Linear programming approach to deterministic long run average problems of optimal control

Vladimir Gaitsgory*, Sergey Rossomakhine

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

39 Citations (Scopus)

Abstract

We establish that deterministic long run average problems of optimal control are "asymptotically equivalent" to infinite-dimensional linear programming problems (LPPs) and we establish that these LPPs can be approximated by finite-dimensional LPPs, the solutions of which can be used for construction of the optimal controls. General results are illustrated with numerical examples.

Original languageEnglish
Pages (from-to)2006-2037
Number of pages32
JournalSIAM Journal on Control and Optimization
Volume44
Issue number6
DOIs
Publication statusPublished - Jan 2006
Externally publishedYes

Keywords

  • Averaging method
  • Linear programming
  • Long run average optimal control
  • Occupational measures
  • Singularly perturbed control systems

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