Optimal strategies for impulse control of piecewise deterministic Markov processes

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• 作者：Benoî ; te de Saporta^a ; ^c ; ^{benoite.de-saporta@umontpellier.fr}Author Vitae ; Franç ; ois Dufour^b ; ^c ; ^{dufour@math.u-bordeaux1.fr}Author Vitae ; Alizé ; e Geeraert^b ; ^c ; ^{alizee.geeraert@inria.fr}Author Vitae
• 关键词：Impulse control ; Piecewise deterministic Markov processes ; Optimal strategy ; Long-run average cost ; Dynamic programming
• 刊名：Automatica
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：77
• 期：Complete
• 页码：219-229
• 全文大小：683 K
• 卷排序：77

文摘

This paper deals with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of ϵϵ-optimal strategies. The construction of such strategies is explicit and only necessitates the previous knowledge of the cost of the no-impulse strategy. In particular, it does not require the resolution of auxiliary optimal stopping problem or the computation of the value function at each point of the state space. This approach is based on the iteration of a single-jump-or-intervention operator associated to the piecewise deterministic Markov process.