Skip to Main content Skip to Navigation
Reports

A Stochastic Minimax Optimal Control Problem on Markov Chains with Infinite Horizon

Abstract : We consider here a stochastic discrete minimax optimal control problem defined on a finite state Markov chain in the case of infinite horizon. We prove the existence of an optimal control in terms of a generalized feedback policies. We characterize the optimal cost function and we present iterative methods to compute it numerically.
Document type :
Reports
Complete list of metadata

Cited literature [1 references]  Display  Hide  Download

https://hal.inria.fr/inria-00073753
Contributor : Rapport de Recherche Inria <>
Submitted on : Wednesday, May 24, 2006 - 1:41:16 PM
Last modification on : Friday, May 25, 2018 - 12:02:05 PM
Long-term archiving on: : Sunday, April 4, 2010 - 11:57:06 PM

Identifiers

  • HAL Id : inria-00073753, version 1

Collections

Citation

Silvia C. Di Marco, Roberto L.V. González. A Stochastic Minimax Optimal Control Problem on Markov Chains with Infinite Horizon. [Research Report] RR-2946, INRIA. 1996. ⟨inria-00073753⟩

Share

Metrics

Record views

130

Files downloads

161