Linear programming approach to deterministic long run average problems of optimal control
Date
2006
Authors
Gaitsgory, V.
Rossomakhine, S.
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Journal article
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SIAM Journal of Control and Optimization, 2006; 44(6):2006-2037
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Abstract
We establish that deterministic long run average problems of optimal control are "asymptotically equivalent" to infinite-dimensional linear programming problems (LPPs) and we establish that these LPPs can be approximated by finite-dimensional LPPs, the solutions of which can be used for construction of the optimal controls. General results are illustrated with numerical examples.
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Copyright 2006 Society for Industrial and Applied Mathematics