Optimal control of stochastic hybrid system with jumps: A numerical approximation

Date

2014-03-15

Author

Temoçin, Büşra Zeynep
Weber, Gerhard Wilhelm

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The generalized class of stochastic hybrid systems consists of models with regime changes including the occurrence of impulsive behavior. In this paper, the stochastic hybrid processes with jumps are approximated by locally consistent Markov decision processes that preserve local mean and covariance. We further apply a randomized switching policy for approximating the dynamics on the switching boundaries. To investigate the validity of the approximation, we study a stochastic optimal control problem. On the basis of the discrete approximation, we solve the optimal control problem and show that the solution obtained from the discretized problem converges to the solution of the original optimal control problem.

Subject Keywords

Stochastic hybrid systems, Jump diffusions, Markov processes, Switching approximation, Optimal control

URI

https://hdl.handle.net/11511/56845

Journal

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

DOI

https://doi.org/10.1016/j.cam.2013.10.021

Collections

Graduate School of Applied Mathematics, Article

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Citation Formats

B. Z. Temoçin and G. W. Weber, “Optimal control of stochastic hybrid system with jumps: A numerical approximation,” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, pp. 443–451, 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/56845.