A Dynamic Programming Algorithm for the Optimal Control of Piecewise Deterministic Markov Processes
نویسندگان
چکیده
منابع مشابه
Numerical methods for optimal control of piecewise deterministic Markov processes
Scientific Research context: In 1980, M.H.A. Davis [1] introduced in probability theory Piecewise Deterministic Markov Processes (PDMP) as a general class of models suitable for formulating optimization problems in queuing and inventory systems, maintenance-replacement models, investment scheduling and many other areas of operation research. In the continuous-time context, stochastic control th...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2001
ISSN: 0363-0129,1095-7138
DOI: 10.1137/s0363012999364474