LP based bounds for Cesàro and Abel limits of the optimal values in non-ergodic stochastic systems

Konstantin Avrachenkov, Vladimir Gaitsgory, Lucas Gamertsfelder

    Research output: Chapter in Book/Report/Conference proceedingConference proceeding contributionpeer-review

    Abstract

    In this paper, we study asymptotic properties of problems of control of stochastic discrete time systems with time averaging and time discounting optimality criteria, and we establish that the Cesàro and Abel limits of the optimal values in such problems can be estimated with the help of a certain infinite-dimensional (ID) linear programming (LP) problem and its dual.

    Original languageEnglish
    Title of host publication2021 European Control Conference (ECC)
    Place of PublicationPiscataway, NJ
    PublisherInstitute of Electrical and Electronics Engineers (IEEE)
    Pages2444-2449
    Number of pages6
    ISBN (Electronic)9789463842365
    ISBN (Print)9781665479455
    DOIs
    Publication statusPublished - 2021
    Event2021 European Control Conference, ECC 2021 - Rotterdam, Netherlands
    Duration: 29 Jun 20212 Jul 2021

    Conference

    Conference2021 European Control Conference, ECC 2021
    Country/TerritoryNetherlands
    CityRotterdam
    Period29/06/212/07/21

    Fingerprint

    Dive into the research topics of 'LP based bounds for Cesàro and Abel limits of the optimal values in non-ergodic stochastic systems'. Together they form a unique fingerprint.

    Cite this