Near-Optimal Controls of Differential Systems with Switching and Random Jumps Subject to Fast Switching and Wideband Noise Perturbation

被引：0

作者：

Yin, G. ^{[1
]}

Guo, Xian-ping ^{[2
]}

Talafha, Yousef ^{[3
]}

Baran, Nicholas A. ^{[4
]}

机构：

[1] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

[2] Zhongshan Univ, Sch Math & Computat Sci, Zhongshan 224002, Peoples R China

[3] Tafila Tech Univ, Dept Math & Comp Sci, Tafila, Jordan

[4] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2016年 / 32卷 / 01期

基金：

美国国家科学基金会;

关键词：

regime switching; jump diffusion; wideband noise; martingale problem; relaxed control; near-optimal control; DIFFUSIONS; STABILITY;

D O I：

10.1007/s10255-016-0550-4

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This work develops near-optimal controls for systems given by differential equations with wideband noise and random switching. The random switching is modeled by a continuous-time, time-inhomogeneous Markov chain. Under broad conditions, it is shown that there is an associated limit problem, which is a switching jump diffusion. Using near-optimal controls of the limit system, we then build controls for the original systems. It is shown that such constructed controls are nearly optimal.

引用

页码：17 / 34

页数：18

共 11 条

[1] Near-optimal controls of differential systems with switching and random jumps subject to fast switching and wideband noise perturbation
G. Yin
Xian-ping Guo
Yousef Talafha
Nicholas A. Baran
Acta Mathematicae Applicatae Sinica, English Series, 2016, 32 : 17 - 34
[2] Near-Optimal Controls of Differential Systems with Switching and Random Jumps Subject to Fast Switching and Wideband Noise Perturbation
G.YIN
Xian-ping GUO
Yousef TALAFHA
Nicholas A.BARAN
ActaMathematicaeApplicataeSinica, 2016, 32 (01) : 17 - 34
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Statistical Inference for Stochastic Processes, 2022, 25 : 105 - 125
[9] Numerical solutions for optimal control of stochastic Kolmogorov systems with regime-switching and random jumps
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[10] Exit time asymptotics for dynamical systems with fast random switching near an unstable equilibrium
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