Numerical method for optimal stopping of hybrid processes
DE SAPORTA, Benoîte
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
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]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
GONZALEZ, Karen
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
DE SAPORTA, Benoîte
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
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]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
GONZALEZ, Karen
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
< Reduce
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Language
en
Communication dans un congrès
This item was published in
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
English Abstract
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 ...Read more >
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 quantization of the post jump location inter-arrival time Markov chain naturally embedded in the PDMP, and path-adapted time discretization grids. It allows us to derive bounds for the convergence rate of the algorithm and to provide a computable -optimal stopping time.Read less <
English Keywords
hybrid processes
piecewise deterministic Markov processes
quantization
convergence of numerical method
dynamic programming
numeric control
Origin
Hal imported