Linear Programming Formulation of Long-Run Average Optimal Control Problem

Vivek S. Borkar () and Vladimir Gaitsgory ()
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Vivek S. Borkar: Indian Institute of Technology Bombay
Vladimir Gaitsgory: Macquarie University

Journal of Optimization Theory and Applications, 2019, vol. 181, issue 1, No 5, 125 pages

Abstract: Abstract We formulate and study the infinite-dimensional linear programming problem associated with the deterministic long-run average cost control problem. Along with its dual, it allows one to characterize the optimal value of this 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.

Keywords: Long-run average optimal control; Linear programming; Duality; Infinite horizon; Vanishing discount limits; 34E15; 34C29; 93C70 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10957-018-1432-0

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