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hal.structure.identifierGroupe de Recherche en Economie Théorique et Appliquée [GREThA]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorDE SAPORTA, Benoîte
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorDUFOUR, François
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorZHANG, Huilong
dc.date.accessioned2024-04-04T02:26:46Z
dc.date.available2024-04-04T02:26:46Z
dc.date.created2011
dc.date.issued2011
dc.date.conference2011
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/189979
dc.description.abstractEnThis 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 the underlying Markov chain defined by the post jump locations and inter-arrival times. Convergence results are obtained and more importantly we are able to give a convergence rate of the algorithm. This paper is illustrated by an example.
dc.language.isoen
dc.source.title18th IFAC world congress
dc.subject.enhybrid processes
dc.subject.enpiecewise deterministic Markov processes
dc.subject.enquantization
dc.subject.enconvergence of numerical method
dc.subject.endynamic programming
dc.subject.ennumeric control
dc.title.enApproximation of the value function of an impulse control problem of Piecewise Deterministic Markov Processes
dc.typeCommunication dans un congrès
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.pageTuA09.2
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.conference.title18th IFAC world congress
bordeaux.countryIT
bordeaux.title.proceeding18th IFAC world congress
bordeaux.conference.cityMilano
bordeaux.peerReviewedoui
hal.identifierhal-00617822
hal.version1
hal.invitednon
hal.proceedingsoui
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00617822v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.btitle=18th%20IFAC%20world%20congress&rft.date=2011&rft.spage=TuA09.2&rft.epage=TuA09.2&rft.au=DE%20SAPORTA,%20Beno%C3%AEte&DUFOUR,%20Fran%C3%A7ois&ZHANG,%20Huilong&rft.genre=unknown


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