Linear Programming Approach to Deterministic Long Run Average Problems of Optimal Control
Vladimir Gaitsgory, Sergey Rossomakhine · SIAM Journal on Control and Optimization · 2006
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.