Abstract
We formulate and study the infinite-dimensional linear programming problem associated with the deterministic long-run average cost control problem. Along with its dual, it allows one to characterize the optimal value of this control problem. The novelty of our approach is that we focus on the general case wherein the optimal value may depend on the initial condition of the system.
| Language | English |
|---|---|
| Pages | 101-125 |
| Number of pages | 25 |
| Journal | Journal of Optimization Theory and Applications |
| Volume | 181 |
| Issue number | 1 |
| Early online date | 13 Nov 2018 |
| DOIs | |
| Publication status | Published - Apr 2019 |
Fingerprint
Keywords
- Duality
- Infinite horizon
- Linear programming
- Long-run average optimal control
- Vanishing discount limits
Cite this
}
Linear programming formulation of long-run average optimal control problem. / Borkar, Vivek S.; Gaitsgory, Vladimir.
In: Journal of Optimization Theory and Applications, Vol. 181, No. 1, 04.2019, p. 101-125.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - Linear programming formulation of long-run average optimal control problem
AU - Borkar, Vivek S.
AU - Gaitsgory, Vladimir
PY - 2019/4
Y1 - 2019/4
N2 - We formulate and study the infinite-dimensional linear programming problem associated with the deterministic long-run average cost control problem. Along with its dual, it allows one to characterize the optimal value of this control problem. The novelty of our approach is that we focus on the general case wherein the optimal value may depend on the initial condition of the system.
AB - We formulate and study the infinite-dimensional linear programming problem associated with the deterministic long-run average cost control problem. Along with its dual, it allows one to characterize the optimal value of this control problem. The novelty of our approach is that we focus on the general case wherein the optimal value may depend on the initial condition of the system.
KW - Duality
KW - Infinite horizon
KW - Linear programming
KW - Long-run average optimal control
KW - Vanishing discount limits
UR - http://www.scopus.com/inward/record.url?scp=85056457180&partnerID=8YFLogxK
UR - http://purl.org/au-research/grants/arc/DP150100618
U2 - 10.1007/s10957-018-1432-0
DO - 10.1007/s10957-018-1432-0
M3 - Article
VL - 181
SP - 101
EP - 125
JO - Journal of Optimization Theory and Applications
T2 - Journal of Optimization Theory and Applications
JF - Journal of Optimization Theory and Applications
SN - 0022-3239
IS - 1
ER -