energy

Citation

Yilmaz, Atilla; Zeitouni, Ofer. Nonconvex homogenization for one-dimensional controlled random walks in random potential. Ann. Appl. Probab. 29 (2019), no. 1, 36--88. doi:10.1214/18-AAP1395. https://projecteuclid.org/euclid.aoap/1544000425


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