Infinite Linear Programming and Multichain Markov Control Processes in Uncountable Spaces

DOI10.1137/S0363012995292238MaRDI QIDQ4388916zbMATH OpenFDO

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

Mathematics Subject Classification ID

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

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Cited in

(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
• 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
• On linear programming for constrained and unconstrained average-cost Markov decision processes with countable action spaces and strictly unbounded costs

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