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LP Based Bounds for Cesàro and Abel Limits of the Optimal Values in Non-ergodic Stochastic Systems
- Source :
- ECC 2021-European Control Conference, ECC 2021-European Control Conference, Jun 2021, Delft, Netherlands. pp.2444-2449, ⟨10.23919/ECC54610.2021.9655136⟩, 2021 European Control Conference (ECC), 2021 European Control Conference (ECC), Jun 2021, Delft, Netherlands. pp.2444-2449, ⟨10.23919/ECC54610.2021.9655136⟩
- Publication Year :
- 2021
- Publisher :
- HAL CCSD, 2021.
-
Abstract
- International audience; In this paper, we study asymptotic properties of problems of control of stochastic discrete time systems with time averaging and time discounting optimality criteria, and we establish that the Cesàro and Abel limits of the optimal values in such problems can be estimated with the help of a certain infinite-dimensional (ID) linear programming (LP) problem and its dual.
- Subjects :
- [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
0209 industrial biotechnology
Stochastic optimal control
020901 industrial engineering & automation
010102 general mathematics
02 engineering and technology
Infinite Dimensional Linear Program IDLP
[MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC]
0101 mathematics
01 natural sciences
Discrete - time systems
Markov Decision Process MDP
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- ECC 2021-European Control Conference, ECC 2021-European Control Conference, Jun 2021, Delft, Netherlands. pp.2444-2449, ⟨10.23919/ECC54610.2021.9655136⟩, 2021 European Control Conference (ECC), 2021 European Control Conference (ECC), Jun 2021, Delft, Netherlands. pp.2444-2449, ⟨10.23919/ECC54610.2021.9655136⟩
- Accession number :
- edsair.doi.dedup.....847ca8a882646d1ecd9694aba0dc3a0c
- Full Text :
- https://doi.org/10.23919/ECC54610.2021.9655136⟩