The turnpike property and the longtime behavior of the Hamilton-Jacobi-Bellman equation for finite-dimensional LQ control problems

DOI10.1007/S00498-022-00325-2zbMATH Open1505.49026arXiv2006.10430OpenAlexW3214796166MaRDI QIDQ2103960FDOQ2103960

Authors: Carlos Esteve, Hicham Kouhkouh, Dario Pighin, Enrique Zuazua 

Publication date: 9 December 2022

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

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 $T$ tends to infinity, the value function asymptotically behaves as $W(x)+c,T+lambda$, 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.

Full work available at URL: https://arxiv.org/abs/2006.10430

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationsoptimal control problemslongtime behaviorlinear-quadratic (LQ)the turnpike property

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Linear-quadratic optimal control problems (49N10)

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Cited In (9)

• Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations
• Linear quadratic optimal control turnpike in finite and infinite dimension: two-term expansion of the value function
• Turnpike in optimal control of PDEs, ResNets, and beyond
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