Abstract. The paper aims at the development of tools for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems with long run average optimality criteria. The idea that we exploit is to first asymptotically approximate a given problem of optimal control of the SP system by a certain averaged optimal control problem, then reformulate this averaged problem as an infinite-dimensional (ID) linear programming (LP) problem, and then approximate the latter by semi-infinite LP problems. We show that the optimal solution of these semi-infinite LP problems and their duals (that can be found with the help of a modification of an available LP software) allow one to construct near optimal controls of the SP system. We demonstrate the construction with a numerical example.Key words. Singularly perturbed optimal control problems, Averaging and linear programming, Occupational measures, Numerical solution AMS subject classifications. 34E15, 34C29, 34A60, 93C701. Introduction and preliminaries. Problems of optimal control of singularly perturbed (SP) systems have been studied intensively in both deterministic and stochastic settings (see [2]

We show that necessary and sufficient conditions of optimality in periodic optimization problems can be stated in terms of a solution of the corresponding HJB inequality, the latter being equivalent to a max-min type variational problem considered on the space of continuously differentiable functions. We approximate the latter with a maximin problem on a finite dimensional subspace of the space of continuously differentiable functions and show that a solution of this problem (existing under natural controllability conditions) can be used for construction of near optimal controls. We illustrate the construction with a numerical example.

No abstract

No abstract