Monte Carlo Statistical Prediction Method for Optimal Control of Linear Hybrid Systems
线性混杂系统优化控制的Monte Carlo统计预测方法

To reduce the computational complexity of opti- mal control of linear hybrid switching diffusion systems,a new Monte Carlo statistical prediction method is proposed.Firstly, the original optimal control problem in continuous time is ap- proximated by a Markov decision problem in discrete time using numerical method;secondly,the numerical optimal control poli- cies in some random sub-state spaces are obtained by reflecting boundary technique;and finally,the optimal control policy on the entire state space is predicted by statistical prediction based on the structure of the optimal control policy.The method can decrease the computational complexity and can be extended to cases of high dimension and large state space.Numerical ex- amples illustrate and confirm the effectivity of the proposed method.