LP formulations of discrete time long-run average optimal control problems: The nonergodic case

Vivek S. Borkar; Vladimir Gaitsgory; Ilya Shvartsman

doi:10.1137/18M1229432

LP formulations of discrete time long-run average optimal control problems: The nonergodic case

Vivek S. Borkar, Vladimir Gaitsgory, Ilya Shvartsman

School of Science, Engineering & Technology (Harrisburg)

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

14 Scopus citations

Abstract

We formulate and study the infinite dimensional linear programming (LP) problem associated with the deterministic discrete time long-run average criterion optimal control problem. Along with its dual, this LP problem allows one to characterize the optimal value of the optimal control problem. The novelty of our approach is that we focus on the general case wherein the optimal value may depend on the initial condition of the system.

Original language	English (US)
Pages (from-to)	1783-1817
Number of pages	35
Journal	SIAM Journal on Control and Optimization
Volume	57
Issue number	3
DOIs	https://doi.org/10.1137/18M1229432
State	Published - 2019

All Science Journal Classification (ASJC) codes

Control and Optimization
Applied Mathematics

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10.1137/18M1229432

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title = "LP formulations of discrete time long-run average optimal control problems: The nonergodic case",

abstract = "We formulate and study the infinite dimensional linear programming (LP) problem associated with the deterministic discrete time long-run average criterion optimal control problem. Along with its dual, this LP problem allows one to characterize the optimal value of the optimal control problem. The novelty of our approach is that we focus on the general case wherein the optimal value may depend on the initial condition of the system.",

author = "Borkar, {Vivek S.} and Vladimir Gaitsgory and Ilya Shvartsman",

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AU - Borkar, Vivek S.

AU - Gaitsgory, Vladimir

AU - Shvartsman, Ilya

PY - 2019

Y1 - 2019

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AB - We formulate and study the infinite dimensional linear programming (LP) problem associated with the deterministic discrete time long-run average criterion optimal control problem. Along with its dual, this LP problem allows one to characterize the optimal value of the optimal control problem. The novelty of our approach is that we focus on the general case wherein the optimal value may depend on the initial condition of the system.

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LP formulations of discrete time long-run average optimal control problems: The nonergodic case

Abstract

All Science Journal Classification (ASJC) codes

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