Linear Programming Formulations of Singular Stochastic Control Problems: Time-Homogeneous Problems
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Publication:6289530
arXiv1707.09209MaRDI QIDQ6289530FDOQ6289530
Authors: Thomas G. Kurtz, Richard H. Stockbridge 
Publication date: 28 July 2017
Abstract: Conditions are established under which the optimal control of processes having both absolutely continuous and singular (with respect to time) controls are equivalent to linear programs over a space of measures on the state and control spaces. This paper considers long-term average and discounted criteria and includes budget and resource constraints. The linear programs optimize over measures representing the expected occupation measure of the state and absolutely continuous control processes and a similar expected occupation measure of the state and control when the singular action of the process occurs. The evolution of these processes is characterized through an adjoint equation which the measures must satisfy in relation to the absolutely continuous and singular generators of the process. Existence of optimal relaxed controls of feedback type are established in general while existence of an optimal form of strict control is proven under additional closedness and compactness conditions.
Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35) Optimal stochastic control (93E20)
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