Optimal control of a stochastic hybrid system with discounted cost

Borkar, VS and Ghosh, MK and Sahay, P (1999) Optimal control of a stochastic hybrid system with discounted cost. In: Journal of Optimization Theory and Applications, 101 (3). pp. 557-580.

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Abstract

We address the optimal control problem of a very general stochastic hybrid system with both autonomous and impulsive jumps. The planning horizon is infinite and we use the discounted-cost criterion for performance evaluation. Under certain assumptions, we show the existence of an optimal control. We then derive the quasivariational inequalities satisfied by the value function and establish well-posedness. Finally, we prove the usual verification theorem of dynamic programming.

Item Type:	Journal Article
Publication:	Journal of Optimization Theory and Applications
Publisher:	Springer
Additional Information:	Copyright of this article belongs to
Keywords:	Hybrid systems;switching diffusions;autonomous jumps; impulsive jumps;discounted cost;optimal control.
Department/Centre:	Division of Electrical Sciences > Computer Science & Automation Division of Physical & Mathematical Sciences > Mathematics
Date Deposited:	29 Jun 2011 04:42
Last Modified:	29 Jun 2011 04:42
URI:	http://eprints.iisc.ac.in/id/eprint/38706

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