Optimal switching for alternating processes
Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic programming (90C15) Dynamic programming (90C39) Optimal stochastic control (93E20)
The author considers the optimal switching problem for a finite set of alternating general processes with a cost function in integral form. Admissible control is represented by a sequence of stopping times \(T_ n\) and a sequence of corresponding numbers of processes chosen at each \(T_ n\). The existence of the maximal element of a class of dynamic programming inequalities is shown by the method of impulsive control. This is used to obtain results on the existence of optimal control for general and cyclic switching problems.
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