Borkar, VS and Ghosh, MK and Sahay, P (1999) Optimal control of a stochastic hybrid system with discounted cost. In: Journal of Optimization Theory and Applications, 101 (3). pp. 557-580.
Optimal_Control_of_a_Stochastic.pdf - Published Version
Restricted to Registered users only
Download (836Kb) | Request a copy
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:||Journal Article|
|Additional Information:||Copyright of this article belongs to|
|Keywords:||Hybrid systems;switching diffusions;autonomous jumps; impulsive jumps;discounted cost;optimal control.|
|Department/Centre:||Division of Electrical Sciences > Computer Science & Automation (Formerly, School of Automation)
Division of Physical & Mathematical Sciences > Mathematics
|Date Deposited:||29 Jun 2011 04:42|
|Last Modified:||29 Jun 2011 04:42|
Actions (login required)