The turnpike property and the longtime behavior of the Hamilton-Jacobi-Bellman equation for finite-dimensional LQ control problems
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Publication:2103960
Abstract: We analyze the consequences that the so-called turnpike property has on the long-time behavior of the value function corresponding to a finite-dimensional linear-quadratic optimal control problem with general terminal cost and constrained controls. We prove that, when the time horizon tends to infinity, the value function asymptotically behaves as , and we provide a control interpretation of each of these three terms, making clear the link with the turnpike property. As a by-product, we obtain the long-time behavior of the solution to the associated Hamilton-Jacobi-Bellman equation in a case where the Hamiltonian is not coercive in the momentum variable. As a result of independent interest, we showed that linear-quadratic optimal control problems with constrained control enjoy a turnpike property, also particularly when the steady optimum may saturate the control constraints.
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Cited in
(9)- Uniform turnpike property and singular limits
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