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

Vladimir Gaitsgory; Alex Parkinson; Ilya Shvartsman

doi:10.3934/dcdsb.2017192

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

Vladimir Gaitsgory, Alex Parkinson, Ilya Shvartsman

School of Science, Engineering & Technology (Harrisburg)

Research output: Contribution to journal › Article › peer-review

21 Scopus citations

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 (US)
Pages (from-to)	3821-3838
Number of pages	18
Journal	Discrete and Continuous Dynamical Systems - Series B
Volume	22
Issue number	10
DOIs	https://doi.org/10.3934/dcdsb.2017192
State	Published - Dec 2017

All Science Journal Classification (ASJC) codes

Discrete Mathematics and Combinatorics
Applied Mathematics

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10.3934/dcdsb.2017192

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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.",

author = "Vladimir Gaitsgory and Alex Parkinson and Ilya Shvartsman",

note = "Funding Information: Acknowledgments. A significant part of the work on the paper was conducted during I. Shvartsman{\textquoteright}s extended visit to the Department of Mathematics at Mac-quarie University (Sydney, Australia). The research was supported by the ARC Discovery Grants DP130104432 and DP150100618 and by a Macquarie University Start-Up Grant.",

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AU - Parkinson, Alex

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N2 - 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.

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

Abstract

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