| Full text | |
| Author(s): |
Total Authors: 2
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| Affiliation: | [1] Univ Sao Paulo, Escola Politecn, Dept Engn Telecomunicacoes & Controle, Sao Paulo - Brazil
[2] Univ Bordeaux, INRIA Bordeaux Sud Ouest, Inst Polytech Bordeaux, Team CQFD, IMB, Bordeaux - France
Total Affiliations: 2
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| Document type: | Journal article |
| Source: | STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES; v. 91, n. 6, p. 817-835, AUG 18 2019. |
| Web of Science Citations: | 0 |
| Abstract | |
The main goal of this paper is to study the infinite-horizon long run average continuous-time optimal control problem of piecewise deterministic Markov processes (PDMPs) with the control acting continuously on the jump intensity lambda and on the transition measure Q of the process. We provide conditions for the existence of a solution to an integro-differential optimality inequality, the so called Hamilton-Jacobi-Bellman (HJB) equation, and for the existence of a deterministic stationary optimal policy. These results are obtained by using the so-called vanishing discount approach, under some continuity and compactness assumptions on the parameters of the problem, as well as some non-explosive conditions for the process. (AU) | |
| FAPESP's process: | 14/50279-4 - Brasil Research Centre for Gas Innovation |
| Grantee: | Julio Romano Meneghini |
| Support Opportunities: | Research Grants - Research Centers in Engineering Program |
| FAPESP's process: | 14/50851-0 - INCT 2014: National Institute of Science and Technology for Cooperative Autonomous Systems Applied in Security and Environment |
| Grantee: | Marco Henrique Terra |
| Support Opportunities: | Research Projects - Thematic Grants |