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A Simulation Study on Turnpikes in Stochastic LQ Optimal Control

Title data

Ou, Ruchuan ; Baumann, Michael Heinrich ; Grüne, Lars ; Faulwasser, Timm:
A Simulation Study on Turnpikes in Stochastic LQ Optimal Control.
Cornell : arXiv , 2020 . - 6 p.

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Abstract in another language

This paper presents a simulation study on turnpike phenomena in stochastic optimal control problems. We employ the framework of Polynomial Chaos Expansions (PCE) to investigate the presence of turnpikes in stochastic LQ problems. Our findings indicate that turnpikes can be observed in the evolution of PCE coefficients as well as in the evolution of statistical moments. Moreover, the turnpike phenomenon can be observed for optimal realization trajectories and with respect to the optimal stationary distribution. Finally, while adding variance penalization to the objective alters the turnpike, it does not destroy the phenomenon.

Further data

Item Type: Preprint, postprint
Keywords: Stochastic optimal control; turnpike properties; stochastic uncertainty; polynomialchaos expansions
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Profile Fields
Profile Fields > Advanced Fields
Research Institutions
Research Institutions > Research Centres
Result of work at the UBT: Yes
DDC Subjects: 500 Science > 510 Mathematics
600 Technology, medicine, applied sciences > 620 Engineering
Date Deposited: 27 Oct 2020 13:13
Last Modified: 27 Oct 2020 13:13
URI: https://eref.uni-bayreuth.de/id/eprint/58757

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