Stochastic Hybrid Control

By Alain Bensoussan, José-Luis Menaldi. 2000

72 citations recorded by the source corpus.

The objective of this paper is to study the stochastic version of a previous paper of the authors, in which hybrid control for deterministic systems was considered. The modelling is quite similar to the deterministic case. We have a system whose state is composed of a continuous part and a discrete part. They are affected by a continuous type control and an impulse control. The dynamics is moreover perturbed by noise, also a continuous and a discrete noise process. The Markovian character of the sate process is preserved. We develop the model and show how the dynamic programming approach leads to some involved quasi-variational inequality.

Subfields: Computational Theory and Mathematics, Control and Systems Engineering

View Paper: https://www.semanticscholar.org/paper/1dfb62fcb6ebd92001e50bb62fac7c851e8cc751