On asymptotic optimization of a class of nonlinear stochastic hybrid systems

On asymptotic optimization of a class of nonlinear stochastic hybrid systems

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Article ID: iaor19992534
Country: Germany
Volume: 47
Issue: 2
Start Page Number: 289
End Page Number: 315
Publication Date: Jan 1998
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors: , ,
Abstract:

We consider the problem of control for continuous time stochastic hybrid systems in finite time horizon. The systems considered are nonlinear: the state evolution is a nonlinear function of both the control and the state. The control parameters change at discrete times according to an underlying controlled Markov chain which has finite state and action spaces. The objective is to design a controller which would minimize an expected nonlinear cost of the state trajectory. We show using an averaging procedure, that the above minimizing problem can be approximated by the solution of some deterministic optimal control problem. This paper generalizes our previous results obtained for systems whose state evolution is linear in the control.

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