Artigo de periodico

The vanishing approach for the average continuous control of piecewise deterministic Markov processes (2009)

• Authors:
  • Costa, Oswaldo Luiz do Valle
  • Dufour, F
• Autor USP: COSTA, OSWALDO LUIZ DO VALLE - EP
• Unidade: EP
• DOI: 10.1109/cdc.2008.4738719
• Subjects: MÉTODOS MCMC; CADEIAS DE MARKOV
• Language: Inglês
• Abstract: 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
• Imprenta:
  • Publisher place: New York
  • Date published: 2009
• Source:
  • Título do periódico: Journal of Applied Probability
  • Volume/Número/Paginação/Ano: v. 46, n. 4, p. 1157-1183, 2009

Informações sobre o DOI: 10.1109/cdc.2008.4738719 (Fonte: oaDOI API)
• Este periódico é de assinatura
• Este artigo é de acesso aberto
• URL de acesso aberto
• Cor do Acesso Aberto: green

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How to cite

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• ABNT

  COSTA, Oswaldo Luiz do Valle e DUFOUR, F. The vanishing approach for the average continuous control of piecewise deterministic Markov processes. Journal of Applied Probability, v. 46, n. 4, p. 1157-1183, 2009Tradução . . Disponível em: https://doi.org/10.1109/cdc.2008.4738719. Acesso em: 23 abr. 2024.

• APA

  Costa, O. L. do V., & Dufour, F. (2009). The vanishing approach for the average continuous control of piecewise deterministic Markov processes. Journal of Applied Probability, 46( 4), 1157-1183. doi:10.1109/cdc.2008.4738719

• NLM

  Costa OL do V, Dufour F. The vanishing approach for the average continuous control of piecewise deterministic Markov processes [Internet]. Journal of Applied Probability. 2009 ; 46( 4): 1157-1183.[citado 2024 abr. 23 ] Available from: https://doi.org/10.1109/cdc.2008.4738719

• Vancouver

  Costa OL do V, Dufour F. The vanishing approach for the average continuous control of piecewise deterministic Markov processes [Internet]. Journal of Applied Probability. 2009 ; 46( 4): 1157-1183.[citado 2024 abr. 23 ] Available from: https://doi.org/10.1109/cdc.2008.4738719

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