Abstract
A problem of optimal control of Markov chain with finite state space is considered. We consider a non-stationary finite horizon problem with constraints given as a set of inequalities. Basing on recent results on existence of optimal solution we suggest to use the dual approach to optimization and thereby an approach to effective numerical algorithms. The approach is illustrated by numerical examples.
| Original language | English |
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| Title of host publication | Joint 48th IEEE Conference on Decision and Control and 28th Chinese Control Conference |
| Editors | John Bailleiieul, Lei Guo |
| Place of Publication | USA |
| Publisher | IEEE, Institute of Electrical and Electronics Engineers |
| Pages | 512 - 518 |
| Number of pages | 7 |
| ISBN (Print) | 9781424438723 |
| Publication status | Published - 2009 |
| Event | IEEE Conference on Decision and Control 2009 - Shanghai, China Duration: 15 Dec 2009 → 18 Dec 2009 Conference number: 48th https://ieeexplore.ieee.org/xpl/conhome/5379695/proceeding (Proceedings) |
Conference
| Conference | IEEE Conference on Decision and Control 2009 |
|---|---|
| Abbreviated title | CDC 2009 |
| Country | China |
| City | Shanghai |
| Period | 15/12/09 → 18/12/09 |
| Internet address |