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

Vivek Borkar; Vladimir Gaitsgory; Ilya Shvartsman

doi:10.1109/CDC40024.2019.9030021

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 proceeding › Conference proceeding contribution › peer-review

2 Citations (Scopus)

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 language	English
Title of host publication	2019 IEEE 58th Conference on Decision and Control (CDC)
Place of Publication	Piscataway, NJ
Publisher	Institute of Electrical and Electronics Engineers (IEEE)
Pages	4298-4303
Number of pages	6
ISBN (Electronic)	9781728113982, 9781728113975
ISBN (Print)	9781728113999
DOIs	https://doi.org/10.1109/CDC40024.2019.9030021
Publication status	Published - 2019
Event	IEEE Conference on Decision and Control (58th : 2019) - Nice, France Duration: 11 Dec 2019 → 13 Dec 2019 Conference number: 58th

Publication series

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

Conference

Conference	IEEE Conference on Decision and Control (58th : 2019)
Country/Territory	France
City	Nice
Period	11/12/19 → 13/12/19

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10.1109/CDC40024.2019.9030021

Cite this

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

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.",

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publisher = "Institute of Electrical and Electronics Engineers (IEEE)",

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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). Institute of Electrical and Electronics Engineers (IEEE), Piscataway, NJ, pp. 4298-4303, IEEE Conference on Decision and Control (58th : 2019), Nice, France, 11/12/19. https://doi.org/10.1109/CDC40024.2019.9030021

On LP formulations of optimal control problems with time averaging and time discounting criteria in non-ergodic case. / Borkar, Vivek; Gaitsgory, Vladimir; Shvartsman, Ilya.
2019 IEEE 58th Conference on Decision and Control (CDC). Piscataway, NJ: Institute of Electrical and Electronics Engineers (IEEE), 2019. p. 4298-4303.

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

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N2 - 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.

AB - 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.

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DO - 10.1109/CDC40024.2019.9030021

M3 - Conference proceeding contribution

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BT - 2019 IEEE 58th Conference on Decision and Control (CDC)

PB - Institute of Electrical and Electronics Engineers (IEEE)

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T2 - IEEE Conference on Decision and Control (58th : 2019)

Y2 - 11 December 2019 through 13 December 2019

ER -

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

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