Vladimir Gaitsgory, Alex Parkinson, I. Shvartsman
Published 2017-02-02Version 1
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. We establish that these problems are related to certain infinite-dimensional linear programming (IDLP) problems. We also establish asymptotic relationships between the optimal values of problems with time discounting and long-run average criteria.
Pontryagin's Maximum Principle for Infinite Horizon Optimal Control Problems with Bounded Processes and with State Constraints
Non-zero-sum stopping games in discrete time
Approximate solution of stochastic infinite horizon optimal control problems for constrained linear uncertain systems
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