Towards Tensor Representation of Controlled Coupled Markov Chains
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 differentia...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2020-10-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/8/10/1712 |
Summary: | 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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ISSN: | 2227-7390 |