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

2018/12/11 by Vivek S. Borkar, Borkar, Vivek S., Vladimir Gaitsgory +3
Computer Science · Engineering · #Advanced Control Systems Optimization #FOS: Mathematics #Optimization and Control (math.OC) #Optimization and Variational Analysis

paper · pdf · doi:10.48550/arxiv.1812.04790

openalex publication_date 2018/12/11 · openalex created_date 2022/08/01 · openalex updated_date 2026/07/28

Abstract

We formulate and study the infinite dimensional linear programming (LP)\nproblem associated with the deterministic discrete time long-run average\ncriterion optimal control problem. Along with its dual, this LP problem allows\none to characterize the optimal value of the optimal control problem. The\nnovelty of our approach is that we focus on the general case wherein the\noptimal value may depend on the initial condition of the system.\n

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