Publication Type
Conference Paper
Publication Date
Conference Name
The 2015 American Control Conference
Conference Location
Chicago, Illinois, United States of America
Conference Sponsor
IEEE, SIAM, Control Systems Society, INFORMS
Conference Date
-
Abstract
This paper addresses the problem of minimizing the long-run expected average cost of a complex system con- sisting of subsystems that interact with each other and the environment. We treat the stochastic control problem as a multiobjective optimization problem of the one-stage expected costs of the subsystems, and we show that the control policy yielding the Pareto optimal solution is an optimal control policy that minimizes the average cost criterion for the entire system. For practical situations with constraints consistent to those we study here, our results imply that the Pareto control policy may be of value in deriving online an optimal control policy in complex systems.