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
Project information
Project title: |
Project's official title Project's id Stochastic Optimal Control and MPC - Dissipativity, Risk, and Performance 499435839 |
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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
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- Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems. (deposited 30 Mar 2023 05:18) [Currently Displayed]