Abstract | ||
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An optimal control problem with constraints is considered on a finite interval for a non-stationary Markov chain with a finite state space. The constraints are given as a set of inequalities. The optimal solution existence is proved under a natural assumption that the set of admissible controls is non-empty. The stochastic control problem is reduced to a deterministic one and it is shown that the optimal solution satisfies the maximum principle, moreover it can be chosen within a class of Markov controls. On the basis of this result an approach to the numerical solution is proposed and its implementation is illustrated by examples. |
Year | DOI | Venue |
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2010 | 10.1016/j.automatica.2010.06.003 | Automatica |
Keywords | Field | DocType |
Markov chains,Constraints,Optimal control,Maximum principle | Mathematical optimization,Optimal control,Markov process,Maximum principle,Markov model,Markov chain,Variable-order Markov model,Markov kernel,Mathematics,Stochastic control | Journal |
Volume | Issue | ISSN |
46 | 9 | 0005-1098 |
Citations | PageRank | References |
3 | 0.89 | 5 |
Authors | ||
3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Boris Miller | 1 | 9 | 2.02 |
Gregory Miller | 2 | 34 | 5.21 |
Konstantin Siemenikhin | 3 | 3 | 0.89 |