Linear programming approximations for Markov control processes in metric spaces
Onésimo Hernández–Lerma, Jean Bernard Lasserre · 2002
This paper presents LP approximations for Markov control processes in metric spaces. The approximations are based on aggregation and relaxation of constraints, as well as inner approximations of the decision variables. In particular, conditions are given under which the control problem's optimal value is approximated by a sequence of finite-dimensional LP.