SIAM Journal on Control and Optimization, Vol.44, No.6, 2006-2037, 2006
Linear programming approach to deterministic long run average problems of optimal control
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.
Keywords:long run average optimal control;singularly perturbed control systems;occupational measures;averaging method;linear programming