Linear programming formulation of long-run average optimal control problem

Vivek S. Borkar; Vladimir Gaitsgory

doi:10.1007/s10957-018-1432-0

Linear programming formulation of long-run average optimal control problem

Vivek S. Borkar, Vladimir Gaitsgory^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

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.

Original language	English
Pages (from-to)	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	https://doi.org/10.1007/s10957-018-1432-0
Publication status	Published - Apr 2019

Keywords

Duality
Infinite horizon
Linear programming
Long-run average optimal control
Vanishing discount limits

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10.1007/s10957-018-1432-0

Cite this

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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.",

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KW - Duality

KW - Infinite horizon

KW - Linear programming

KW - Long-run average optimal control

KW - Vanishing discount limits

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Linear programming formulation of long-run average optimal control problem

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Keywords

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