The Policy Iteration Algorithm for Average Continuous Control of Piecewise Deterministic Markov Processes |
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Authors: | O L V Costa F Dufour |
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Institution: | (1) Shanghai Jiaotong University, Shanghai, China;(2) Hong Kong University of Science and Technology, Hong Kong, Hong Kong;(3) Fudan University, Shanghai, China |
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Abstract: | The main goal of this paper is to apply the so-called policy iteration algorithm (PIA) for the long run average continuous
control problem of piecewise deterministic Markov processes (PDMP’s) taking values in a general Borel space and with compact
action space depending on the state variable. In order to do that we first derive some important properties for a pseudo-Poisson
equation associated to the problem. In the sequence it is shown that the convergence of the PIA to a solution satisfying the
optimality equation holds under some classical hypotheses and that this optimal solution yields to an optimal control strategy
for the average control problem for the continuous-time PDMP in a feedback form. |
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Keywords: | |
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