3 papers
math.OC2014
A Linear Programming Formulation for Constrained Discounted Continuous Control for Piecewise Deterministic Markov Processes
Oswaldo Costa, François Dufour
This papers deals with the constrained discounted control of piecewise deterministic Markov process (PDMPs) in general Borel spaces. The control variable acts on the jump rate and…
math.PR2009
The Policy Iteration Algorithm for Average Continuous Control of Piecewise Deterministic Markov Processes
O. L. V. Costa, F. Dufour
The main goal of this paper is to apply the so-called policy iteration algorithm (PIA) for the long run average continuous control problem of piecewise deterministic Markov process…
math.PR2008
The Vanishing Approach for the Average Continuous Control of Piecewise Deterministic Markov Processes
O. L. V. Costa, F. Dufour
The main goal of this paper is to derive sufficient conditions for the existence of an optimal control strategy for the long run average continuous control problem of piecewise det…