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

Vladimir Gaitsgory, Alex Parkinson, Ilya Shvartsman*

*Corresponding author for this work

    Research output: Contribution to journalArticle

    6 Citations (Scopus)

    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.

    Original languageEnglish
    Pages (from-to)3821-3838
    Number of pages18
    JournalDiscrete and Continuous Dynamical Systems - Series B
    Volume22
    Issue number10
    DOIs
    Publication statusPublished - 1 Dec 2017

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    Keywords

    • discrete systems
    • duality
    • infinite horizon
    • linear programming
    • long-run average
    • occupational measures
    • optimal control

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