Ergodic Control of Switching Diffusions
Ergodic Control of Switching Diffusions
Loading...
Files
Publication or External Link
Date
1992
Authors
Ghosh, Mrinal K.
Arapostathis, Aristotle
Marcus, Steven I.
Advisor
Citation
DRUM DOI
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.