Data‐driven policy iteration algorithm for optimal control of continuous‐time Itô stochastic systems with Markovian jumps Article Swipe
Jun Song
,
Shuping He
,
Fei Liu
,
Yugang Niu
,
Zhengtao Ding
·
YOU?
·
· 2016
· Open Access
·
· DOI: https://doi.org/10.1049/iet-cta.2015.0973
YOU?
·
· 2016
· Open Access
·
· DOI: https://doi.org/10.1049/iet-cta.2015.0973
This studies the infinite horizon optimal control problem for a class of continuous‐time systems subjected to multiplicative noises and Markovian jumps by using a data‐driven policy iteration algorithm. The optimal control problem is equivalent to solve a stochastic coupled algebraic Riccatic equation (CARE). An off‐line iteration algorithm is first established to converge the solutions of the stochastic CARE, which is generalised from an implicit iterative algorithm. By applying subsystems transformation (ST) technique, the off‐line iterative algorithm is decoupled into N parallel Kleinman's iterative equations. To learn the solution of the stochastic CARE from N decomposed linear subsystems data, an ST‐based data‐driven policy iteration algorithm is proposed and the convergence is proved. Finally, a numerical example is given to illustrate the effectiveness and applicability of the proposed two iterative algorithms.
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- Type
- article
- Language
- en
- Landing Page
- https://doi.org/10.1049/iet-cta.2015.0973
- OA Status
- green
- Cited By
- 37
- References
- 48
- Related Works
- 10
- OpenAlex ID
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https://openalex.org/W2346408824Canonical identifier for this work in OpenAlex
- DOI
-
https://doi.org/10.1049/iet-cta.2015.0973Digital Object Identifier
- Title
-
Data‐driven policy iteration algorithm for optimal control of continuous‐time Itô stochastic systems with Markovian jumpsWork title
- Type
-
articleOpenAlex work type
- Language
-
enPrimary language
- Publication year
-
2016Year of publication
- Publication date
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2016-05-09Full publication date if available
- Authors
-
Jun Song, Shuping He, Fei Liu, Yugang Niu, Zhengtao DingList of authors in order
- Landing page
-
https://doi.org/10.1049/iet-cta.2015.0973Publisher landing page
- Open access
-
YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
- OA URL
-
https://www.research.manchester.ac.uk/portal/en/publications/datadriven-policy-iteration-algorithm-for-optimal-control-of-continuoustime-ito-stochastic-systems-with-markovian-jumps(3bac4eb8-ac1d-4a32-8312-e08e1a850559).htmlDirect OA link when available
- Concepts
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Convergence (economics), Markov decision process, Iterative method, Multiplicative function, Mathematical optimization, Mathematics, Markov process, Optimal control, Algorithm, Computer science, Mathematical analysis, Economic growth, Economics, StatisticsTop concepts (fields/topics) attached by OpenAlex
- Cited by
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37Total citation count in OpenAlex
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2025: 2, 2024: 7, 2023: 3, 2022: 2, 2021: 2Per-year citation counts (last 5 years)
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48Number of works referenced by this work
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10Other works algorithmically related by OpenAlex
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