Linear programming formulations of deterministic infinite horizon optimal control problems in discrete time

    Research output: Contribution to journalArticleResearchpeer-review

    Abstract

    This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. We establish that these problems are related to certain infinite-dimensional linear programming (IDLP) problems. We also establish asymptotic relationships between the optimal values of problems with time discounting and long-run average criteria.

    LanguageEnglish
    Pages3821-3838
    Number of pages18
    JournalDiscrete and Continuous Dynamical Systems - Series B
    Volume22
    Issue number10
    DOIs
    Publication statusPublished - 1 Dec 2017

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    Infinite Horizon
    Linear programming
    Optimal Control Problem
    Discounting
    Discrete-time
    Formulation
    Long-run
    Averaging

    Cite this

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    title = "Linear programming formulations of deterministic infinite horizon optimal control problems in discrete time",
    abstract = "This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. We establish that these problems are related to certain infinite-dimensional linear programming (IDLP) problems. We also establish asymptotic relationships between the optimal values of problems with time discounting and long-run average criteria.",
    keywords = "discrete systems, duality, infinite horizon, linear programming, long-run average, occupational measures, optimal control",
    author = "Vladimir Gaitsgory and Alex Parkinson and Ilya Shvartsman",
    year = "2017",
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    doi = "10.3934/dcdsb.2017192",
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    Linear programming formulations of deterministic infinite horizon optimal control problems in discrete time. / Gaitsgory, Vladimir; Parkinson, Alex; Shvartsman, Ilya.

    In: Discrete and Continuous Dynamical Systems - Series B, Vol. 22, No. 10, 01.12.2017, p. 3821-3838.

    Research output: Contribution to journalArticleResearchpeer-review

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    AU - Parkinson,Alex

    AU - Shvartsman,Ilya

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