WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 22, 2023
Two Different Solution Techniques for an Optimal Control Problem with a Stochastic Switching Time
Authors: , ,
Abstract: In optimal control theory, strategic decision making requires the consideration of unforeseen disruptions that may arise within a predetermined time horizon. In this context, we introduce the concept of ”stochastic switching time” as a random moment in time at which a sudden, irreversible alteration takes place in the system’s dynamics or in the payoff function. To address optimal decision-making under such uncertain conditions, the literature presents two prominent methodologies: the ”backward” approach and the ”heterogeneous” approach. In this study, we offer an exposition and a comparative analysis of these two approaches. Finally, we present an illustrative example to show, in a detailed context, the advantages and disadvantages associated with these two solution strategies.
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Keywords: Optimal control, Regime shifts, Hamilton-Jacobi-Bellman equation, Pontryagin maximum principle
Pages: 730-735
DOI: 10.37394/23206.2023.22.80