Long-Time Behaviors of Stochastic Linear-Quadratic Optimal Control Problems
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arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866918351580692480 |
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| author | Jian, Jiamin Jin, Sixian Song, Qingshuo Yong, Jiongmin |
| author_facet | Jian, Jiamin Jin, Sixian Song, Qingshuo Yong, Jiongmin |
| contents | This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the first time. It serves as the probability interpretation of the well-known cell problem in the homogenization of Hamilton-Jacobi equations. By establishing a connection between this problem and the ergodic cost problem, we reveal the turnpike properties of the linear-quadratic stochastic optimal control problems from various perspectives. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_11633 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Long-Time Behaviors of Stochastic Linear-Quadratic Optimal Control Problems Jian, Jiamin Jin, Sixian Song, Qingshuo Yong, Jiongmin Optimization and Control 49N10, 93E15 This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the first time. It serves as the probability interpretation of the well-known cell problem in the homogenization of Hamilton-Jacobi equations. By establishing a connection between this problem and the ergodic cost problem, we reveal the turnpike properties of the linear-quadratic stochastic optimal control problems from various perspectives. |
| title | Long-Time Behaviors of Stochastic Linear-Quadratic Optimal Control Problems |
| topic | Optimization and Control 49N10, 93E15 |
| url | https://arxiv.org/abs/2409.11633 |