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arXiv · 2303.15959

Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems

Jonas Schießl·Ruchuan Ou·Timm Faulwasser·Michael Heinrich Baumann·Lars Grüne
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Abstract

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.

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Jonas Schießl, Ruchuan Ou, Timm Faulwasser, Michael Heinrich Baumann, Lars Grüne. 2023-03-28. Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems. https://doi.org/10.1109/cdc49753.2023.10384081

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