Stochastic control up to a hitting time: optimality and rolling-horizon implementation

Details Stochastic control up to a hitting time: optimality and rolling-horizon implementation Stochastic control up to a hitting time: optimality and rolling-horizon implementation

2008-06-18

arxiv.org/abs/0806.3008v3

Mathematics

Optimization and Control

20 pages, 4 figures

Scientific paper

We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact target set while simultaneously minimizing an expected discounted cost. We then provide a rolling-horizon strategy for approximating the optimal policy, together with quantitative characterization of its sub-optimality with respect to the optimal policy. Finally, we address related issues of asymptotic discount-optimality of the value-iteration policy. Both the state and action spaces are assumed to be Polish.

Affiliated with

Also associated with

No associations

Rating

Stochastic control up to a hitting time: optimality and rolling-horizon implementation does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Stochastic control up to a hitting time: optimality and rolling-horizon implementation, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Stochastic control up to a hitting time: optimality and rolling-horizon implementation will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-273002