Linear Programming Formulation of Long Run Average Optimal Control Problem
Optimization and Control
2018-05-08 v1
Abstract
We introduce and study the infinite dimensional linear programming problem which along with its dual allows one to characterize the optimal value of the deterministic long-run average optimal control problem in the general case when the latter may depend on the initial conditions of the system.
Cite
@article{arxiv.1805.02311,
title = {Linear Programming Formulation of Long Run Average Optimal Control Problem},
author = {Vivek S. Borkar and Vladimir Gaitsgory},
journal= {arXiv preprint arXiv:1805.02311},
year = {2018}
}