Abstract:
We investigate pathwise turnpike behavior of discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity not...Show MoreMetadata
Abstract:
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.
Published in: 2023 62nd IEEE Conference on Decision and Control (CDC)
Date of Conference: 13-15 December 2023
Date Added to IEEE Xplore: 19 January 2024
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Mathematical Institute, University of Bayreuth, Germany
Institute for Energy Systems, Energy Efficiency and Energy Economics, TU Dortmund University, Germany
Institute for Energy Systems, Energy Efficiency and Energy Economics, TU Dortmund University, Germany
Mathematical Institute, University of Bayreuth, Germany
Mathematical Institute, University of Bayreuth, Germany
Contents Mathematical Institute, University of Bayreuth, Germany
Institute for Energy Systems, Energy Efficiency and Energy Economics, TU Dortmund University, Germany
Institute for Energy Systems, Energy Efficiency and Energy Economics, TU Dortmund University, Germany
Mathematical Institute, University of Bayreuth, Germany
Mathematical Institute, University of Bayreuth, Germany
