Stochastic control up to a hitting time: optimality and rolling-horizon implementation
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Publication:6209953
arXiv0806.3008MaRDI QIDQ6209953FDOQ6209953
Authors: Debasish Chatterjee, Eugenio Cinquemani, Giorgos Chaloulos, John Lygeros 
Publication date: 18 June 2008
Abstract: We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact target set while simultaneously minimizing an expected discounted cost. We then provide a rolling-horizon strategy for approximating the optimal policy, together with quantitative characterization of its sub-optimality with respect to the optimal policy. Finally, we address related issues of asymptotic discount-optimality of the value-iteration policy. Both the state and action spaces are assumed to be Polish.
Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
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