An efficient approximation method for a class of continuous linear programs

A general class of continuous linear programs, which involves an integral objective function and a Volterra type constraint inequality with convolution kernel is considered. By using a method similar to that of Lukas and Teo (1991), the above problem is converted into a sequence of optimal control problems not involving any integral constraint, each of which can be solved by the control parameterisation method. Convergence analysis of the above approximation scheme is considered.