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Near optimal control for a class of stochastic hybrid systems. (English) Zbl 1201.93133
Summary: To address a computationally intractable optimal control problem for a class of stochastic hybrid systems, this paper proposes a near optimal state feedback control scheme, which is constructed by using a statistical prediction method based on an approximate numerical solution that samples over the entire state space. A numerical example illustrates the potential of the approach.
MSC:
93E20Optimal stochastic control (systems)
93C30Control systems governed by other functional relations
60H10Stochastic ordinary differential equations