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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