Linear programming formulation of long-run average optimal control problem

Vivek S. Borkar, Vladimir Gaitsgory*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    4 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 languageEnglish
    Pages (from-to)101-125
    Number of pages25
    JournalJournal of Optimization Theory and Applications
    Volume181
    Issue number1
    Early online date13 Nov 2018
    DOIs
    Publication statusPublished - Apr 2019

    Keywords

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

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