Title data
Schießl, Jonas ; Ou, Ruchuan ; Faulwasser, Timm ; Baumann, Michael Heinrich ; Grüne, Lars:
Pathwise turnpike and dissipativity results for discretetime stochastic linearquadratic optimal control problems.
In:
2023 62nd IEEE Conference on Decision and Control (CDC). 
Singapore, Singapore
,
2023
.  pp. 27902795
DOI: https://doi.org/10.1109/CDC49753.2023.10384081
This is the latest version of this item.
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 discretetime stochastic linearquadratic 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 discretetime stochastic linearquadratic optimal control problems. (deposited 30 Mar 2023 05:18)
 Pathwise turnpike and dissipativity results for discretetime stochastic linearquadratic optimal control problems. (deposited 02 Feb 2024 09:53) [Currently Displayed]