The linear programming approach to deterministic optimal control problems
Daniel Hernández–Hernández, Onésimo Hernández–Lerma, Michael Taksar · Applicationes Mathematicae · 1996
Given a deterministic optimal control problem (OCP) with value function, say $J^*$, we introduce a linear program $(P)$ and its dual $(P^*)$ whose values satisfy $\sup(P^*) \leq\inf(P)\leq J^*(t,x)$. Then we give conditions under which (i) there is no dua