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Duality in linear programming problems related to deterministic long run average problems of optimal control with applications to periodic optimization

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3 Author(s)
Luke Finlay ; Department of Operations Research, DSTO, Edinburgh, SA 5111, Australia ; Vladimir Gaitsgory ; Ivan Lebedev

Deterministic long run average optimal control problems and, in particular, periodic optimization problems are related to certain infinite-dimensional linear programming (LP) problems, which can be approximated by finite-dimensional LP problems. In this paper we study problems dual to these infinite- and finite- dimensional LP problems, and we investigate a possibility of using solutions of the latter for numerical construction of the optimal controls in periodic optimization problems. The construction is illustrated with a numerical example.

Published in:

Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on

Date of Conference:

15-18 Dec. 2009