The linear programming approach to deterministic optimal control problems
Volume 24 / 1996
Applicationes Mathematicae 24 (1996), 17-33
DOI: 10.4064/am-24-1-17-33
Abstract
Given a deterministic optimal control problem (OCP) with value function, say $J^*$, we introduce a linear program $(P)$ and its dual $(P^*)$ whose values satisfy $\sup(P^*) \leq\inf(P)\leq J^*(t,x)$. Then we give conditions under which (i) there is no duality gap
