Abstract : This paper examines the impulse control of a standard Brownian motion under a long-term average criterion. In contrast with the dynamic programming approach, this paper first imbeds the stochastic control problem into an infinite-dimensional linear program over a space of measures and then reduces the problem to a simpler nonlinear optimization that has a familiar interpretation. One is able to easily identify the optimal cost and a family of optimal impulse control policies.
https://hal.inria.fr/hal-01286407 Contributor : Hal IfipConnect in order to contact the contributor Submitted on : Thursday, March 10, 2016 - 5:15:48 PM Last modification on : Monday, June 15, 2020 - 12:00:33 PM Long-term archiving on: : Sunday, November 13, 2016 - 3:09:41 PM
Kurt Helmes, Richard H. Stockbridge, Chao Zhu. Impulse Control of Standard Brownian Motion: Long-Term Average Criterion. 26th Conference on System Modeling and Optimization (CSMO), Sep 2013, Klagenfurt, Austria. pp.148-157, ⟨10.1007/978-3-662-45504-3_14⟩. ⟨hal-01286407⟩