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IMA Journal of Mathematical Control and Information 1989 6(4):375-397; doi:10.1093/imamci/6.4.375
© 1989 by Institute of Mathematics and its Applications
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Average Impulse Control of Piecewise Deterministic Processes

O. L. V. COSTA

Departmento de Engenharia de Eletricidade, Escola Politécnica da Universidade de Sao Paulo Caixa Postal 8.174, Sao Paulo S. P., Brazil

In this paper, we consider the average impulse control of piecewise deterministic Markov processes (PDPs). In the first part of the paper, we present a policy-iteration technique which consists of solving a sequence of optimal stopping problems that allow only a finite number of jumps. In the second part, we present a discretization of the state space which, along with the technique mentioned above, reduces the average impulse control of PDPs to a sequence of one-dimensional minimizations. A numerical example is presented.


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