Average Impulse Control of Piecewise Deterministic Processes
O.L.V. Costa · IMA Journal of Mathematical Control and Information · 1989
In this paper, we consider the average impulse control of piecewise deterministic Markov processes (PDPs). In the first part of the paper, we present a policy-iteration technique which consists of solving a sequence of optimal stopping problems that allow only a finite number of jumps. In the second part, we present a discretization of the state space which, along with the technique mentioned above, reduces the average impulse control of PDPs to a sequence of one-dimensional minimizations. A numerical example is presented.