A Dynamic Programming Algorithm for the Optimal Control of Piecewise Deterministic Markov Processes

DOI10.1137/S0363012999364474zbMath1061.93096MaRDI QIDQ2753217

Anthony Almudevar

Publication date: 29 October 2001

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingcapacity expansionpiecewise deterministic Markov process

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Production models (90B30) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (17)

Optimal Control of Piecewise Deterministic Markov Processes ⋮ Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ Uniform Assymptotics in the Average Continuous Control of Piecewise Deterministic Markov Processes : Vanishing Approach ⋮ Optimal control of a class of piecewise deterministic processes ⋮ Optimal Control of Continuous-Time Markov Chains with Noise-Free Observation ⋮ Hamilton-Jacobi-Bellman inequality for the average control of piecewise deterministic Markov processes ⋮ Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation ⋮ Optimal Control of Partially Observable Piecewise Deterministic Markov Processes ⋮ Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane ⋮ Optimal liquidation under partial information with price impact ⋮ Abel-type results for controlled piecewise deterministic Markov processes ⋮ Optimal control of semi-Markov processes with a backward stochastic differential equations approach ⋮ MDP algorithms for portfolio optimization problems in pure jump markets ⋮ Approximation methods for piecewise deterministic Markov processes and their costs ⋮ Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes ⋮ Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information ⋮ Asymptotic Control for a Class of Piecewise Deterministic Markov Processes Associated to Temperate Viruses

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