Optimal strategies for impulse control of piecewise deterministic Markov processes
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| hal.structure.identifier | Institut Montpelliérain Alexander Grothendieck [IMAG] | |
| dc.contributor.author | DE SAPORTA, Benoîte | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | DUFOUR, François | |
| hal.structure.identifier | Thalès Optronique | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | GEERAERT, Alizée | |
| dc.date.created | 2016 | |
| dc.date.issued | 2017 | |
| dc.identifier.issn | 0005-1098 | |
| dc.description.abstractEn | 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. | |
| dc.description.sponsorship | Ergodicité, contrôle et statistique pour les PDMP - ANR-12-JS01-0006 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.title.en | Optimal strategies for impulse control of piecewise deterministic Markov processes | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1016/j.automatica.2016.11.039 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.identifier.arxiv | 1603.07859 | |
| bordeaux.journal | Automatica | |
| bordeaux.page | 219-229 | |
| bordeaux.volume | 77 | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01294286 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01294286v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Automatica&rft.date=2017&rft.volume=77&rft.spage=219-229&rft.epage=219-229&rft.eissn=0005-1098&rft.issn=0005-1098&rft.au=DE%20SAPORTA,%20Beno%C3%AEte&DUFOUR,%20Fran%C3%A7ois&GEERAERT,%20Aliz%C3%A9e&rft.genre=article |
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