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On the Finite Horizon Optimal Switching Problem with Random Lag
Linnaeus University, Faculty of Technology, Department of Physics and Electrical Engineering. (EPHS ; Waves signals and systems)ORCID iD: 0000-0003-3111-4820
2021 (English)In: Applied mathematics and optimization, ISSN 0095-4616, E-ISSN 1432-0606, Vol. 84, p. 355-397Article in journal (Refereed) Published
Abstract [en]

We consider an optimal switching problem with random lag and possibility of component failure. The random lag is modeled by letting the operation mode follow a regime switching Markov-model with transition intensities that depend on the switching mode. The possibility of failures is modeled by having absorbing components. We show existence of an optimal control for the problem by applying a probabilistic technique based on the concept of Snell envelopes.

Place, publisher, year, edition, pages
Springer, 2021. Vol. 84, p. 355-397
National Category
Control Engineering
Research subject
Mathematics, Applied Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-91744DOI: 10.1007/s00245-019-09648-0ISI: 000574057000001Scopus ID: 2-s2.0-85077595915Local ID: 2020OAI: oai:DiVA.org:lnu-91744DiVA, id: diva2:1390791
Funder
Swedish Energy Agency, 42982-1Available from: 2020-02-03 Created: 2020-02-03 Last updated: 2021-08-12Bibliographically approved

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Perninge, Magnus

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