Projected dynamical system

Projected dynamical systems is a mathematical theory investigating the behaviour of dynamical systems where solutions are restricted to a constraint set. The discipline shares connections to and applications with both the static world of optimization and equilibrium problems and the dynamical world of ordinary differential equations. A projected dynamical system is given by the flow to the projected differential equation

where K is our constraint set. Differential equations of this form are notable for having a discontinuous vector field.

Projected dynamical systems have evolved out of the desire to dynamically model the behaviour of nonstatic solutions in equilibrium problems over some parameter, typically take to be time. This dynamics differs from that of ordinary differential equations in that solutions are still restricted to whatever constraint set the underlying equilibrium problem was working on, e.g. nonnegativity of investments in financial modeling, convex polyhedral sets in operations research, etc. One particularly important class of equilibrium problems which has aided in the rise of projected dynamical systems has been that of variational inequalities.

The formalization of projected dynamical systems began in the 1990s. However, similar concepts can be found in the mathematical literature which predate this, especially in connection with variational inequalities and differential inclusions.

Any solution to our projected differential equation must remain inside of our constraint set K for all time. This desired result is achieved through the use of projection operators and two particular important classes of convex cones. Here we take K to be a closed, convex subset of some Hilbert space X.

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