Optimal switching for alternating processes

DOI10.1007/BF01442182zbMath0628.93080OpenAlexW2082218687MaRDI QIDQ1093614

Hiroaki Morimoto

Publication date: 1987

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01442182

zbMATH Keywords

impulsive controloptimal switchingalternating general processesdynamic programming inequalities

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic programming (90C15) Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (5)

The system of quasi-variational inequalities attached to the two-armed bandit problem ⋮ Optimal switching for two-parameter stochastic processes ⋮ A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time ⋮ Finite-Horizon Optimal Multiple Switching with Signed Switching Costs ⋮ On average cost stopping time problems

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• A System of Nonlinear Partial Differential Equations Arising in the Optimal Control of Stochastic Systems with Switching Costs
• Optimal control by means switchings

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