Methods to design optimal control of Markov process with finite state set in the presence of constraints

DOI10.1134/S000511791102010XMaRDI QIDQ544780zbMATH OpenOpenAlexFDO

Authors Yong-Cai Geng, Sumit K. Garg

Publication date 16 June 2011

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

Full work available at URL https://doi.org/10.1134/s000511791102010x

zbMATH Keywords

dynamic programmingconvex programmingfinite state set over a fixed intervalinequality-like constraintsoptimal control of a nonuniform Markov process

Mathematics Subject Classification ID

Convex programming (90C25) Dynamic programming (90C39) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

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Cited in

(10)

• Control and observation for dynamical queueing networks. I
• Simultaneous impulse and continuous control of a Markov chain in continuous time
• Optimal channel choice for lossy data flow transmission
• Towards the optimal control of Markov chains with constraints
• A stochastic control approach to bid-ask price modelling
• Analysis and optimization of a controlled model for a closed queueing network
• Stabilization and tracking of the trajectory of a linear system with jump drift
• A ``direct method to prove the generalized Itô-Venttsel' formula for a generalized stochastic differential equation
• Optimal control problem regularization for the Markov process with finite number of states and constraints
• Control of \(M|M|1|N\) queue parameters under constraints

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