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On computation of optimal switching HJB equations

Zhang, Huan; James, Matthew

Description

This paper proposes an algorithm to compute the optimal switching cost from the dynamic programming Hamilton-Jacobi-Bellman (HJB) equations. For the optimal switching control problem, the HJB equation is a System of Quasi-Variational Inequalities (SQVIs)

CollectionsANU Research Publications
Date published: 2006
Type: Conference paper
URI: http://hdl.handle.net/1885/38001
Source: Proceedings of the 45th IEEE Conference on Decision and Control

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