Numerical method for optimal stopping of hybrid processes
Langue
en
Communication dans un congrès
Ce document a été publié dans
Preprints of the 3rd IFAC International Conference on Analysis and Design of Hybrid Systems, Preprints of the 3rd IFAC International Conference on Analysis and Design of Hybrid Systems, 3rd IFAC International Conference on Analysis and Design of Hybrid Systems, 2009-09, Zaragoza. 2009p. 114-119
Résumé en anglais
We propose a numerical method to approximate the value function for the optimal stopping problem of a general class of hybrid processes, namely piecewise deterministic Markov processes (PDMP's). Our approach is based on ...Lire la suite >
Mots clés en anglais
hybrid processes
piecewise deterministic Markov processes
quantization
convergence of numerical method
dynamic programming
numeric control