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    A simulation study on turnpikes in stochastic LQ optimal control
    (IFAC, 2021-06-01)
    Ou, Ruchuan
    ;
    Baumann, Michael Heinrich
    ;
    Grüne, Lars
    ;
    Faulwasser, Timm
    This paper presents a simulation study on turnpike phenomena in stochastic optimal control problems. We employ the framework of Polynomial Chaos Expansions (PCE) to investigate the presence of turnpikes in stochastic LQ problems. Our findings indicate that turnpikes can be observed in the evolution of PCE coefficients as well as in the evolution of statistical moments. Moreover, the turnpike phenomenon can be observed for optimal realization trajectories and with respect to the optimal stationary distribution. Finally, while adding variance penalization to the objective alters the turnpike, it does not destroy the phenomenon.
    Publicationtype: Conference Paper
      55
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    A distributed active set method for model predictive control
    (IFAC, 2021-06-01)
    Stomberg, Gösta
    ;
    Engelmann, Alexander
    ;
    Faulwasser, Timm
    This paper presents a novel distributed active set method for model predictive control of linear systems. The method combines a primal active set strategy with a decentralized conjugate gradient method to solve convex quadratic programs. An advantage of the proposed method compared to existing distributed model predictive algorithms is the primal feasibility of the iterates. Numerical results show that the proposed method can compete with the alternating direction method of multipliers in terms of communication requirements for a chain of masses example.
    Publicationtype: Conference Paper
      10