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

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Schießl, Jonas ; Ou, Ruchuan ; Faulwasser, Timm ; Baumann, Michael Heinrich ; Grüne, Lars:
Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems.
Bayreuth , 2023
DOI: https://doi.org/10.48550/arXiv.2303.15959

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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.