| Type de publication : |
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Communications avec actes |
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| Domaine : |
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Mathématiques/Probabilités
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| Titre : |
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Approximation of the value function of an impulse control problem of Piecewise Deterministic Markov Processes |
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| Auteur(s) : |
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Benoîte de Saporta ( ) 1, 2, 3, François Dufour () 2, 3, Huilong Zhang 2, 3 |
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| Laboratoire : |
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| Résumé : |
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This paper presents a numerical method to approximate 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 locations and inter-arrival times. Convergence results are obtained and more importantly we are able to give a convergence rate of the algorithm. This paper is illustrated by an example. |
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Langue du texte
intégral : |
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Anglais |
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Date de production,
écriture : |
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2011 |
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| Titre de l'ouvrage : |
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18th IFAC world congress |
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| Audience : |
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internationale |
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| Date de publication : |
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2011 |
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| Page, identifiant, ... : |
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TuA09.2 |
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| Titre de la conférence : |
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18th IFAC world congress |
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| Date de la conférence : |
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2011 |
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| Ville : |
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Milano |
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| Pays : |
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Italie |
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| Mots Clés : |
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hybrid processes – piecewise deterministic Markov processes – quantization – convergence of numerical method – dynamic programming – numeric control |
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| Projet ANR : |
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10013 |
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