Linear programming approach to optimal impulse control problems with functional constraints
Optimization and Control
2020-10-27 v3
Abstract
This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple constraints on performance functionals of a similar type. Under a natural set of compactness-continuity conditions on the system primitives, we establish a linear programming approach, and prove the existence of a stationary optimal control strategy out of a more general class of randomized strategies. This is done by making use of the tools from Markov decision processes.
Cite
@article{arxiv.1910.01098,
title = {Linear programming approach to optimal impulse control problems with functional constraints},
author = {Alexey Piunovskiy and Yi Zhang},
journal= {arXiv preprint arXiv:1910.01098},
year = {2020}
}
Comments
This is the first part of the original version of the paper, which has now been divided into two parts