Related papers: Average Continuous Control of Piecewise Determinis…
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 deterministic Markov processes (PDMP's) taking values in a…
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 transition measure, and the goal is to minimize the total…
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 processes (PDMP's) taking values in a general Borel space and with…
We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). Our approach is based on quantization of the post jump location---inter-arrival time Markov…
In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to…
In piecewise-deterministic Markov processes (PDMPs) the state of a finite-dimensional system evolves continuously, but the evolutive equation may change randomly as a result of discrete switches. A running cost is integrated along the…
This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded.…
Designing efficient and rigorous numerical methods for sequential decision-making under uncertainty is a difficult problem that arises in many applications frameworks. In this paper we focus on the numerical solution of a subclass of…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
This paper presents a numerical method to calculate the value function for a general discounted impulse control problem for piecewise deterministic Markov processes. Our approach is based on a quantization technique for the underlying…
We consider a piecewise deterministic Markov decision process, where the expected exponential utility of total (nonnegative) cost is to be minimized. The cost rate, transition rate and post-jump distributions are under control. The state…
This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…
In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate…
In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underlying continuous-time jump Markov processes and the cost rates…
We consider an optimal control problem for piecewise deterministic Markov processes (PDMPs) on a bounded state space. The control problem under study is very general: a pair of controls acts continuously on the deterministic flow and on the…
We aim at characterizing the asymptotic behavior of value functions in the control of piece-wise deterministic Markov processes (PDMP) of switch type under nonexpansive assumptions. For a particular class of processes inspired by temperate…
We consider a change-point detection problem for a simple class of Piecewise Deterministic Markov Processes (PDMPs). A continuous-time PDMP is observed in discrete time and through noise, and the aim is to propose a numerical method to…
The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…
We present a numerical method to compute the survival function and the moments of the exit time for a piecewise-deterministic Markov process (PDMP). Our approach is based on the quantization of an underlying discrete-time Markov chain…
This paper investigates the random horizon optimal stopping problem for measure-valued piecewise deterministic Markov processes (PDMPs). This is motivated by population dynamics applications, when one wants to monitor some characteristics…