Linear programming based optimality conditions and approximate solution of a deterministic infinite horizon discounted optimal control problem in discrete time

Vladimir Gaitsgory, Alex Parkinson, Ilya Shvartsman*

*Corresponding author for this work

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

It has been recently established that a deterministic infinite horizon discounted optimal control problem in discrete time is closely related to a certain infinite dimensional linear programming problem and its dual, the latter taking the form of a certain max-min problem. In the present paper, we use these results to establish necessary and sufficient optimality conditions for this optimal control problem and to investigate a way how the latter can be used for the construction of a near optimal control.

Original languageEnglish
Pages (from-to)1743-1767
Number of pages25
JournalDiscrete and Continuous Dynamical Systems - Series B
Volume24
Issue number4
DOIs
Publication statusPublished - 1 Apr 2019

Keywords

  • Discrete systems
  • Duality
  • Infinite horizon
  • Linear programming
  • Numerical methods
  • Occupational measures
  • Optimal control

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