Singularly Perturbed Hybrid Control Systems Approximated by Structured Linear Programs

A. Haurie, F. Moresino and J.-P. Vial
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A. Haurie: University of Geneva, Logilab-HEC
F. Moresino: University of Geneva, Logilab-HEC
J.-P. Vial: University of Geneva, Logilab-HEC

Chapter 28 in Markov Processes and Controlled Markov Chains, 2002, pp 443-463 from Springer

Abstract: Abstract The aim of this tutorial paper is to present the relationship that exists between the control of singularly perturbed hybrid stochastic systems and the decomposition approach in structured linear programs The mathematical sophistication is voluntarily kept at a low level byavoiding the full development of the theorems demonstrations that can be found in papers already published or to appear shortly. On another hand, since it corresponds to a new application of a convex optimization method that has been successfully applied in other contexts, we give a rather detailed account of the decomposition technique used in the numerical approximation method and of the comparison with a direct linear programming method.

Keywords: Markov Decision Process; Steady State Probability; Stochastic Control Problem; Dynamic Programming Equation; Control MARKOV Chain (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-0265-0_28

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DOI: 10.1007/978-1-4613-0265-0_28

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