Optimal strategies for impulse control of piecewise deterministic Markov processes
DE SAPORTA, Benoîte
Quality control and dynamic reliability [CQFD]
Institut Montpelliérain Alexander Grothendieck [IMAG]
Quality control and dynamic reliability [CQFD]
Institut Montpelliérain Alexander Grothendieck [IMAG]
DUFOUR, François
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
GEERAERT, Alizée
Thalès Optronique
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Thalès Optronique
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
DE SAPORTA, Benoîte
Quality control and dynamic reliability [CQFD]
Institut Montpelliérain Alexander Grothendieck [IMAG]
Quality control and dynamic reliability [CQFD]
Institut Montpelliérain Alexander Grothendieck [IMAG]
DUFOUR, François
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
GEERAERT, Alizée
Thalès Optronique
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
< Reduce
Thalès Optronique
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Language
en
Article de revue
This item was published in
Automatica. 2017, vol. 77, p. 219-229
Elsevier
English Abstract
This paper deals with the general discounted impulse control problem of a piecewisedeterministic Markov process. We investigate a new family of ǫ-optimal strategies. Theconstruction of such strategies is explicit and only ...Read more >
This paper deals with the general discounted impulse control problem of a piecewisedeterministic Markov process. We investigate a new family of ǫ-optimal strategies. Theconstruction of such strategies is explicit and only necessitates the previous knowledgeof the cost of the no-impulse strategy. In particular, it does not require the resolutionof auxiliary optimal stopping problem or the computation of the value function at eachpoint of the state space. This approach is based on the iteration of a single-jump-orinterventionoperator associated to the piecewise deterministic Markov process.Read less <
ANR Project
Ergodicité, contrôle et statistique pour les PDMP - ANR-12-JS01-0006
Origin
Hal imported