Journal
MATHEMATICS
Volume 8, Issue 10, Pages -Publisher
MDPI
DOI: 10.3390/math8101712
Keywords
coupled markov chains; stochastic control; optimal control; tensor representation; dynamic programming
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Funding
- Russian Foundation of Basic Research (RFBR) [19-07-00187-A]
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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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