UNIFORM ASSYMPTOTICS IN THE AVERAGE CONTINUOUS CONTROL OF PIECEWISE DETERMINISTIC MARKOV PROCESSES : VANISHING APPROACH

Dan Goreac (1) , Oana Silvia Serea (2)

1 PS
2 LAMPS - LAboratoire de Modélisation Pluridisciplinaire et Simulations

We prove a uniform Abelian result for controlled systems with piecewise deterministic Markov dynamics : the existence of a uniform limit for value functions with discounted costs as the discount factor decreases to zero implies the existence of a (uniform) value function with long time average cost. The result is independent of dissipativity properties of the control system.

Mots clés: piecewise deterministic Markov processes; long run average optimal control

Domaines: Optimisation et contrôle [math.OC]; Probabilités [math.PR]

Dan Goreac, Oana Silvia Serea. UNIFORM ASSYMPTOTICS IN THE AVERAGE CONTINUOUS CONTROL OF PIECEWISE DETERMINISTIC MARKOV PROCESSES : VANISHING APPROACH. Journées SMAI 2013, Seignosse (Landes), May 2013, France. pp.168-177. ⟨hal-01069146⟩