Optimal control on finite graphs: asymptotic optimal controls and ergodic constant in the case of entropic costs

Abstract

For optimal control problems on finite graphs in continuous time, the dynamic programming principle leads to value functions characterized by systems of nonlinear ordinary differential equations. In this paper, we consider the case of entropic costs for which the nonlinear differential equations can be transformed into linear ones thanks to a change of variables linked to the classical duality between entropy and exponential. When the graph is connected, we show that the asymptotic optimal control and the ergodic constant can be computed very easily with classical tools of matrix analysis.