Optimal control of stochastic hybrid system with jumps: A numerical approximation
نویسندگان
چکیده
منابع مشابه
Optimal control of stochastic hybrid system with jumps: A numerical approximation
In this study, we extend the study of Koutsoukos [3] where stochastic hybrid processes are approximated by locally consistent discrete-state Markov Decision Processes (MDPs) that preserve local mean and covariance. It further introduced randomized switching policy for approximating the dynamics on the switching boundaries. Then he shows that using the randomized switching policy, the solution o...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2014
ISSN: 0377-0427
DOI: 10.1016/j.cam.2013.10.021