Optimal switching for alternating processes

DOI10.1007/BF01442182MaRDI QIDQ1093614zbMATH OpenOpenAlexFDO

Authors Hiroaki Morimoto

Publication date 1987

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01442182

zbMATH Keywords

impulsive controloptimal switchingalternating general processesdynamic programming inequalities

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) 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) Optimal stochastic control (93E20)

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• On a system of first-order quasi-variational inequalities connected with the optimal switching problem
• Optimal Stochastic Scheduling of Power Generation Systems with Scheduling Delays and Large Cost Differentials
• Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation
• Optimal Stopping Problems in Stochastic Control
• Optimal Switching for Ordinary Differential Equations
• Optimal control by means switchings
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• Strong envelopes of stochastic processes and a penalty method^†
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov

Cited in

(13)

• Optimal starting–stopping and switching of a CIR process with fixed costs
• An example of optimal switching between a wiener process and a deterministic motion with a non-zero switching cost
• A study of optimal switching problem in limited-cycle with multiple periods
• Optimal switching with minimum dwell time constraint
• Optimal switching between cash-flow streams
• The system of quasi-variational inequalities attached to the two-armed bandit problem
• On average cost stopping time problems
• Switching between OPTX and PBE exchange functionals
• Optimal switching for two-parameter stochastic processes
• Finite-horizon optimal multiple switching with signed switching costs
• A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
• On the One-Dimensional Optimal Switching Problem
• Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs

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