Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
696733 | Automatica | 2012 | 15 Pages |
Abstract
This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying Markov chain defined by the post jump location and inter-arrival time. Convergence results are obtained and more importantly we are able to give a convergence rate of the algorithm. The paper is illustrated by a numerical example.
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Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Benoîte de Saporta, François Dufour,