Infinite Linear Programming and Multichain Markov Control Processes in Uncountable Spaces

DOI10.1137/S0363012995292238zbMath0914.93070MaRDI QIDQ4388916

Onésimo Hernández-Lerma, Juan González-Hernández

Publication date: 10 May 1998

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

duality gapinfinite linear programminginfinite-dimensional linear programmingaverage cost criteriondiscrete-time Markov control processesweak closednessgeneralized Farkas theoremsubconsistency

Mathematics Subject Classification ID

Linear programming (90C05) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (5)

LP based upper and lower bounds for Cesàro and Abel limits of the optimal values in problems of control of stochastic discrete time systems ⋮ On Linear Programming for Constrained and Unconstrained Average-Cost Markov Decision Processes with Countable Action Spaces and Strictly Unbounded Costs ⋮ Linear programming estimates for Cesàro and Abel limits of optimal values in optimal control problems ⋮ A dynamic analytic method for risk-aware controlled martingale problems ⋮ Solving the drift control problem

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