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Turnpike and dissipativity in generalized discrete-time stochastic linear-quadratic optimal control

Title data

Schießl, Jonas ; Ou, Ruchuan ; Faulwasser, Timm ; Baumann, Michael Heinrich ; Grüne, Lars:
Turnpike and dissipativity in generalized discrete-time stochastic linear-quadratic optimal control.
Bayreuth , 2023
DOI: https://doi.org/10.48550/arXiv.2309.05422

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 different turnpike phenomena of generalized 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. We show that from this time-varying dissipativity notion, we can conclude turnpike behaviors concerning different objects like distributions, moments, or sample paths of the stochastic system and that the distributions of the stationary pair can be characterized by a stationary optimization problem. The analytical findings are illustrated by numerical simulations.

Further data

Item Type: Preprint, postprint
Refereed: Yes
Keywords: Stochastic Optimal Control; Turnpike Property; Dissipativity; Stochastic Systems
Subject classification: 93E20, 49N10, 93E15
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: 14 Sep 2023 07:58
Last Modified: 14 Sep 2023 07:58
URI: https://eref.uni-bayreuth.de/id/eprint/86844