Ergodic Control of Switching Diffusions

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 fairly general conditions, we establish the existence of a stable, nonrandomized Markov policy which almost surely minimizes the pathwise long-run average cost. 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. As an example we apply the results to a failure prone manufacturing system and obtain closed form solutions for the optimal policy.

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Document Details

Document Type
Technical Report
Publication Date
Jan 30, 1996
Accession Number
ADA455010

Entities

People

  • Aristotle Arapostathis
  • Mrinal K. Ghosh
  • Steven I Marcus

Organizations

  • University of Maryland

Tags

DTIC Thesaurus Topics

  • Abstracts
  • Control Systems
  • Diffusion
  • Engineering
  • Equations
  • Hybrid Systems
  • Information Operations
  • Manufacturing
  • Mathematics
  • Switching
  • Systems Engineering
  • Universities

Fields of Study

  • Mathematics

Readers

  • Control Systems Engineering.
  • Integrated Circuit Design and Technology.
  • Mathematical Modeling and Probability Theory.