Title :
General stochastic hybrid systems: modelling and optimal control
Author :
Bujorianu, Manuela L. ; Lygeros, John
Author_Institution :
Dept. of Eng., Cambridge Univ., UK
Abstract :
We develop a model for general stochastic hybrid systems (GSHS) which is a generalization of piecewise-deterministic Markov processes (PDMP), introduced by Davis and stochastic hybrid systems proposed by Hu, Lygeros and Sastry. This model possesses certain desirable properties, as the strong Markov property and the cadlag property. Extending results available for PDMP, we develop the extended generator formula and the differential formula for GSHS. Then we investigate the dynamic programming for GSHS, using the differential formula.
Keywords :
Markov processes; dynamic programming; optimal control; stochastic systems; GSHS; PDMP; cadlag property; differential formula; dynamic programming; general stochastic hybrid systems; modelling; optimal control; piecewise-deterministic Markov processes; strong Markov property; Air safety; Bridges; Control system synthesis; Control systems; Dynamic programming; Markov processes; Mathematical model; Optimal control; Stochastic processes; Stochastic systems;
Conference_Titel :
Decision and Control, 2004. CDC. 43rd IEEE Conference on
Print_ISBN :
0-7803-8682-5
DOI :
10.1109/CDC.2004.1430320
