Macquarie University
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Linear programming based approaches to optimal control problems with long run average optimality criteria

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posted on 2022-03-29, 01:28 authored by Ludmila Manic
The thesis aims at the development of mathematical tools for analysis and construction of near optimal solutions of optimal control problems with long run average optimality criteria (LRAOC). It consists of three parts. In Part I, we establish that near optimal controls of these problems can be constructed on the basis of solutions of semi-infinite dimensional linear programming (SILP) problems and their duals. The latter are shown to be approximations of the Hamilton-Jacobi-Bellman inequality corresponding to the LRAOC problem. In Part II, we extend the consideration of Part I to singularly perturbed LRAOC problems. Our approach to these problems is based on amalgamation of averaging and linear programming based techniques. We show that an asymptotically near optimal solution of the singularly perturbed problem can be constructed on the basis of an optimal solution of the averaged LRAOC problem and we show that the optimal solution of the latter can be found with the help of linear programming based techniques. Some of the results obtained in Parts I and II are stated in the form of algorithms, the convergence of which is discussed and which are illustrated with numerical examples. In Part III, we study families of SILP problems depending on a small parameter. The family of SILP problems is regularly (singularly) perturbed if its optimal value is continuous (discontinuous) at the zero value of the parameter. We introduce a regularity condition such that if it is fulfilled, then the family of SILP problems is regularly perturbed and if it is not fulfilled, then the family is likely to be singularly perturbed. We establish relationships between the regularity condition for SILP problems and regularity conditions used in dealing with perturbed LRAOC problems.


Table of Contents

I. Use of approximations of Hamilton-Jacobi-Bellman inequality for solving long run average problems of optimal control -- II. On near optimal solution of singularly perturbed long run average optimal control problems -- III. Perturbations of semi-infinite dimensional linear programming problems.


"August 31, 2015" Includes bibliographical references Empirical thesis.

Awarding Institution

Macquarie University

Degree Type

Thesis PhD


PhD, Macquarie University, Faculty of Science and Engineering, Department of Mathematics

Department, Centre or School

Department of Mathematics

Year of Award


Principal Supervisor

Vladimir Gaitsgory

Additional Supervisor 1

Paul Smith


Copyright Ludmila Manic 2015. Copyright disclaimer:




1 online resource (170 pages)

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