Linear programming formulation of a discrete time infinite horizon optimal control problem with time discounting criterion.
Vladimir GaitsgoryAlex ParkinsonIlya ShvartsmanPublished in: CDC (2016)
Keyphrases
- optimal control
- infinite horizon
- linear programming
- optimal control problems
- dynamic programming
- linear quadratic
- finite horizon
- linear program
- production planning
- average cost
- partially observable
- feedback control
- reinforcement learning
- markov decision process
- control strategy
- stochastic demand
- fixed cost
- column generation
- policy iteration
- optimal solution
- np hard
- single item
- objective function
- integer programming
- state space
- holding cost
- lost sales
- real time