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Zbl 1201.93133
Song, Chunyue; Li, Ping
Near optimal control for a class of stochastic hybrid systems. (English)
[J] Automatica 46, No. 9, 1553-1557 (2010). ISSN 0005-1098

Summary: To address a computationally intractable optimal control problem for a class of stochastic hybrid systems, this paper proposes a near optimal state feedback control scheme, which is constructed by using a statistical prediction method based on an approximate numerical solution that samples over the entire state space. A numerical example illustrates the potential of the approach.
MSC 2000:
*93E20 Optimal stochastic control (systems)
93C30 Control systems governed by other functional relations
60H10 Stochastic ordinary differential equations

Keywords: stochastic hybrid systems; near optimal control; numerical method; statistical prediction

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