Local turnpike analysis using local dissipativity for discrete time discounted optimal control

DOI10.1007/S00245-021-09805-4zbMATH Open1485.49032arXiv2101.11295OpenAlexW3184408873MaRDI QIDQ832608FDOQ832608

Lisa Krügel, Lars Grüne

Publication date: 25 March 2022

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: Recent results in the literature have provided connections between the so-called turnpike property, near optimality of closed-loop solutions, and strict dissipativity. Motivated by applications in economics, optimal control problems with discounted stage cost are of great interest. In contrast to non-discounted optimal control problems, it is more likely that several asymptotically stable optimal equilibria coexist. Due to the discounting and transition cost from a local to the global equilibrium, it may be more favourable staying in a local equilibrium than moving to the global - cheaper - equilibrium. In the literature, strict dissipativity was shown to provide criteria for global asymptotic stability of optimal equilibria and turnpike behavior. In this paper, we propose a local notion of discounted strict dissipativity and a local turnpike property, both depending on the discount factor. Using these concepts, we investigate the local behaviour of (near-)optimal trajectories and develop conditions on the discount factor to ensure convergence to a local asymptotically stable optimal equilibrium.

Full work available at URL: https://arxiv.org/abs/2101.11295

zbMATH Keywords

dissipativityturnpikediscounted optimal control

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Special types of economic equilibria (91B52)

Cites Work

• On the relation between strict dissipativity and turnpike properties
• Dissipative dynamical systems. I: General theory
• Dissipative dynamical systems. II: Linear systems with quadratic supply rates
• On Necessity and Robustness of Dissipativity in Economic Model Predictive Control
• Optimal Growth with a Convex-Concave Production Function
• A Lyapunov Function for Economic Optimizing Model Predictive Control
• On Average Performance and Stability of Economic Model Predictive Control
• A complete characterization of optimal growth paths in an aggregated model with a non-concave production function
• Using nonlinear model predictive control for dynamic decision problems in economics
• Using dynamic programming with adaptive grid scheme for optimal control problems in economics
• A DNS-curve in a two-state capital accumulation model: A numerical analysis
• Nonlinear model predictive control. Theory and algorithms
• Stabilization of strictly dissipative discrete time systems with discounted optimal control
• Stability Analysis of Discrete-Time Infinite-Horizon Optimal Control With Discounted Cost
• Stabilization with discounted optimal control
• Strict dissipativity for discrete time discounted optimal control problems
• On the relation between turnpike properties for finite and infinite horizon optimal control problems

Cited In (3)

• Stochastic optimal control problems of discrete‐time Markov jump systems
• Linearly discounted economic MPC without terminal conditions for periodic optimal operation
• Dissipativity in infinite horizon optimal control and dynamic programming

This page was built for publication: Local turnpike analysis using local dissipativity for discrete time discounted optimal control

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q832608)