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Piecewise Deterministic Markov Control Processes with Feedback Controls and Unbounded Costs

Piecewise Deterministic Markov Control Processes with Feedback Controls and Unbounded Costs The control of piecewise-deterministic processes is studied where only local boundedness of the data is assumed. Moreover the discount rate may be zero. The value function is shown to be solution to the Bellman equation in a weak sense; however the solution concept is strong enough to generate optimal policies. Continuity and compactness conditions are given for the existence of nonrelaxed optimal feedback controls. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Applicandae Mathematicae Springer Journals

Piecewise Deterministic Markov Control Processes with Feedback Controls and Unbounded Costs

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References (37)

Publisher
Springer Journals
Copyright
Copyright © 2004 by Kluwer Academic Publishers
Subject
Mathematics; Mathematics, general; Computer Science, general; Theoretical, Mathematical and Computational Physics; Complex Systems; Classical Mechanics
ISSN
0167-8019
eISSN
1572-9036
DOI
10.1023/B:ACAP.0000031200.76583.75
Publisher site
See Article on Publisher Site

Abstract

The control of piecewise-deterministic processes is studied where only local boundedness of the data is assumed. Moreover the discount rate may be zero. The value function is shown to be solution to the Bellman equation in a weak sense; however the solution concept is strong enough to generate optimal policies. Continuity and compactness conditions are given for the existence of nonrelaxed optimal feedback controls.

Journal

Acta Applicandae MathematicaeSpringer Journals

Published: Oct 18, 2004

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