Time-Average Control of Martingale Problems: A Linear Programming Formulation
Time-Average Control of Martingale Problems: A Linear Programming Formulation
复制标题
鞅问题的时间平均控制：线性规划公式
DOI：
--
复制
发表时间：
1990
期刊：
影响因子：
--
通讯作者：
R. Stockbridge
中科院分区：
文献类型：
--
作者：
R. Stockbridge
一种是研究受控系统的平均成本，作为其生成元的鞅问题的解。将控制问题转化为线性规划问题，并给出了最优解存在的条件。它进一步表明，最优控制可以采取只依赖于系统的历史，这一成本仍然是最优的系统与不同的初始分布
One studies the average cost for controlled systems given as solutions of the martingale problem for their generator. The control problem is reformulated as a linear programming problem and conditions are given for the existence of an optimal solution. It is further shown that the optimal control can be taken to depend only on the history of the system and that this cost remains optimal for systems with different initial distributions