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On computation of optimal switching HJB equations

Zhang, Huan; James, Matthew


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
Source: Proceedings of the 45th IEEE Conference on Decision and Control


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