Policy iteration for optimal switching with continuous-time dynamics
Tohid Sardarmehni, Ali Heydari · 2016
An approximate solution for optimal switching problems with continuous-time dynamics and infinite horizon cost functions is developed in this paper. The proposed solution is a policy iteration-based algorithm and provides a feedback scheduling policy with a negligible real-time computational burden. The convergence to the optimal solution and stability of the system under the proposed solution are investigated. Both offline and online training methods for implementing the proposed algorithm are presented. Finally, effectiveness of the proposed algorithm is illustrated through numerical simulation.