Towards Tensor Representation Of Controlled Coupled Markov Chains
MATHEMATICS(2020)
摘要
For a controlled system of coupled Markov chains, which share common control parameters, a tensor description is proposed. A control optimality condition in the form of a dynamic programming equation is derived in tensor form. This condition can be reduced to a system of coupled ordinary differential equations and admits an effective numerical solution. As an application example, the problem of the optimal control for a system of water reservoirs with phase and balance constraints is considered.
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关键词
coupled markov chains, stochastic control, optimal control, tensor representation, dynamic programming
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