Title :
Connecting singular control with optimal switching
Author :
Guo, Xin ; Tomecek, Pascal
Author_Institution :
Dept. of Ind. Eng. & Oper. Res., UC Berkeley, Berkeley, CA, USA
Abstract :
We summarize our recent work, on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multidimensional singular control problems, but also builds links among singular controls, Dynkin games, and sequential optimal stopping problems.
Keywords :
game theory; multidimensional systems; optimal control; time-varying systems; Dynkin game; connecting singular control; finite variation; multidimensional singular control problem; optimal switching problem; sequential optimal stopping problem; Fuel economy; Industrial engineering; Investments; Joining processes; Mathematics; Multidimensional systems; Operations research; Optimal control; Production; Sufficient conditions;
Conference_Titel :
Decision and Control, 2008. CDC 2008. 47th IEEE Conference on
Conference_Location :
Cancun
Print_ISBN :
978-1-4244-3123-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2008.4739509
