A limited-feedback approximation scheme for optimal switching problems with execution delays (Q1650845): Difference between revisions

Motivated by applications to economical and engineering systems, the author considers a class of optimal switching problems with non-uniform execution delays and ramping, for which solutions are obtained via a probabilistic method, the state space augmentation. A scheme for approximating the optimal control by limiting the information in the state-feedback is provided, too, while the corresponding approximation routine turns out to perform better than the conventional algorithms in case of a concrete tracking problem that is investigated as a numerical example.