Approximate optimal monitoring: Preliminary results
Thulasi Mylvaganam, Alessandro Astolfi · 2012
In this paper an approximate solution of a differential game arising in optimal monitoring is considered. The solution relies on the construction of a sequence of optimal control problems, solved using their associated Hamilton-Jacobi-Bellman partial differential equations, along with the use of an instantaeous player that acts between successive optimisation periods. Preliminary simulation results illustrate the ideas and show that continuous monitoring is achieved.