Optimal control on graphs: existence, uniqueness, and long-term behavior.

Authors
Publication date
2020
Publication type
Journal Article
Summary The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In particular, we provide results on the long-term behavior of value functions and optimal controls, along with results on the associated ergodic Hamilton-Jacobi equation.
Publisher
EDP Sciences
Topics of the publication
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