On LP formulations of optimal control problems with time averaging and time discounting criteria in non-ergodic case

Vivek Borkar, Vladimir Gaitsgory, Ilya Shvartsman

    Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

    Abstract

    This paper is devoted to the study of infinite horizon optimal control problems with time discounting and time averaging criteria. These problems are related to certain infinite-dimensional linear programming (IDLP) problems, and this relation is used to obtain properties of the optimal value functions. We focus on the general non-ergodic case, where the optimal value functions may depend on the initial condition of the system. We also obtain IDLP-based sufficient and necessary optimality conditions for optimal control problems.
    Original languageEnglish
    Title of host publication2019 IEEE 58th Conference on Decision and Control (CDC)
    Place of PublicationPiscataway, NJ
    PublisherInstitute of Electrical and Electronics Engineers (IEEE)
    Pages4298-4303
    Number of pages6
    ISBN (Electronic)9781728113982, 9781728113975
    ISBN (Print)9781728113999
    DOIs
    Publication statusPublished - 2019
    EventIEEE Conference on Decision and Control (58th : 2019) - Nice, France
    Duration: 11 Dec 201913 Dec 2019
    Conference number: 58th

    Publication series

    Name
    ISSN (Print)0743-1546
    ISSN (Electronic)2576-2370

    Conference

    ConferenceIEEE Conference on Decision and Control (58th : 2019)
    CountryFrance
    CityNice
    Period11/12/1913/12/19

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  • Cite this

    Borkar, V., Gaitsgory, V., & Shvartsman, I. (2019). On LP formulations of optimal control problems with time averaging and time discounting criteria in non-ergodic case. In 2019 IEEE 58th Conference on Decision and Control (CDC) (pp. 4298-4303). Piscataway, NJ: Institute of Electrical and Electronics Engineers (IEEE). https://doi.org/10.1109/CDC40024.2019.9030021