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 | |
| Publication status | Published - Apr 2019 |
Keywords
- Duality
- Infinite horizon
- Linear programming
- Long-run average optimal control
- Vanishing discount limits