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Optimal interventions in countable jump Markov processes. (English) Zbl 1082.60074

Summary: An intervention refers to an immediate change of the state of the system; between interventions, the continuous-time jump Markov process is uncontrollable, with “natural” jump intensities. The multicriteria control problem for such a model is considered, and the constrained version is investigated with the help of the Lagrange multipliers technique. All of the theory is illustrated by an example of the optimal control of epidemic with carriers.

MSC:

60J75 Jump processes (MSC2010)
90C29 Multi-objective and goal programming
93E20 Optimal stochastic control
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