Compactification Method in Linear Programming Approach to Infinite-Horizon Optimal Control Problems with a Noncompact State Constraint

Abstract

This paper is devoted to a study of infinite horizon optimal control problems with time discounting and time averaging criteria in discrete time. It is known that these problems are related to certain infinite-dimensional linear programming problems, but compactness of the state constraint is a common assumption imposed in analysis of these LP problems. In this paper, we consider an unbounded state constraint and use Alexandroff compactification to carry out the analysis. We also establish asymptotic relationships between the optimal values of problems with time discounting and long-run average criteria.