Linear programming formulation of a discrete time infinite horizon optimal control problem with time discounting criterion

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    1 Citation (Scopus)

    Abstract

    This paper is devoted to a study of a discrete time infinite horizon optimal control problem with time discounting criterion. We introduce an infinite-dimensional linear programming (IDLP) problem closely related to this problem. We derive necessary and sufficient conditions of optimality for the optimal control problem in terms of the solution of the dual to this IDLP problem.

    Original languageEnglish
    Title of host publication2016 IEEE 55th Conference on Decision and Control, CDC 2016
    Place of PublicationPiscataway, NJ
    PublisherInstitute of Electrical and Electronics Engineers (IEEE)
    Pages4481-4483
    Number of pages3
    ISBN (Electronic)9781509018376
    DOIs
    Publication statusPublished - 27 Dec 2016
    Event55th IEEE Conference on Decision and Control, CDC 2016 - Las Vegas, United States
    Duration: 12 Dec 201614 Dec 2016

    Other

    Other55th IEEE Conference on Decision and Control, CDC 2016
    CountryUnited States
    CityLas Vegas
    Period12/12/1614/12/16

    Keywords

    • discrete time systems
    • infinite horizon
    • Optimal control
    • optimality conditions

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  • Cite this

    Gaitsgory, V., Parkinson, A., & Shvartsman, I. (2016). Linear programming formulation of a discrete time infinite horizon optimal control problem with time discounting criterion. In 2016 IEEE 55th Conference on Decision and Control, CDC 2016 (pp. 4481-4483). [7798950] Piscataway, NJ: Institute of Electrical and Electronics Engineers (IEEE). https://doi.org/10.1109/CDC.2016.7798950