Linear programming formulation of long-run average optimal control problem

Vivek S. Borkar, Vladimir Gaitsgory

Research output: Contribution to journalArticleResearchpeer-review

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.

LanguageEnglish
Pages101-125
Number of pages25
JournalJournal of Optimization Theory and Applications
Volume181
Issue number1
Early online date13 Nov 2018
DOIs
Publication statusPublished - Apr 2019

Fingerprint

Long-run
Linear programming
Optimal Control Problem
Control Problem
Long-run Average Cost
Formulation
Initial conditions
Costs
Optimal control
Average cost
Novelty
Cost control

Keywords

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

Cite this

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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 journalArticleResearchpeer-review

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