ERef Bayreuth

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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.
In: 2023 62nd IEEE Conference on Decision and Control (CDC). - Piscataway, NJ : IEEE , 2023 . - pp. 2790-2795
ISBN 979-8-3503-0124-3
DOI: https://doi.org/10.1109/CDC49753.2023.10384081

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Project information

Project title:	Project's official title Project's id Stochastische Optimale Steuerung und MPC - Dissipativität, Risiko und Regelgüte 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:	Article in a book
Refereed:	Yes
Keywords:	Optimal control; Stochastic processes; Steady-state; Behavioral sciences
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:	02 Feb 2024 09:53
Last Modified:	12 Aug 2025 09:22
URI:	https://eref.uni-bayreuth.de/id/eprint/88340

Available Versions of this Item

Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems. (deposited 30 Mar 2023 05:18)
- Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems. (deposited 02 Feb 2024 09:53) [Currently Displayed]