Numerical method for impulse control of Piecewise Deterministic Markov Processes

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.
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Contributor : Benoîte de Saporta <>
Submitted on : Tuesday, November 30, 2010 - 2:38:44 PM
Last modification on : Wednesday, December 5, 2018 - 9:02:07 AM

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  • HAL Id : hal-00541413, version 1
  • ARXIV : 1011.5812

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Benoîte de Saporta, François Dufour. Numerical method for impulse control of Piecewise Deterministic Markov Processes. Automatica, Elsevier, 2012, 48, pp779-793. ⟨hal-00541413⟩

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