Connections between Singular Control and Optimal Switching

Connections between Singular Control and Optimal Switching

This paper builds a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence provides a novel method for solving high-dimensional singular control problems, and enables us to extend the theory of reversible investment: sufficient conditions are derived for the existence of optimal controls and for the regularity of value functio...

Solving Singular Control from Optimal Switching

This report summarizes some of our recent work (Guo and Tomecek (2008b,a)) on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multi-dimensional singular control problems, but also builds links among singular controls, Dynkin games, and sequential optimal stopping problems.

Stochastic singular optimal control problem of switching systems with constraints

*Correspondence: [email protected] Department of Industrial Engineering, Anadolu University, Eskisehir, Turkey Institute of Control Systems, ANAS, Baku, Azerbaijan Abstract This paper is devoted to the optimal control problem of switching system in which constraints on the state variable are given by inclusions. Using Ekeland’s variational principle, second-order necessary condition of ...

Optimal Control for Switching Systems

The notion of switching system generalizes the idea of a `diierential equa-tion': a switching system consists of a number of modes (e.g., diierential equations) together with a set of switching rules. Such systems arise in mod-eling thermostats (and other devices involving`hysteresis'), in considering the evolution of a multimodal (variable structure) system for which`feedback control' has been...

Optimal switching using coherent control