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 language | English |
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Pages (from-to) | 3821-3838 |
Number of pages | 18 |
Journal | Discrete and Continuous Dynamical Systems - Series B |
Volume | 22 |
Issue number | 10 |
DOIs | |
Publication status | Published - 1 Dec 2017 |
Keywords
- discrete systems
- duality
- infinite horizon
- linear programming
- long-run average
- occupational measures
- optimal control