Duality in optimal impulse control
This paper builds on previous works of the author and colleagues [\textit{F. Dufour} et al., Int. J. Control 95, No. 1, 173--186 (2022; Zbl 1482.49038); \textit{A. Piunovskiy} et al., SIAM J. Control Optim. 57, No. 4, 2720--2752 (2019; Zbl 1420.49038); \textit{A. Piunovskiy} and \textit{Y. Zhang}, J. Math. Anal. Appl. 496, No. 2, Article ID 124817, 17 p. (2021; Zbl 1458.49029); \textit{A. Piunovskiy} and \textit{Y. Zhang}, J. Math. Anal. Appl. 499, No. 2, Article ID 125070, 46 p. (2021; Zbl 1461.93225)] on Lagrangian duality for optimal impulse control problems (i.e., optimal control with singular or measure-valued controls). Formulating this problem in terms of the impulse times and vectors, a dynamic programming principle can be applied to derive a Bellman equation, which is connected to a dual linear program. In this work, two such dual linear programs are introduced in an abstract setting and their solvability is shown. It is verified that the Bellman function provides such a solution in either case and that there is no primal-dual gap. Finally, the construction of an optimal control strategy from a solution of the primal-dual pairs is discussed. The theoretical results are then illustrated via a benchmark SIR model.
- Optimal Impulse Control of Dynamical Systems
- Linear programming approach to optimal impulse control problems with functional constraints
- Optimal impulse control synthesis for a linear dynamical system
- Impulse control of piecewise deterministic Markov processes
- Optimal impulse control of a SIR epidemic
- Aggregated occupation measures and linear programming approach to constrained impulse control problems
- An explicit optimal isolation policy for a deterministic epidemic model
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- Continuous average control of piecewise deterministic Markov processes
- Error bounds for rolling horizon policies in discrete-time Markov control processes
- scientific article; zbMATH DE number 3465097 (Why is no real title available?)
- scientific article; zbMATH DE number 1325008 (Why is no real title available?)
- scientific article; zbMATH DE number 2061775 (Why is no real title available?)
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- Impulse and continuous control of piecewise deterministic Markov processes
- Infinite dimensional analysis. A hitchhiker's guide.
- Linear programming approach to optimal impulse control problems with functional constraints
- Measures and LMIs for Impulsive Nonlinear Optimal Control
- Optimal control of continuous systems with impulse controls
- Optimal control problems with oscillations, concentrations and discontinuities
- Optimal impulse control of a SIR epidemic
- Optimal Impulse Control of Dynamical Systems
- Optimal impulsive control problem with application to human immunodeficiency virus treatment
- Semi-definite relaxations for optimal control problems with oscillation and concentration effects
- Singular Optimal Control: A Geometric Approach
- Stochastic optimal control. The discrete time case
- The expected total cost criterion for Markov decision processes under constraints: a convex analytic approach
- Linear programming approach to optimal impulse control problems with functional constraints
- Aggregated occupation measures and linear programming approach to constrained impulse control problems
- Event-triggered optimal fault-tolerant control for a class of uncertain strict-feedback nonlinear systems
- Constrained optimal impulse control and inventory model
This page was built for publication: Duality in optimal impulse control
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2069787)
