Optimal control of a stochastic hybrid system with discounted cost

DOI10.1023/A:1021786019871zbMath1009.49019OpenAlexW1561867633MaRDI QIDQ1301891

V. Pereyra

Publication date: 5 March 2003

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1021786019871

zbMATH Keywords

optimal controldynamic programmingquasivariational inequalitiesdiscounted coststochastic hybrid systemswitching diffusionsimpulsive jumpsautonomous jumps

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming (90C39) Optimal stochastic control (93E20) Numerical solutions to stochastic differential and integral equations (65C30) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (5)

Existence of optimal controls on hybrid time domains ⋮ Discrete-time hybrid control in Borel spaces ⋮ Discrete-time hybrid control in Borel spaces: average cost optimality criterion ⋮ A Finite Horizon Optimal Stochastic Impulse Control Problem with A Decision Lag ⋮ Stabilization of Stochastic Hybrid Linear Systems with Noise

Cites Work

• Unnamed Item
• Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
• A unified framework for hybrid control: model and optimal control theory
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems

This page was built for publication: Optimal control of a stochastic hybrid system with discounted cost