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Linear Programming Formulation of Long-Run Average Optimal Control Problem

Author

Listed:
  • Vivek S. Borkar

    (Indian Institute of Technology Bombay)

  • Vladimir Gaitsgory

    (Macquarie University)

Abstract

We formulate and study the infinite-dimensional linear programming problem associated with the deterministic long-run average cost control problem. Along with its dual, it allows one to characterize the optimal value of this control problem. The novelty of our approach is that we focus on the general case wherein the optimal value may depend on the initial condition of the system.

Suggested Citation

  • Vivek S. Borkar & Vladimir Gaitsgory, 2019. "Linear Programming Formulation of Long-Run Average Optimal Control Problem," Journal of Optimization Theory and Applications, Springer, vol. 181(1), pages 101-125, April.
    • Handle: RePEc:spr:joptap:v:181:y:2019:i:1:d:10.1007_s10957-018-1432-0
    DOI: 10.1007/s10957-018-1432-0
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    References listed on IDEAS

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