Asymptotic optimization for a class of nonlinear stochastic hybrid systems on infinite time horizon
A problem of optimal control of a stochastic hybrid system on an infinite time horizon is considered. The parameters of the system may jump at discrete moments of time according to a Markov decision process which has finite state and action spaces. The problem is approximated by some deterministic optimal control problem and a near optimal control Markov policy is constructed under assumption that the length of the intervals between the jumps is defined by a small parameter /spl epsiv/.