Title :
Optimal control of Markov chains with constraints
Author :
Miller, Boris ; Miller, Gregory ; Siemenikhin, Konstantin
Author_Institution :
Sch. of Math. Sci., Monash Univ., Clayton, VIC, Australia
Abstract :
A problem of optimal control of Markov chain with finite state space is considered. We consider a non-stationary finite horizon problem with constraints, given as a set of inequalities. Basing on recent results on existence of optimal solution we suggest to use the dual approach to optimization and thereby an approach to effective numerical algorithms. The approach is illustrated by numerical examples.
Keywords :
Markov processes; constraint theory; optimal control; optimisation; Markov chains; dual approach; finite state space; nonstationary finite horizon problem; numerical algorithm; optimal control; optimization; Communication system control; Control system synthesis; Control systems; Integral equations; Lagrangian functions; Linear programming; Optimal control; State-space methods; Stochastic processes; Systems engineering and theory;
Conference_Titel :
Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-3871-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2009.5400627
