LP Based Bounds for Cesàro and Abel Limits of the Optimal Values in Non-ergodic Stochastic Systems

Creators: Avrachenkov, Konstantin; Gaitsgory, Vladimir; Gamertsfelder, Lucas

Others:: Network Engineering and Operations (NEO ) ; Inria Sophia Antipolis - Méditerranée (CRISAM) ; Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria); Macquarie University [Sydney]

Description

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 Cesàro 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.

Abstract

International audience

LP Based Bounds for Cesàro and Abel Limits of the Optimal Values in Non-ergodic Stochastic Systems

Description

Abstract

Additional details