On computation of optimal switching HJB equation

Huan Zhang; Matthew R. James

doi:10.1109/cdc.2006.377594

On computation of optimal switching HJB equation

Huan Zhang, Matthew R. James^*

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

5 Citations (Scopus)

Abstract

This paper proposes an algorithm to compute the optimal switching cost from the dynamic programming Hamilton-Jacobi-Bellman (HJB) equations. For the optimal switching control problem, the HJB equation is a System of Quasi-Variational Inequalities (SQVIs) coupled by a nonlinear operator. By exploring the fundamental limit on the number of switches could occur in an optimal switching control signal and making use of the connections with the optimal stopping control problem, the coupled SQVIs are decoupled into a sequence of optimal stopping type Quasi-Variational Inequalities (QVIs). The optimal stopping QVIs are solved by the approach of Markov chain approximation.

Original language	English
Title of host publication	Proceedings of the 45th IEEE Conference on Decision and Control 2006, CDC
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	2704-2709
Number of pages	6
ISBN (Print)	1424401712, 9781424401710
DOIs	https://doi.org/10.1109/cdc.2006.377594
Publication status	Published - 2006
Event	45th IEEE Conference on Decision and Control 2006, CDC - San Diego, CA, United States Duration: 13 Dec 2006 → 15 Dec 2006

Publication series

Name	Proceedings of the IEEE Conference on Decision and Control
ISSN (Print)	0743-1546
ISSN (Electronic)	2576-2370

Conference

Conference	45th IEEE Conference on Decision and Control 2006, CDC
Country/Territory	United States
City	San Diego, CA
Period	13/12/06 → 15/12/06

Access to Document

10.1109/cdc.2006.377594

Cite this

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title = "On computation of optimal switching HJB equation",

abstract = "This paper proposes an algorithm to compute the optimal switching cost from the dynamic programming Hamilton-Jacobi-Bellman (HJB) equations. For the optimal switching control problem, the HJB equation is a System of Quasi-Variational Inequalities (SQVIs) coupled by a nonlinear operator. By exploring the fundamental limit on the number of switches could occur in an optimal switching control signal and making use of the connections with the optimal stopping control problem, the coupled SQVIs are decoupled into a sequence of optimal stopping type Quasi-Variational Inequalities (QVIs). The optimal stopping QVIs are solved by the approach of Markov chain approximation.",

author = "Huan Zhang and James, {Matthew R.}",

year = "2006",

doi = "10.1109/cdc.2006.377594",

language = "English",

isbn = "1424401712",

series = "Proceedings of the IEEE Conference on Decision and Control",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "2704--2709",

booktitle = "Proceedings of the 45th IEEE Conference on Decision and Control 2006, CDC",

address = "United States",

note = "45th IEEE Conference on Decision and Control 2006, CDC ; Conference date: 13-12-2006 Through 15-12-2006",

}

Zhang, H & James, MR 2006, On computation of optimal switching HJB equation. in Proceedings of the 45th IEEE Conference on Decision and Control 2006, CDC., 4177187, Proceedings of the IEEE Conference on Decision and Control, Institute of Electrical and Electronics Engineers Inc., pp. 2704-2709, 45th IEEE Conference on Decision and Control 2006, CDC, San Diego, CA, United States, 13/12/06. https://doi.org/10.1109/cdc.2006.377594

On computation of optimal switching HJB equation. / Zhang, Huan; James, Matthew R.
Proceedings of the 45th IEEE Conference on Decision and Control 2006, CDC. Institute of Electrical and Electronics Engineers Inc., 2006. p. 2704-2709 4177187 (Proceedings of the IEEE Conference on Decision and Control).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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N2 - This paper proposes an algorithm to compute the optimal switching cost from the dynamic programming Hamilton-Jacobi-Bellman (HJB) equations. For the optimal switching control problem, the HJB equation is a System of Quasi-Variational Inequalities (SQVIs) coupled by a nonlinear operator. By exploring the fundamental limit on the number of switches could occur in an optimal switching control signal and making use of the connections with the optimal stopping control problem, the coupled SQVIs are decoupled into a sequence of optimal stopping type Quasi-Variational Inequalities (QVIs). The optimal stopping QVIs are solved by the approach of Markov chain approximation.

AB - This paper proposes an algorithm to compute the optimal switching cost from the dynamic programming Hamilton-Jacobi-Bellman (HJB) equations. For the optimal switching control problem, the HJB equation is a System of Quasi-Variational Inequalities (SQVIs) coupled by a nonlinear operator. By exploring the fundamental limit on the number of switches could occur in an optimal switching control signal and making use of the connections with the optimal stopping control problem, the coupled SQVIs are decoupled into a sequence of optimal stopping type Quasi-Variational Inequalities (QVIs). The optimal stopping QVIs are solved by the approach of Markov chain approximation.

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DO - 10.1109/cdc.2006.377594

M3 - Conference contribution

SN - 1424401712

SN - 9781424401710

T3 - Proceedings of the IEEE Conference on Decision and Control

SP - 2704

EP - 2709

BT - Proceedings of the 45th IEEE Conference on Decision and Control 2006, CDC

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 45th IEEE Conference on Decision and Control 2006, CDC

Y2 - 13 December 2006 through 15 December 2006

ER -

On computation of optimal switching HJB equation

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