Affiliation:
1. Department of Mathematics and Industrial Engineering Polytechnique Montréal 2500, chemin de Polytechnique, Montréal (Québec) H3T 1J4 CANADA
Abstract
The problem of controlling a one-dimensional Markov chain until is leaves a given set C is considered. The optimizer tries to minimize the time spent by the Markov chain inside C. The control variable can take two different values. An exact formula is obtained for the value function, from which the optimal control is deduced.
Publisher
World Scientific and Engineering Academy and Society (WSEAS)
Subject
Computer Science Applications,Control and Systems Engineering
Cited by
2 articles.
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