Optimal Control of a Stochastic Hybrid System with Discounted Cost

V. S. Borkar, M. K. Ghosh and P. Sahay
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V. S. Borkar: Indian Institute of Science
M. K. Ghosh: Indian Institute of Science
P. Sahay: Indian Institute of Science

Journal of Optimization Theory and Applications, 1999, vol. 101, issue 3, No 3, 557-580

Abstract: Abstract We address the optimal control problem of a very general stochastic hybrid system with both autonomous and impulsive jumps. The planning horizon is infinite and we use the discounted-cost criterion for performance evaluation. Under certain assumptions, we show the existence of an optimal control. We then derive the quasivariational inequalities satisfied by the value function and establish well-posedness. Finally, we prove the usual verification theorem of dynamic programming.

Keywords: Hybrid systems; switching diffusions; autonomous jumps; impulsive jumps; discounted cost; optimal control (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1023/A:1021786019871

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