Occupational Measures Formulation and Linear Programming Solution of Deterministic Long Run Average Problems of Optimal Control
Vladimir Gaitsgory, Sergey Rossomakhine · 2006
We present results establishing that deterministic long run average problems of optimal control are "asymptotically equivalent" to infinite dimensional linear programming problems (LPP) and that these LPP can be approximated by finite dimensional LPP, the solutions of which can be used for construction of the optimal controls. General results are illustrated by a numerical example