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Value Function

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In Dynamic Programming the value function represents the optimal cost-to-go at some point in time V(t,X)=infu[t,t1]{J(t,X,u)}V(t,\mathbf{X})=\inf_{u[t,t_{1}]}\{ J(t,\mathbf{X},u) \}i.e. given some point in time the value function computes the minimal cost left to reach the terminal condition.

We have that the Value Function is optimal over any arbitrary time step: V(t,X)=infu[t,t+Δt]{tt+ΔtL(t,x(τ),u(τ))dτ+V(t+Δt,x(t+Δt))}V(t,\mathbf{X})=\inf_{u_{{[t,t+\Delta t]}}}\left\{ \int\limits _{t}^{t+\Delta t}L(t,x(\tau),u(\tau)) \, d\tau +V(t+\Delta t,x(t+\Delta t)) \right\}where x()x(\cdot) is the state trajectory corresponding to u[t,t+Δt]u_{[t,t+\Delta t]} and x(t)=Xx(t)=\mathbf{X}.

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