ERef Bayreuth

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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.
In: SIAM Journal on Control and Optimization. Vol. 63 (2025) Issue 2 . - pp. 1432-1457.
ISSN 1095-7138
DOI: https://doi.org/10.1137/23M160089X

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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:	Article in a journal
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:	29 Apr 2025 05:58
Last Modified:	29 Apr 2025 05:58
URI:	https://eref.uni-bayreuth.de/id/eprint/93386

Available Versions of this Item

Turnpike and dissipativity in generalized discrete-time stochastic linear-quadratic optimal control. (deposited 14 Sep 2023 07:58)
- Turnpike and Dissipativity in Generalized Discrete-Time Stochastic Linear-Quadratic Optimal Control. (deposited 29 Apr 2025 05:58) [Currently Displayed]