Optimal time substitution in a control process

DOI10.1007/S10513-005-0166-2MaRDI QIDQ2577207zbMATH OpenOpenAlexFDO

Publication date 19 December 2005

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10513-005-0166-2

distribution function Markov process optimal relay control stopping time time substitution control

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

Review text

This paper deals with optimization problems for the following aim functional: \[ \nu(f)= {\int_X g(x) f(x) \mu(dx)\over \int_X f(x) \mu(dx)}, \] where \(X\) is a set with a given probability measure \(\mu\), \(g\) is a given integrable function and \(f\), control function, belongs to a predefined class. By taking the conditional expectation \(E(f|g)x= r(g(x))\), the aim functional can be expressed as \({\int_X g(x) r(g(x))\mu(dx)\over \int_X r(g(x))\mu(dx)}\). With this motivation, the author considered the optimization problems for more general form, \(J(r)= {\int^\infty_{-\infty} tr(t) dF_g(t)\over \int_{-\infty}^\infty w(r(t)) dF_g(t)}\) where \(F_g\) is the distribution function of \(g\). By this functional, control function \(r\) is interpreted as a time substitution. Optimal control functions for certain class and a method for computing them are determined. Relay control functions and related functions are shown to be optimal. Examples illustrate the diversity of the field of applications.

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