基于LP的非遍历随机系统最优值Cesàro和Abel极限的界

2021 European Control Conference (ECC) Pub Date : 2021-06-29 DOI:10.23919/ECC54610.2021.9655136

Konstantin Avrachenkov, V. Gaitsgory, Lucas Gamertsfelder

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摘要

本文研究了具有时间平均和时间折现最优性准则的随机离散时间系统控制问题的渐近性质，并利用无穷维线性规划问题及其对偶证明了该类问题最优值的Cesàro和Abel极限的可估计性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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.

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2021 European Control Conference (ECC)

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