LP Based Bounds for Cesaro and Abel Limits of the Optimal Values in Non-ergodic Stochastic Systems
Published in 2021 European Control Conference (ECC), 2021
In this paper, we study asymptotic properties of problems of control of stochastic discrete time systems with time averaging and time discounting optimality criteria, and we establish that the Cesaro and Abel limits of the optimal values in such problems can be estimated with the help of a certain infinite-dimensional (ID) linear programming (LP) problem and its dual.
Recommended citation: Konstantin Avrachenkov, Vladimir Gaitsgory, Lucas Gamertsfelder. (2021). "LP Based Bounds for Cesaro and Abel Limits of the Optimal Values in Non-ergodic Stochastic Systems." 2021 European Control Conference (ECC). 1(3).
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