DocumentCode
3313202
Title
Optimal control of Markov chains with constraints
Author
Miller, Boris ; Miller, Gregory ; Siemenikhin, Konstantin
Author_Institution
Sch. of Math. Sci., Monash Univ., Clayton, VIC, Australia
fYear
2009
fDate
15-18 Dec. 2009
Firstpage
512
Lastpage
518
Abstract
A problem of optimal control of Markov chain with finite state space is considered. We consider a non-stationary finite horizon problem with constraints, given as a set of inequalities. Basing on recent results on existence of optimal solution we suggest to use the dual approach to optimization and thereby an approach to effective numerical algorithms. The approach is illustrated by numerical examples.
Keywords
Markov processes; constraint theory; optimal control; optimisation; Markov chains; dual approach; finite state space; nonstationary finite horizon problem; numerical algorithm; optimal control; optimization; Communication system control; Control system synthesis; Control systems; Integral equations; Lagrangian functions; Linear programming; Optimal control; State-space methods; Stochastic processes; Systems engineering and theory;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on
Conference_Location
Shanghai
ISSN
0191-2216
Print_ISBN
978-1-4244-3871-6
Electronic_ISBN
0191-2216
Type
conf
DOI
10.1109/CDC.2009.5400627
Filename
5400627
Link To Document