LP Based Bounds for Cesàro and Abel Limits of the Optimal Values in Non-ergodic Stochastic Systems - Archive ouverte HAL Access content directly
Conference Papers Year : 2021

LP Based Bounds for Cesàro and Abel Limits of the Optimal Values in Non-ergodic Stochastic Systems

(1) , (2) , (2)
1
2

Abstract

In this paper, we study asymptotic properties of problems of control of stochastic discrete time systems with time averaging and time discounting optimality criteria, and we establish that the Cesàro and Abel limits of the optimal values in such problems can be estimated with the help of a certain infinite-dimensional (ID) linear programming (LP) problem and its dual.
Fichier principal
Vignette du fichier
20210405-ecc_draft-1.pdf (258.33 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-03517927 , version 1 (09-01-2022)

Identifiers

Cite

Konstantin Avrachenkov, Vladimir Gaitsgory, Lucas Gamertsfelder. LP Based Bounds for Cesàro and Abel Limits of the Optimal Values in Non-ergodic Stochastic Systems. ECC 2021 - European Control Conference, Jun 2021, Delft, Netherlands. pp.2444-2449, ⟨10.23919/ECC54610.2021.9655136⟩. ⟨hal-03517927⟩
21 View
40 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More