Optimal Control of a Stochastic Hybrid System with Discounted Cost |
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| Authors: | V S Borkar M K Ghosh P Sahay |
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| Institution: | (1) Department of Computer Science and Automation, Indian Institute of Science, Bangalore, India;(2) Department of Mathematics, Indian Institute of Science, Bangalore, India;(3) Department of Mathematics, Indian Institute of Science, Bangalore, India |
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| Abstract: | We address the optimal control problem of a very general stochastic hybrid system with both autonomous and impulsive jumps. The planning horizon is infinite and we use the discounted-cost criterion for performance evaluation. Under certain assumptions, we show the existence of an optimal control. We then derive the quasivariational inequalities satisfied by the value function and establish well-posedness. Finally, we prove the usual verification theorem of dynamic programming. |
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| Keywords: | Hybrid systems switching diffusions autonomous jumps impulsive jumps discounted cost optimal control |
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