Hamilton-Jacobi-Bellman inequality for the average control of piecewise deterministic Markov processes
| hal.structure.identifier | Universidade de São Paulo = University of São Paulo [USP] | |
| dc.contributor.author | COSTA, Oswaldo Luiz Do Valle | |
| hal.structure.identifier | Institut Polytechnique de Bordeaux [Bordeaux INP] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | DUFOUR, François | |
| dc.date.accessioned | 2024-04-04T02:58:16Z | |
| dc.date.available | 2024-04-04T02:58:16Z | |
| dc.date.issued | 2019 | |
| dc.identifier.issn | 1744-2508 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/192642 | |
| dc.description.abstractEn | The main goal of this paper is to study the infinite-horizon long run average continuous-time optimal control problem of piecewise deterministic Markov processes (PDMPs) with the control acting continuously on the jump intensity λ and on the transition measure Q of the process. We provide conditions for the existence of a solution to an integro-differential optimality inequality, the so called Hamilton-Jacobi-Bellman (HJB) equation, and for the existence of a deterministic stationary optimal policy. These results are obtained by using the so-called vanishing discount approach, under some continuity and compactness assumptions on the parameters of the problem, as well as some non-explosive conditions for the process. | |
| dc.language.iso | en | |
| dc.publisher | Taylor & Francis: STM, Behavioural Science and Public Health Titles | |
| dc.subject.en | Continuous-time Markov decision process | |
| dc.subject.en | Piecewise deterministic Markov process | |
| dc.subject.en | Hamilton-Jacobi-Bellman inequality | |
| dc.subject.en | Continuous control | |
| dc.subject.en | Average control | |
| dc.title.en | Hamilton-Jacobi-Bellman inequality for the average control of piecewise deterministic Markov processes | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1080/17442508.2018.1546305 | |
| dc.subject.hal | Mathématiques [math]/Optimisation et contrôle [math.OC] | |
| bordeaux.journal | Stochastics: An International Journal of Probability and Stochastic Processes | |
| bordeaux.page | 817-835 | |
| bordeaux.volume | 91 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.issue | 6 | |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-02414337 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-02414337v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastics:%20An%20International%20Journal%20of%20Probability%20and%20Stochastic%20Processes&rft.date=2019&rft.volume=91&rft.issue=6&rft.spage=817-835&rft.epage=817-835&rft.eissn=1744-2508&rft.issn=1744-2508&rft.au=COSTA,%20Oswaldo%20Luiz%20Do%20Valle&DUFOUR,%20Fran%C3%A7ois&rft.genre=article |
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