DE SAPORTA, Benoîte; DUFOUR, François

doi:10.1016/j.automatica.2012.02.031

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DE SAPORTA, Benoîte
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]

DUFOUR, François
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]

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Article de revue

Ce document a été publié dans

Automatica. 2012, vol. 48, p. pp779-793

Elsevier

Résumé en anglais

This paper presents a numerical method to calculate 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 location and inter-arrival time. Convergence results are obtained and more importantly we are able to give a convergence rate of the algorithm. The paper is illustrated by a numerical example.< Réduire