Optimal control of a stochastic hybrid system with discounted cost

Journal of Optimization Theory and Applications

Volumn 101, Issue 3, 1999, Pages 557-580

  Borkar, V S ^a   Ghosh, M K ^a   Sahay, P ^a  

^a INDIAN INSTITUTE OF SCIENCE   (India)

Author keywords

Autonomous jumps; Discounted cost; Hybrid systems; Impulsive jumps; Optimal control; Switching diffusions

Indexed keywords

COSTS; DYNAMIC PROGRAMMING; OPTIMAL CONTROL SYSTEMS; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS;

AUTONOMOUS JUMP; DISCOUNTED COSTS; DISCOUNTED-COST CRITERIA; IMPULSIVE JUMP; OPTIMAL CONTROL PROBLEM; OPTIMAL CONTROLS; PERFORMANCES EVALUATION; PLANNING HORIZONS; STOCHASTIC HYBRID SYSTEMS; SWITCHING DIFFUSION;

HYBRID SYSTEMS;

EID: 0033239450     PISSN: 00223239     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1021786019871     Document Type: Article

References (5)

1. 1. BRANICKY, M. S., BORKAR, V. S., and MITTER, S. K., A Unified Framework for Hybrid Control: Model and Optimal Control Theory, IEEE Transactions on Automatic Control, Vol. 43, pp. 31-45, 1998.
2. 2. GHOSH, M. K., ARAPOSTATHIS, A., and MARCUS, S. I., Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems, SIAM Journal on Control and Optimization, Vol. 31, pp. 1183-1204, 1993.
3. 3. BORKAR, V. S., Optimal Control of Diffusion Processes, Pitman Research Notes in Mathematics, Longman, Harlow, England, Vol. 203, 1989.
4. 4. BENES, V. E., Existence of Optimal Strategies Based on Problems, SIAM Journal on Control, Vol. 8, pp. 178-188, 1970.
5. 5. BENSOUSSAN, A., and LIONS, J. L., Impulse Control and Quasivariational Inequalities, Gauthier-Villars, Paris, France, 1984.