度量空间中马尔可夫控制过程的线性规划逼近

Acta Applicandae Mathematica Pub Date : 1997-12-10 DOI:10.1109/CDC.1997.657116

O. Hernández-Lerma, J. Lasserre

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引用次数: 19

摘要

我们建立了一个一般框架来分析度量空间中马尔可夫控制过程的线性规划近似的收敛性。逼近是基于约束的聚合和松弛，以及决策变量的内部逼近。特别地，给出了用一系列有限维线性规划逼近控制问题的最优值的条件。

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Linear Programming Approximations for Markov Control Processes in Metric Spaces

We develop a general framework to analyze the convergence of linear-programming 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 can be approximated by a sequence of finite-dimensional linear programs.

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Acta Applicandae Mathematica

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