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The Vanishing Discount Approach for the Average Continuous Control of Piecewise Deterministic Markov Processes

Part of: Stochastic systems and control Markov processes

Published online by Cambridge University Press:  14 July 2016

O. L. V. Costa  and
F. Dufour
O. L. V. Costa*
Affiliation:
Escola Politécnica da Universidade de São Paulo
F. Dufour*
Affiliation:
Université Bordeaux I and INRIA Bordeaux Sud Ouest
*
∗Postal address: Departamento de Engenharia de Telecomunicações e Controle, Escola Politécnica da Universidade de São Paulo, CEP: 05508 900, São Paulo, Brazil. Email address: [email protected]
∗∗Postal address: Institut Mathématiques de Bordeaux, Université Bordeaux I, 351 cours de la Liberation, 33405 Talence Cedex, France. Email address: [email protected]
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Abstract

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This work is concerned with the existence of an optimal control strategy for the long-run average continuous control problem of piecewise-deterministic Markov processes (PDMPs). In Costa and Dufour (2008), sufficient conditions were derived to ensure the existence of an optimal control by using the vanishing discount approach. These conditions were mainly expressed in terms of the relative difference of the α-discount value functions. The main goal of this paper is to derive tractable conditions directly related to the primitive data of the PDMP to ensure the existence of an optimal control. The present work can be seen as a continuation of the results derived in Costa and Dufour (2008). Our main assumptions are written in terms of some integro-differential inequalities related to the so-called expected growth condition, and geometric convergence of the post-jump location kernel associated to the PDMP. An example based on the capacity expansion problem is presented, illustrating the possible applications of the results developed in the paper.

Keywords

Piecewise-deterministic Markov processcontinuous timelong-run average costoptimal controlintegro-differential optimality inequationvanishing discount approach

MSC classification

Secondary: 60J25: Continuous-time Markov processes on general state spaces 90C40: Markov and semi-Markov decision processes 93E20: Optimal stochastic control
Type
Research Article
Information
Journal of Applied Probability , Volume 46 , Issue 4 , December 2009 , pp. 1157 - 1183
Copyright
Copyright © Applied Probability Trust 2009 

References

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