Optimal control of a stochastic hybrid system with discounted cost

Borkar, V. S. ; Ghosh, M. K. ; Sahay, P. (1999) Optimal control of a stochastic hybrid system with discounted cost Journal of Optimization Theory and Applications, 101 (3). pp. 557-580. ISSN 0022-3239

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Official URL: http://www.springerlink.com/content/x6600781151561...

Related URL: http://dx.doi.org/10.1023/A:1021786019871

Abstract

We address the optimal control problem of a very general stochastic hybrid system with both autonomous and impulsive jumps. The planning horizon is infinite and we use the discounted-cost criterion for performance evaluation. Under certain assumptions, we show the existence of an optimal control. We then derive the quasivariational inequalities satisfied by the value function and establish well-posedness. Finally, we prove the usual verification theorem of dynamic programming.

Item Type:Article
Source:Copyright of this article belongs to Springer-Verlag.
Keywords:Hybrid Systems; Switching Diffusions; Autonomous Jumps; Impulsive Jumps; Discounted Cost; Optimal Control
ID Code:11965
Deposited On:10 Nov 2010 06:41
Last Modified:20 May 2011 09:08

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