Ergodic Control of Switching Diffusions (Q4377429)
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scientific article; zbMATH DE number 1116168
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| English | Ergodic Control of Switching Diffusions |
scientific article; zbMATH DE number 1116168 |
Statements
Ergodic Control of Switching Diffusions (English)
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9 February 1998
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switching diffusions
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Markov policy
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pathwise average cost
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Hamilton-Jacobi-Bellman equation
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ergodic control
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failure-prone manufacturing system
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0.8546438217163086
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0.8513360023498535
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0.8405414819717407
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The existence of a stable, nonrandomized Markov policy is derived for the ergodic control problem of switching diffusions. The HJB equation is studied and the optimal control is characterized as a minimizing selector of the corresponding Hamiltonian. An extensive example is presented to apply the results to a failure-prone manufacturing system, for which closed form solutions for the optimal policy are derived.
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