Literature by the same author
plus at Google Scholar

Bibliografische Daten exportieren
 

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

Title data

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

Warning
There is a more recent version of this item available.

Official URL: Volltext

Project information

Project title:
Project's official title
Project's id
Stochastic Optimal Control and MPC - Dissipativity, Risk, and Performance
499435839

Project financing: Deutsche Forschungsgemeinschaft

Abstract in another language

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.

Further data

Item Type: Preprint, postprint
Refereed: Yes
Keywords: Stochastic optimal control; Stochastic systems
Institutions of the University: Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
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
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Applied Mathematics
Profile Fields
Profile Fields > Advanced Fields
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions
Research Institutions > Central research institutes
Research Institutions > Central research institutes > Bayreuth Research Center for Modeling and Simulation - MODUS
Result of work at the UBT: Yes
DDC Subjects: 500 Science > 510 Mathematics
Date Deposited: 30 Mar 2023 05:18
Last Modified: 30 Mar 2023 05:18
URI: https://eref.uni-bayreuth.de/id/eprint/75747

Available Versions of this Item