%0 Conference Proceedings
%T Impulse Control of Standard Brownian Motion: Long-Term Average Criterion
%+ Humboldt-Universität zu Berlin = Humboldt University of Berlin = Université Humboldt de Berlin  (HU Berlin)
%+ University of Wisconsin - Milwaukee
%A Helmes, Kurt
%A Stockbridge, Richard, H.
%A Zhu, Chao
%< avec comité de lecture
%( IFIP Advances in Information and Communication Technology
%B 26th Conference on System Modeling and Optimization (CSMO)
%C Klagenfurt, Austria
%Y Christian Pötzsche
%Y Clemens Heuberger
%Y Barbara Kaltenbacher
%Y Franz Rendl
%I Springer Berlin Heidelberg
%3 System Modeling and Optimization
%V AICT-443
%P 148-157
%8 2013-09-09
%D 2013
%R 10.1007/978-3-662-45504-3_14
%K Impulse control
%K Long-term average criterion
%K Infinite dimensional linear programming
%K Expected occupation and impulse measures
%Z Computer Science [cs]Conference papers
%X This paper examines the impulse control of a standard Brownian motion under a long-term average criterion. In contrast with the dynamic programming approach, this paper first imbeds the stochastic control problem into an infinite-dimensional linear program over a space of measures and then reduces the problem to a simpler nonlinear optimization that has a familiar interpretation. One is able to easily identify the optimal cost and a family of optimal impulse control policies.
%G English
%Z TC 7
%2 https://inria.hal.science/hal-01286407/document
%2 https://inria.hal.science/hal-01286407/file/978-3-662-45504-3_14_Chapter.pdf
%L hal-01286407
%U https://inria.hal.science/hal-01286407
%~ IFIP
%~ IFIP-AICT
%~ IFIP-TC
%~ IFIP-AICT-443
%~ IFIP-TC7