Title :
Average Continuous Control of Piecewise Deterministic Markov Processes
Author :
Costa, O.L.V. ; Dufour, F.
Author_Institution :
Departamento de Engenharia de Telecomunicações e Controle, Escola Politécnica da Universidade de São Paulo, CEP: 05508 900-São Paulo, Brazil oswaldo@lac.usp.br
Abstract :
In this paper we consider the long run average continuous control problem of piecewise-deterministic Markov processes (PDP´s for short). The control variable acts on the jump rate λ and transition measure Q of the PDP. The main goal of the paper is to characterize the optimality equation of the problem in terms of integro-differential equations for the continuous-time problem as well as in terms of embedded discrete-time Markov chains associated to the PDP.
Keywords :
Brazil Council; Fluid flow measurement; Integrodifferential equations; Markov processes; Operations research; Optimal control; Poisson equations; Q measurement; Stability; Stochastic processes;
Conference_Titel :
Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
Print_ISBN :
0-7803-9567-0
DOI :
10.1109/CDC.2005.1582406
