Aggregated occupation measures and linear programming approach to constrained impulse control problems
Optimization and Control
2020-10-27 v2
Abstract
For a constrained optimal impulse control problem of an abstract dynamical system, we introduce the occupation measures along with aggregated occupation measures and present two associated linear programs. We prove that the two linear programs are equivalent under appropriate conditions, and each linear program gives rise to an optimal strategy in the original impulse control problem.
Cite
@article{arxiv.2010.04601,
title = {Aggregated occupation measures and linear programming approach to constrained impulse control problems},
author = {Alexey Piunovskiy and Yi Zhang},
journal= {arXiv preprint arXiv:2010.04601},
year = {2020}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1910.01098 The original submission of arXiv:1910.01098v1 has now been decomposed into two parts; this is the second part