
This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming problems, but compactness of the state constraint is a common assumption imposed in analysis of these LP problems. In this paper, we consider an unbounded state constraint and use Alexandroff compactification to carry out the analysis. We also establish asymptotic relationships between the optimal values of problems with time discounting and long-run average criteria.
93C55, 49N99, linear programming, optimal control, long-run average, Optimization and Control (math.OC), Linear programming, discrete-time systems, FOS: Mathematics, Existence theories for free problems in two or more independent variables, Mathematics - Optimization and Control, Multi-objective and goal programming, infinite horizon, time discounting
93C55, 49N99, linear programming, optimal control, long-run average, Optimization and Control (math.OC), Linear programming, discrete-time systems, FOS: Mathematics, Existence theories for free problems in two or more independent variables, Mathematics - Optimization and Control, Multi-objective and goal programming, infinite horizon, time discounting
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