Linear programming approach to optimal impulse control problems with functional constraints

Piunovskiy, Alexey and Zhang, Yi ORCID: 0000-0002-3200-6306 (2021) Linear programming approach to optimal impulse control problems with functional constraints. Journal of Mathematical Analysis and Applications, 496 (2). p. 124817.

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Official URL: http://dx.doi.org/10.1016/j.jmaa.2020.124817

Abstract

This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple constraints on performance functionals of a similar type. Under a natural set of compactness-continuity conditions on the system primitives, we establish a linear programming approach, and prove the existence of a stationary optimal control strategy out of a more general class of randomized strategies. This is done by making use of the tools from Markov decision processes.

Item Type:	Article
Uncontrolled Keywords:	Dynamical system, Impulse control, Constraints, Randomized strategy, Markov decision process, Linear programming
Depositing User:	Symplectic Admin
Date Deposited:	17 Dec 2020 10:17
Last Modified:	18 Jan 2023 23:17
DOI:	10.1016/j.jmaa.2020.124817
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3110228