Ergodic Control of Switching Diffusions

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dc.contributor.authorGhosh, Mrinal K.en_US
dc.contributor.authorArapostathis, Aristotleen_US
dc.contributor.authorMarcus, Steven I.en_US
dc.contributor.departmentISRen_US
dc.date.accessioned2007-05-23T09:51:16Z
dc.date.available2007-05-23T09:51:16Z
dc.date.issued1992en_US
dc.description.abstractWe 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.en_US
dc.format.extent1652535 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.urihttp://hdl.handle.net/1903/5261
dc.language.isoen_USen_US
dc.relation.ispartofseriesISR; TR 1992-80en_US
dc.subjectoptimal controlen_US
dc.subjectstochastic systemsen_US
dc.subjectflexible manufacturingen_US
dc.subjectSystems Integrationen_US
dc.titleErgodic Control of Switching Diffusionsen_US
dc.typeTechnical Reporten_US

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