Numerical method for impulse control of piecewise deterministic Markov processes

DOI10.1016/J.AUTOMATICA.2012.02.031zbMATH Open1246.93129arXiv1011.5812OpenAlexW2951144003MaRDI QIDQ445881

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Publication date: 27 August 2012

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Abstract: This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying Markov chain defined by the post jump location and inter-arrival time. Convergence results are obtained and more importantly we are able to give a convergence rate of the algorithm. The paper is illustrated by a numerical example.

Full work available at URL: https://arxiv.org/abs/1011.5812

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