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math.OC2018
LP Formulations of Discrete Time Long-Run Average Optimal Control Problems: The Non-Ergodic Case
Vivek S. Borkar, Vladimir Gaitsgory, Ilya Shvartsman
We formulate and study the infinite dimensional linear programming (LP) problem associated with the deterministic discrete time long-run average criterion optimal control problem.…
math.OC2018
Concentration bounds for two time scale stochastic approximation
Vivek S. Borkar, Sarath Pattathil
Viewing a two time scale stochastic approximation scheme as a noisy discretization of a singularly perturbed differential equation, we obtain a concentration bound for its iterates…
math.OC2018
Linear Programming Formulation of Long Run Average Optimal Control Problem
Vivek S. Borkar, Vladimir Gaitsgory
We introduce and study the infinite dimensional linear programming problem which along with its dual allows one to characterize the optimal value of the deterministic long-run aver…