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Mathematics > Optimization and Control

arXiv:1812.04790 (math)
[Submitted on 12 Dec 2018 (v1), last revised 28 May 2019 (this version, v2)]

Title:LP Formulations of Discrete Time Long-Run Average Optimal Control Problems: The Non-Ergodic Case

Authors:Vivek S. Borkar, Vladimir Gaitsgory, Ilya Shvartsman
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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.
Subjects: Optimization and Control (math.OC)
Cite as: arXiv:1812.04790 [math.OC]
  (or arXiv:1812.04790v2 [math.OC] for this version)
  https://doi.org/10.48550/arXiv.1812.04790

Submission history

From: Vladimir Gaitsgory [view email]
[v1] Wed, 12 Dec 2018 03:06:16 UTC (23 KB)
[v2] Tue, 28 May 2019 07:44:47 UTC (23 KB)
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