Optimal control on graphs: existence, uniqueness, and long-term behavior - Archive ouverte HAL
Article Dans Une Revue ESAIM: Control, Optimisation and Calculus of Variations Année : 2020

Optimal control on graphs: existence, uniqueness, and long-term behavior

Résumé

The literature on continuous-time stochastic optimal control seldom deals with the case of discrete state spaces. In this paper, we provide a general framework for the optimal control of continuous-time Markov chains on finite graphs. In particular, we provide results on the long-term behavior of value functions and optimal controls, along with results on the associated ergodic Hamilton-Jacobi equation.
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hal-03252606 , version 1 (07-06-2021)

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Olivier Guéant, Iuliia Manziuk. Optimal control on graphs: existence, uniqueness, and long-term behavior. ESAIM: Control, Optimisation and Calculus of Variations, 2020, 26, pp.a22. ⟨10.1051/cocv/2019071⟩. ⟨hal-03252606⟩
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