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

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 relationship...

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Bibliographic Details
Published in:arXiv.org 2017-02
Main Authors: Gaitsgory, Vladimir, Parkinson, Alex, Shvartsman, I
Format: Article
Language:English
Subjects:
Economic models
Formulations
Linear programming
Optimal control
Online Access:Get full text
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Summary: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.
ISSN:2331-8422