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

Vivek S. Borkar, Vladimir Gaitsgory, Ilya Shvartsman

Research output: Contribution to journalArticle

1 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 languageEnglish (US)
Pages (from-to)1783-1817
Number of pages35
JournalSIAM Journal on Control and Optimization
Volume57
Issue number3
DOIs
StatePublished - Jan 1 2019

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Applied Mathematics

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