Singularly Perturbed Markov Chains and Applications to Large-Scale Systems under Uncertainty

G. Yin (), Q. Zhang (), K. Yin () and Hai Yang
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G. Yin: Wayne State University
Q. Zhang: University of Georgia
K. Yin: University of Minnesota

Chapter Chapter 21 in Modeling Uncertainty, 2002, pp 475-514 from Springer

Abstract: Abstract This chapter is concerned with large-scale hybrid stochastic systems, in which the dynamics involve both continuously evolving components and discrete events. Corresponding to different discrete states, the dynamic behavior of the underlying system could be markedly different. To reduce the complexity of these systems, singularly perturbed Markov chains are used to characterize the system. Asymptotic expansions of probability vectors and the structural properties of these Markov chains are provided. The ideas of decomposition and aggregation are presented using two typical optimal control problems. Such an approach leads to control policies that are simple to obtain and perform nearly as well as the optimal ones with substantially reduced complexity.

Keywords: singularly perturbation; Markov chain; near optimality; optimal control; LQG; MDP (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1007/0-306-48102-2_21

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