A case of optimal switching with signed switching costs

In this work we show that one can solve a set of multi-modes optimal switching problems with a particular, very natural form of signed costs. The problems are a special type of impulse control problems where the control set is discrete and the system is operated continuously over a finite horizon.

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Bibliographic Details
Published inIFAC-PapersOnLine Vol. 54; no. 9; pp. 642 - 646
Main Authors Jönsson, Johan, Perninge, Magnus
Format Journal Article
LanguageEnglish
Published Elsevier Ltd 01.01.2021
Subjects
Optimal switching
signed switching costs
Snell envelope
stochastic control
Optimal switching
signed switching costs
Snell envelope
stochastic control
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Summary:In this work we show that one can solve a set of multi-modes optimal switching problems with a particular, very natural form of signed costs. The problems are a special type of impulse control problems where the control set is discrete and the system is operated continuously over a finite horizon.
ISSN:2405-8963
2405-8963
DOI:10.1016/j.ifacol.2021.06.167