Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems
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arXiv
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| Main Authors: | , , , , |
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| Format: | Preprint |
| Published: |
2023
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| Subjects: | |
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| _version_ | 1866911808041779200 |
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| author | Schießl, Jonas Ou, Ruchuan Faulwasser, Timm Baumann, Michael Heinrich Grüne, Lars |
| author_facet | Schießl, Jonas Ou, Ruchuan Faulwasser, Timm Baumann, Michael Heinrich Grüne, Lars |
| contents | We investigate pathwise turnpike behavior of discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic process replaces the optimal steady state of the deterministic setting. The analytical findings are illustrated by a numerical example. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2303_15959 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems Schießl, Jonas Ou, Ruchuan Faulwasser, Timm Baumann, Michael Heinrich Grüne, Lars Optimization and Control We investigate pathwise turnpike behavior of discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic process replaces the optimal steady state of the deterministic setting. The analytical findings are illustrated by a numerical example. |
| title | Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2303.15959 |