Approximation of the value function of an impulse control problem of Piecewise Deterministic Markov Processes
Langue
en
Communication dans un congrès
Ce document a été publié dans
18th IFAC world congress, 18th IFAC world congress, 18th IFAC world congress, 2011, Milano. 2011p. TuA09.2
Résumé en anglais
This paper presents a numerical method to approximate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for ...Lire la suite >
Mots clés en anglais
hybrid processes
piecewise deterministic Markov processes
quantization
convergence of numerical method
dynamic programming
numeric control