Approximation of the value function of an impulse control problem of Piecewise Deterministic Markov Processes
Idioma
en
Communication dans un congrès
Este ítem está publicado en
18th IFAC world congress, 18th IFAC world congress, 18th IFAC world congress, 2011, Milano. 2011p. TuA09.2
Resumen en inglés
This 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 ...Leer más >
Palabras clave en inglés
hybrid processes
piecewise deterministic Markov processes
quantization
convergence of numerical method
dynamic programming
numeric control