Pathwise Turnpike and Dissipativity Results for Discrete-Time Stochastic Linear-Quadratic Optimal Control Problems

Publikationstyp
Conference Paper
Date Issued
2023-12
Sprache
English
Author(s)
Schießl, Jonas  
Universität Bayreuth, Mathematisches Institut
Ou, Ruchuan  
Technische Universität Dortmund
Faulwasser, Timm  
Technische Universität Dortmund, Institut für Energiesysteme, Energieeffizienz und Energiewirtschaft
Baumann, Michael Heinrich  
Universität Bayreuth
Grüne, Lars  
Universität Bayreuth
TORE-URI
https://hdl.handle.net/11420/46865
Start Page
2790
End Page
2795
Citation
62nd IEEE Conference on Decision and Control (CDC 2023)
Contribution to Conference
62nd IEEE Conference on Decision and Control, CDC 2023
Publisher DOI
10.1109/CDC49753.2023.10384081
Scopus ID
2-s2.0-85179228990
ISSN
07431546
ISBN
9798350301243
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.
DDC Class
510: Mathematics
620: Engineering