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Approximation of constrained average cost Marks

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2014

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Esfahani, Peyman Mohajerin
Lygeros, John

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https://doi.org/10.1109/CDC.2014.7040424
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53rd IEEE Conference on Decision and Control. Piscataway, NJ: IEEE, 2014, pp. 6597-6602. ISSN 0191-2216. ISBN 978-1-4673-6090-6. Available under: doi: 10.1109/CDC.2014.7040424

Zusammenfassung

This paper considers discrete-time constrained Markov control processes (MCPs) under the long-run expected average cost optimality criterion. For Borel state and action spaces a two-step method is presented to numerically approximate the optimal value of this constrained MCPs. The proposed method employs the infinite-dimensional linear programming (LP) representation of the constrained MCPs. In particular, we establish a bridge from the infinite-dimensional LP characterization to a finite LP consisting of a first asymptotic step and a second step that provides explicit bounds on the approximation error. Finally, the applicability and performance of the theoretical results are demonstrated on an LQG example.

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53rd IEEE Conference on Decision and Control, 15. Dez. 2014 - 17. Dez. 2014, Los Angeles, CA
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ISO 690SUTTER, Tobias, Peyman Mohajerin ESFAHANI, John LYGEROS, 2014. Approximation of constrained average cost Marks. 53rd IEEE Conference on Decision and Control. Los Angeles, CA, 15. Dez. 2014 - 17. Dez. 2014. In: 53rd IEEE Conference on Decision and Control. Piscataway, NJ: IEEE, 2014, pp. 6597-6602. ISSN 0191-2216. ISBN 978-1-4673-6090-6. Available under: doi: 10.1109/CDC.2014.7040424
BibTex
@inproceedings{Sutter2014Appro-55740,
  year={2014},
  doi={10.1109/CDC.2014.7040424},
  title={Approximation of constrained average cost Marks},
  isbn={978-1-4673-6090-6},
  issn={0191-2216},
  publisher={IEEE},
  address={Piscataway, NJ},
  booktitle={53rd IEEE Conference on Decision and Control},
  pages={6597--6602},
  author={Sutter, Tobias and Esfahani, Peyman Mohajerin and Lygeros, John}
}
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