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Near-optimal controls of differential systems with switching and random jumps subject to fast switching and wideband noise perturbation

Near-optimal controls of differential systems with switching and random jumps subject to fast... This work develops near-optimal controls for systems given by differential equations with wideband noise and random switching. The random switching is modeled by a continuous-time, time-inhomogeneous Markov chain. Under broad conditions, it is shown that there is an associated limit problem, which is a switching jump diffusion. Using near-optimal controls of the limit system, we then build controls for the original systems. It is shown that such constructed controls are nearly optimal. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Near-optimal controls of differential systems with switching and random jumps subject to fast switching and wideband noise perturbation

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Publisher
Springer Journals
Copyright
Copyright © 2016 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-016-0550-4
Publisher site
See Article on Publisher Site

Abstract

This work develops near-optimal controls for systems given by differential equations with wideband noise and random switching. The random switching is modeled by a continuous-time, time-inhomogeneous Markov chain. Under broad conditions, it is shown that there is an associated limit problem, which is a switching jump diffusion. Using near-optimal controls of the limit system, we then build controls for the original systems. It is shown that such constructed controls are nearly optimal.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Apr 5, 2016

References