It has been established recently that, under mild conditions, deterministic long run average problems of optimal control are "asymptotically equivalent" to infinite-dimen...
Abstract— This paper deals with the long run average continuous control problem of piecewise deterministic Markov processes (PDMP‘s) taking values in a general Borel space and ...
In this paper we consider the long run average continuous control problem of piecewise-deterministic Markov processes (PDP's for short). The control variable acts on the jump ...
— Optimal control and estimation are dual in the LQG setting, as Kalman discovered, however this duality has proven difficult to extend beyond LQG. Here we obtain a more natural...
Given a primal-dual pair of linear programs, it is well known that if their optimal values are viewed as lying on the extended real line, then the duality gap is zero, unless both...