Numerical method for impulse control of Piecewise Deterministic Markov Processes
| hal.structure.identifier | Groupe de Recherche en Economie Théorique et Appliquée [GREThA] | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | DE SAPORTA, Benoîte | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | DUFOUR, François | |
| dc.date.accessioned | 2024-04-04T02:28:02Z | |
| dc.date.available | 2024-04-04T02:28:02Z | |
| dc.date.created | 2010-11-26 | |
| dc.date.issued | 2012 | |
| dc.identifier.issn | 0005-1098 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/190065 | |
| dc.description.abstractEn | 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. | |
| dc.description.sponsorship | Contrôle tolérant aux pannes pour les systèmes embarqués - ANR-09-SEGI-0004 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.title.en | Numerical method for impulse control of Piecewise Deterministic Markov Processes | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1016/j.automatica.2012.02.031 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.identifier.arxiv | 1011.5812 | |
| bordeaux.journal | Automatica | |
| bordeaux.page | pp779-793 | |
| bordeaux.volume | 48 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-00541413 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00541413v1 | |
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