Large Deviations for Systems Driven by Two-Time-Scale Nonhomogeneous Markovian Chains and Applications to Optimal Control Problems

被引：0

作者：

He, Q. ^{[1
]}

Yin, G. ^{[2
]}

Zhang, Q. ^{[3
]}

机构：

[1] Univ Calif Irvine, Dept Math, 425 Rowland Hall, Irvine, CA 92697 USA

[2] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

[3] Univ Georgia, Dept Math, Athens, GA 30602 USA

来源：

2012 IEEE 51ST ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC) | 2012年

关键词：

ASYMPTOTIC PROPERTIES; LOWER BOUNDS; FUNCTIONALS;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper is based on our paper [15]. We present the main results; the verbatim proofs are omitted due to the page limitation. We develop large deviations principles for systems driven by continuous-time Markov chains with two-time scales and related optimal control problems. A distinct feature of our setup is that the Markov chain under consideration is time dependent or inhomogeneous. The use of two-time-scale formulation stems from the effort of reducing computational complexity in a wide variety of applications in control, optimization, and systems theory. Then the results are applied to certain dynamic systems and LQ control problems.

引用

页码：5985 / 5990

页数：6