On convergence of occupational measures sets of a discrete-time stochastic control system, with applications to averaging of hybrid systems

Lucas Gamertsfelder

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arXiv · 2201.06217

On convergence of occupational measures sets of a discrete-time stochastic control system, with applications to averaging of hybrid systems

Lucas Gamertsfelder

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Abstract

In the first part of the paper, we consider a discrete-time stochastic control system. We show that, under certain conditions, the set of random occupational measures generated by the state-control trajectories of the system as well as the set of their mathematical expectations converge (as the time horizon tends to infinity) to a convex and compact (non-random) set, which is shown to coincide with the set of stationary probabilities of the system. In the second part, we apply the results obtained in the first part to deal with a hybrid system that evolves in continuous time and is subjected to abrupt changes of certain parameters. We show that the solutions of such a hybrid system are approximated by the solutions of a differential inclusion, the right-hand side of which is defined by the limit occupational measures set, the existence and convexity of which is established in the first part of the paper.

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Lucas Gamertsfelder. 2022-01-17. On convergence of occupational measures sets of a discrete-time stochastic control system, with applications to averaging of hybrid systems. https://arxiv.org/abs/2201.06217

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