Linear programming formulation of a discrete time infinite horizon optimal control problem with time discounting criterion

Vladimir Gaitsgory, Alex Parkinson, Ilya Shvartsman

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

2 Scopus citations

Abstract

This paper is devoted to a study of a discrete time infinite horizon optimal control problem with time discounting criterion. We introduce an infinite-dimensional linear programming (IDLP) problem closely related to this problem. We derive necessary and sufficient conditions of optimality for the optimal control problem in terms of the solution of the dual to this IDLP problem.

Original languageEnglish (US)
Title of host publication2016 IEEE 55th Conference on Decision and Control, CDC 2016
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages4481-4483
Number of pages3
ISBN (Electronic)9781509018376
DOIs
StatePublished - Dec 27 2016
Event55th IEEE Conference on Decision and Control, CDC 2016 - Las Vegas, United States
Duration: Dec 12 2016Dec 14 2016

Publication series

Name2016 IEEE 55th Conference on Decision and Control, CDC 2016

Other

Other55th IEEE Conference on Decision and Control, CDC 2016
CountryUnited States
CityLas Vegas
Period12/12/1612/14/16

All Science Journal Classification (ASJC) codes

  • Artificial Intelligence
  • Decision Sciences (miscellaneous)
  • Control and Optimization

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