WSEAS Transactions on Systems
Print ISSN: 1109-2777, E-ISSN: 2224-2678
Volume 22, 2023
An Explicit Solution to a Discrete-time Stochastic Optimal Control Problem
Author:
Abstract: The problem of controlling a one-dimensional Markov chain until is leaves a given set C is considered. The optimizer tries to minimize the time spent by the Markov chain inside C. The control variable can take two different values. An exact formula is obtained for the value function, from which the optimal control is deduced.