Linear Programming Approach to Deterministic Long Run Average Problems of Optimal Control

Authors:
Vladimir Gaitsgory;Sergey Rossomakhine
Affiliations:
-;-
Venue:
SIAM Journal on Control and Optimization
Year:
2006

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Abstract

We establish that deterministic long run average problems of optimal control are "asymptotically equivalent" to infinite-dimensional linear programming problems (LPPs) and we establish that these LPPs can be approximated by finite-dimensional LPPs, the solutions of which can be used for construction of the optimal controls. General results are illustrated with numerical examples.