Linear programming approach to optimal impulse control problems with functional constraints

DOI10.1016/J.JMAA.2020.124817MaRDI QIDQ1997217zbMATH OpenOpenAlexFDO

Authors Yi Zhang, A. B. Piunovskiy

Publication date 1 March 2021

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.01098

zbMATH Keywords

constraintsdynamical systemimpulse controllinear programmingMarkov decision processrandomized strategy

Mathematics Subject Classification ID

Impulsive optimal control problems (49N25) Discrete-time Markov processes on general state spaces (60J05) Linear programming (90C05)

Abstract: This paper considers an optimal impulse control problem of dynamical systems generated by a flow. The performance criteria are total costs over the infinite time horizon. Apart from the main performance to be minimized, there are multiple constraints on performance functionals of a similar type. Under a natural set of compactness-continuity conditions on the system primitives, we establish a linear programming approach, and prove the existence of a stationary optimal control strategy out of a more general class of randomized strategies. This is done by making use of the tools from Markov decision processes.

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Cited in

(6)

• Optimal impulse control synthesis for a linear dynamical system
• Duality in optimal impulse control
• Impulsively-controlled systems and reverse dwell time: a linear programming approach
• Aggregated occupation measures and linear programming approach to constrained impulse control problems
• Impulsive control for continuous-time Markov decision processes: a linear programming approach
• Constrained optimal impulse control and inventory model

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