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arXiv · 1702.00857

Linear Programming Formulations of Deterministic Infinite Horizon Optimal Control Problems in Discrete Time

Vladimir Gaitsgory·Alex Parkinson·I. Shvartsman
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Abstract

This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. We establish that these problems are related to certain infinite-dimensional linear programming (IDLP) problems. We also establish asymptotic relationships between the optimal values of problems with time discounting and long-run average criteria.

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Vladimir Gaitsgory, Alex Parkinson, I. Shvartsman. 2017-02-02. Linear Programming Formulations of Deterministic Infinite Horizon Optimal Control Problems in Discrete Time. https://arxiv.org/abs/1702.00857

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