Control of a Hybrid Stochastic System
نویسندگان
چکیده
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. We use a procedure similar in form to the maximum principle; this determines a control strategy which is asymptotically optimal as the number of transitions during the nite time horizon grows to innnity.
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تاریخ انتشار 1992