Article ID Journal Published Year Pages File Type
1713765 Nonlinear Analysis: Hybrid Systems 2011 15 Pages PDF
Abstract

We present a dynamic programming-based solution to the problem of maximizing the probability of attaining a target set before hitting a cemetery set for a discrete-time Markov control process. Under mild hypotheses we establish that there exists a deterministic stationary policy that achieves the maximum value of this probability. We demonstrate how the maximization of this probability can be computed through the maximization of an expected total reward until the first hitting time to either the target or the cemetery set. Martingale characterizations of thrifty, equalizing, and optimal policies in the context of our problem are also established.

Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
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