Accession Number:

ADA455010

Title:

Ergodic Control of Switching Diffusions

Descriptive Note:

Research rept.

Corporate Author:

MARYLAND UNIV COLLEGE PARK INST FOR SYSTEMS RESEARCH

Personal Author(s):

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

Report Date:

1996-01-30

Pagination or Media Count:

42.0

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.

Descriptors:

• *CONTROL THEORY
• *SWITCHING
• OPTIMIZATION
• MARKOV PROCESSES
• FAILURE
• HYBRID SYSTEMS

Subject Categories:

• Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE