Title :
Linear programming approximations for Markov control processes in metric spaces
Author :
Hernandez-Lerma, O. ; Lasserre, Jean B.
Author_Institution :
CINVESTAV-IPN, Mexico City, Mexico
Abstract :
This paper presents LP approximations for Markov control processes in metric spaces. The approximations are based on aggregation and relaxation of constraints, as well as inner approximations of the decision variables. In particular, conditions are given under which the control problem´s optimal value is approximated by a sequence of finite-dimensional LP
Keywords :
Markov processes; approximation theory; linear programming; optimal control; stochastic systems; LP approximations; Markov control processes; constraint aggregation; constraint relaxation; finite-dimensional LP sequence; inner approximations; linear programming approximations; metric spaces; optimal control; Convergence; Costs; Extraterrestrial measurements; Level set; Linear approximation; Linear programming; Optimal control; Process control; State-space methods; Stochastic processes;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657116
