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Penalization techniques in L ∞ optimization problems with unbounded horizon

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  • Laura Aragone
  • Roberto González
  • Gabriela Reyero

Abstract

In this work we present a numerical procedure for the ergodic optimal minimax control problem. Restricting the development to the case with relaxed controls and using a perturbation of the instantaneous cost function, we obtain discrete solutions U ε k that converge to the optimal relaxed cost U when the relation ship between the parameters of discretization k and penalization ε is an appropriate one. Copyright Springer Science+Business Media, LLC 2008

Suggested Citation

  • Laura Aragone & Roberto González & Gabriela Reyero, 2008. "Penalization techniques in L ∞ optimization problems with unbounded horizon," Annals of Operations Research, Springer, vol. 164(1), pages 17-27, November.
    • Handle: RePEc:spr:annopr:v:164:y:2008:i:1:p:17-27:10.1007/s10479-007-0259-0
    DOI: 10.1007/s10479-007-0259-0
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    References listed on IDEAS

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    1. S. C. Di Marco & R. L. V. González, 1999. "Relaxation of Minimax Optimal Control Problems with Infinite Horizon," Journal of Optimization Theory and Applications, Springer, vol. 101(2), pages 285-306, May.
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