Penalization techniques in L ∞ optimization problems with unbounded horizon

Laura Aragone (), Roberto González and Gabriela Reyero ()

Annals of Operations Research, 2008, vol. 164, issue 1, 17-27

Abstract: In this work we present a numerical procedure for the ergodic optimal minimax control problem. Restricting the development to the case with relaxed controls and using a perturbation of the instantaneous cost function, we obtain discrete solutions U ε k that converge to the optimal relaxed cost U when the relation ship between the parameters of discretization k and penalization ε is an appropriate one. Copyright Springer Science+Business Media, LLC 2008

Keywords: Minimax optimization; Ergodic problems; Perturbation; Numerical solution (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10479-007-0259-0

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