Technical communique: Near optimal control for a class of stochastic hybrid systems

Authors:
Chunyue Song;Ping Li
Affiliations:
National Laboratory of Industrial Control Technology and Institute of Industrial Process Control, Zhejiang University, Hangzhou 310027, PR China;National Laboratory of Industrial Control Technology and Institute of Industrial Process Control, Zhejiang University, Hangzhou 310027, PR China
Venue:
Automatica (Journal of IFAC)
Year:
2010

Citing 4
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Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions

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Abstract

To address a computationally intractable optimal control problem for a class of stochastic hybrid systems, this paper proposes a near optimal state feedback control scheme, which is constructed by using a statistical prediction method based on approximate numerical solution that samples over the entire state space. A numerical example illustrates the potential of the approach.