On infinite dimensional linear programming approach to stochastic control
Optimization and Control
2018-10-16 v2
Abstract
We consider the infinite dimensional linear programming (inf-LP) approach for solving stochastic control problems. The inf-LP corresponding to problems with uncountable state and input spaces is in general computationally intractable. By focusing on linear systems with quadratic cost (LQG), we establish a connection between this approach and the well-known Riccati LMIs. In particular, we show that the semidefinite programs known for the LQG problem can be derived from the pair of primal and dual inf-LPs. Furthermore, we establish a connection between multi-objective and chance constraint criteria and the inf-LP formulation.
Cite
@article{arxiv.1611.10164,
title = {On infinite dimensional linear programming approach to stochastic control},
author = {Maryam Kamgarpour and Tyler Summers},
journal= {arXiv preprint arXiv:1611.10164},
year = {2018}
}