Asymptotic optimization for a class of nonlinear stochastic hybrid systems on infinite time horizon

Author

Nguyen, Minh-Tuan ; Gaitsgory, Vladimir

Author_Institution

Sch. of Math., South Australia Univ., The Levels, SA, Australia

Volume

6

fYear

1997

fDate

4-6 Jun 1997

Firstpage

3587

Abstract

A problem of optimal control of a stochastic hybrid system on an infinite time horizon is considered. The parameters of the system may jump at discrete moments of time according to a Markov decision process which has finite state and action spaces. The problem is approximated by some deterministic optimal control problem and a near optimal control Markov policy is constructed under assumption that the length of the intervals between the jumps is defined by a small parameter ε

Keywords

Markov processes; nonlinear control systems; optimal control; stochastic systems; Markov decision process; asymptotic optimization; deterministic optimal control problem; discrete-time parameter jumps; finite action space; finite state space; infinite time horizon; near optimal control Markov policy; nonlinear stochastic hybrid systems; Australia; Control systems; History; Hybrid integrated circuits; Mathematics; Nonlinear dynamical systems; Optimal control; State-space methods; Stochastic processes; Stochastic systems;

fLanguage

English

Publisher

ieee

Conference_Titel

American Control Conference, 1997. Proceedings of the 1997

Conference_Location

Albuquerque, NM

ISSN

0743-1619

Print_ISBN

0-7803-3832-4

Type

conf

DOI

10.1109/ACC.1997.609491

Filename

609491