Stochastic Hybrid Control

Stochastic Hybrid Control

On Hybrid Stochastic Singular Control

We consider stochastic hybrid systems controlled by a bounded variation process leading to a singular control. A typical example is considered (i.e., characterization and properties of the value function) and a more general class is discussed in a paper to appear. Copyright c ©2005 IFAC.

Control of singularly perturbed hybrid stochastic systems

In this paper, we study a class of optimal stochastic control problems involving two different time scales. The fast mode of the system is represented by deterministic state equations whereas the slow mode of the system corresponds to a jump disturbance process. Under a fundamental “ergodicity” property for a class of “infinitesimal control systems” associated with the fast mode, we show that t...

Control of a Hybrid Stochastic System

We consider in this paper a continuous time stochastic hybrid control system with a nite time horizon. The objective is to minimize a linear function of the expected state trajectory. The state evolves according to a linear dynamics. However, the parameters of the state evolution equation may change at discrete times according to a controlled Markov chain which has nite state and action spaces....

Optimal Control of Discrete Hybrid Stochastic Automata

This paper focuses on hybrid systems whose discrete state transitions depend on both deterministic and stochastic events. For such systems, after introducing a suitable hybrid model called Discrete Hybrid Stochastic Automaton (DHSA), different finite-time optimal control approaches are examined: (1) Stochastic Hybrid Optimal Control (SHOC), which “optimistically” determines the trajectory provi...