Piunovskiy, Alexey and Zhang, Yi 
ORCID: 0000-0002-3200-6306
(2021)
Aggregated occupation measures and linear programming approach to constrained impulse control problems.
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 499 (2).
p. 125070.
|
Text
LinPrDynSys2.pdf - Author Accepted Manuscript Download (801kB) | Preview |
Abstract
For a constrained optimal impulse control problem of an abstract dynamical system, we introduce the occupation measures along with the aggregated occupation measures and present two associated linear programs. We prove that the two linear programs are equivalent under appropriate conditions, and each linear program gives rise to an optimal strategy in the original impulse control problem. In particular, we show the absence of the relaxation gap. By means of an example, we also present a detailed comparison of the occupation measures and linear programs introduced here with the related notions in the literature.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Dynamical system, Optimal control, Impulse control, Total cost, Constraints, Linear programming |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 02 Mar 2021 10:23 |
| Last Modified: | 18 Jan 2023 22:58 |
| DOI: | 10.1016/j.jmaa.2021.125070 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3116372 |
Dimensions
Dimensions
