Document Type
Article
Abstract
This paper studies the impulse control of a general Markov process under the average (or ergodic) cost when the impulse instants are restricted to be the arrival times of an exogenous process, and this restriction is referred to as a constraint. A detailed setting is described, a characterization of the optimal cost is obtained as a solution of an HJB equation, and an optimal impulse control is identified.
Disciplines
Control Theory | Other Applied Mathematics
Recommended Citation
J. L. Menaldi and M. Robin, On Some Ergodic Impulse Control Problems with Constraint, SIAM J. Control Optim., 56 (2018), pp. 2690-2711. doi: 10.1137/17M1147573
Comments
Copyright © 2018 Society for Industrial and Applied Mathematics