A simulation study on turnpikes in stochastic LQ optimal control

Publikationstyp
Conference Paper
Publikationsdatum
2021-06-01
Sprache
English
Author
Ou, Ruchuan
Baumann, Michael Heinrich
Grüne, Lars
Faulwasser, Timm 
TORE-URI
https://hdl.handle.net/11420/46167
Enthalten in
IFAC-PapersOnLine 
Volume
54
Issue
3
Start Page
516
End Page
521
Citation
IFAC-PapersOnLine 54 (3): 516-521 (2021)
Contribution to Conference
16th IFAC Symposium on Advanced Control of Chemical Processes, ADCHEM 2021 
Publisher DOI
10.1016/j.ifacol.2021.08.294
Scopus ID
2-s2.0-85117923925
Publisher
IFAC
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.
Schlagworte
Polynomial chaos expansion
Stochastic optimal control
Stochastic uncertainty
Turnpike properties
DDC Class
004: Computer Sciences
510: Mathematics