Ghosh, Mrinal K and Arapostathis, Aristotle and Marcus, Steven I (1997) Ergodic control of switching diffusions. In: SIAM Journal on Control and Optimization, 35 (6). pp. 1952-1988.
We study the ergodic control problem of switching diusions representing a typical hybrid system that arises in numerous applications such as fault-tolerant control systems, flexible manufacturing systems, etc. Under fairly general conditions, we establish the existence of a stable, nonrandomized Markov policy which almost surely minimizes the pathwise long-run average cost. We then study the corresponding Hamilton-Jacobi-Bellman (HJB) equation and establish the existence of a unique solution in a certain class. Using this, we characterize the optimal policy as a minimizing selector of the Hamiltonian associated with the HJB equations. As an example we apply the results to a failure-prone manufacturing system and obtain closed form solutions for the optimal policy.
|Item Type:||Journal Article|
|Additional Information:||Copyright for this article belongs to Society for Industrial and Applied Mathematics (SIAM)|
|Keywords:||switching diffusions;Markov policy;ergodicity;pathwise average cost;Hamilton-Jacobi-Bellman equations|
|Department/Centre:||Division of Physical & Mathematical Sciences > Mathematics|
|Date Deposited:||02 Jun 2004|
|Last Modified:||19 Sep 2010 04:12|
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