Optimal Switching in Finite Horizon under State Constraints
نویسندگان
چکیده
منابع مشابه
Optimal Switching in Finite Horizon under State Constraints
We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated with this problem is the limit of value functions associated with unconstrained switching problems with penalized coefficients, as the penalization parameter goes to infinity. This co...
متن کاملA Finite Horizon Optimal Multiple Switching Problem
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem and completely solved using probabilistic tools such as the Snell envelop of processes and reflected backward stochastic differential equations. Finally, whe...
متن کاملOptimal Control under State Constraints
Optimal control under state constraints has brought new mathematical challenges that have led to new techniques and new theories. We survey some recent results related to issues of regularity of optimal trajectories, optimal controls and the value function, and discuss optimal synthesis and necessary optimality conditions. We also show how abstract inverse mapping theorems of set-valued analysi...
متن کاملSolving finite time horizon Dynkin games by optimal switching
This paper uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal stopping (Dynkin) game. Sufficient conditions for the game’s value to be continuous with respect to the time horizon are obtained using recent results on norm estimates for doubly reflected backward stochastic differenti...
متن کاملFinite-Horizon Markov Decision Processes with State Constraints
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (minimize costs) in a given stochastic dynamical environment. In many practical scenarios (multi-agent systems, telecommunication, queuing, etc.), the decision-making probl...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2016
ISSN: 0363-0129,1095-7138
DOI: 10.1137/15m1012281