Linear Programming Formulation of Long-Run Average Optimal Control Problem-Reference-Cited by-同舟云学术

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Linear Programming Formulation of Long-Run Average Optimal Control Problem

Published:2018-11-13 Issue:1 Volume:181 Page:101-125
ISSN:0022-3239
Container-title:Journal of Optimization Theory and Applications
language:en
Short-container-title:J Optim Theory Appl

Author:

Borkar Vivek S.,Gaitsgory Vladimir^ORCID

Funder

Research supported in part by a J. C. Bose Fellowship from the Government of India

Australian Research Council

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

http://link.springer.com/content/pdf/10.1007/s10957-018-1432-0.pdf

Reference42 articles.

1. Bhatt, A.G., Borkar, V.S.: Occupation measures for controlled Markov processes: characterization and optimality. Ann. Probab. 24(3), 1531–1562 (1996)

2. Buckdahn, R., Goreac, D., Quincampoix, M.: Stochastic optimal control and linear programming approach. Appl. Math. Optim. 63(2), 257–276 (2011)

3. Fleming, W.H., Vermes, D.: Convex duality approach to the optimal control of diffusions. SIAM J. Control Optim. 27(5), 1136–1155 (1989)

4. Stockbridge, R.H.: Time-average control of a martingale problem: a linear programming formulation. Ann. Probab. 18, 206–217 (1990)

5. Borkar, V.S.: A convex analytic approach to Markov decision processes. Probab. Theory Relat. Fields 78, 583–602 (1988)

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