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    Ergodic Control of Switching Diffusions

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    TR_92-80.pdf (1.575Mb)
    No. of downloads: 432

    Date
    1992
    Author
    Ghosh, Mrinal K.
    Arapostathis, Aristotle
    Marcus, Steven I.
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    Abstract
    We study the ergodic control problem of switching diffusions representing a typical hybrid system that arises in numerous applications such as fault tolerant control systems, flexible manufacturing systems, etc. Under certain conditions, we establish the existence of a stable Markov nonrandomized policy which is almost surely optimal for a pathwise longrun average cost criterion. We then study the corresponding Hamilton-Jacobi- Bellman (HJB) equation and establish the existence of a unique solution in a certain class. Using this, we characterize the optimal policy as a minimizing selector of the Hamiltonian associated with the HJB equations. We apply these results to a failure prone manufacturing system and show that the optimal production rate is of the hedging point type.
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    http://hdl.handle.net/1903/5261
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