29 search results - page 1 / 6 » On the infinite time solution to state-constrained stochasti... |
AUTOMATICA
2008
13 years 5 months ago
2008
: For an infinite-horizon optimal control problem, the cost does not, in general, converge. The classical work-around to this problem is to introduce a discount or "forgetting...
SIAMCO
2002
13 years 4 months ago
2002
An optimal stochastic control problem is considered for systems with unbounded controls satisfying an integral constraint. It is shown that there exists an optimal control within t...
MCSS
2008
Springer
13 years 4 months ago
2008
Springer
In this paper we deal with a perturbed algebraic Riccati equation in an infinite dimensional Banach space. Besides the interest in its own right, this class of equations appears, ...
MOR
2007
13 years 4 months ago
2007
We consider the problem of solving a nonhomogeneous infinite horizon Markov Decision Process (MDP) problem in the general case of potentially multiple optimal first period polic...
HYBRID
2005
Springer
13 years 10 months ago
2005
Springer
Abstract. In this paper, we study the problem of controlling the expected exit time from a region for a class of stochastic hybrid systems. That is, we find the least costly feedb...