Duality, viability and optimality through linear programming approach to deterministic infinite horizon optimal control problems with discounting

Vladimir Gaitsgory*, Marc Quincampoix

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionpeer-review

Abstract

We investigate relationships between the deterministic infinite time horizon optimal control problem with discounting, in which the state trajectories remain in a given compact set Y , and a certain infinite dimensional linear programming (IDLP) problem. We introduce the problem dual with respect to this IDLP problem and obtain some duality results. We construct necessary and sufficient optimality conditions for the optimal control problem under consideration, and we give a characterization of the viability kernel of Y. We also indicate a way of how one can use finite dimensional approximations of the IDLP problem and its dual for construction of near optimal feedback controls.

Original languageEnglish
Title of host publication2010 49th IEEE Conference on Decision and Control (CDC 2010)
Place of PublicationPiscataway, NJ
PublisherInstitute of Electrical and Electronics Engineers (IEEE)
Pages6680-6685
Number of pages6
ISBN (Electronic)9781424477463, 9781424477449
ISBN (Print)9781424477456
DOIs
Publication statusPublished - 2010
Externally publishedYes
Event2010 49th IEEE Conference on Decision and Control, CDC 2010 - Atlanta, GA, United States
Duration: 15 Dec 201017 Dec 2010

Publication series

NameProceedings of the IEEE Conference on Decision & Control
PublisherIEEE
ISSN (Print)0191-2216
ISSN (Electronic)0743-1546

Other

Other2010 49th IEEE Conference on Decision and Control, CDC 2010
CountryUnited States
CityAtlanta, GA
Period15/12/1017/12/10

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