Optimal control on graphs: existence, uniqueness, and long-term behavior
Optimization and Control
2019-12-05 v6
Abstract
The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In particular, we provide results on the long-term behavior of value functions and optimal controls, along with results on the associated ergodic Hamilton-Jacobi equation.
Cite
@article{arxiv.1902.08926,
title = {Optimal control on graphs: existence, uniqueness, and long-term behavior},
author = {Olivier Guéant and Iuliia Manziuk},
journal= {arXiv preprint arXiv:1902.08926},
year = {2019}
}