Turnpike properties for stochastic linear-quadratic optimal control problems

DOI10.1007/S11401-022-0374-XzbMATH Open1503.49030arXiv2202.12699OpenAlexW4310859960MaRDI QIDQ2105894FDOQ2105894

Authors: Jingrui Sun, Hanxiao Wang, Jiongmin Yong 

Publication date: 8 December 2022

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Abstract: This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time horizon $[0,T]$ as $Tightarrowinfty$. The so-called turnpike properties are established for such problems, under stabilizability condition which is weaker than the controllability, normally imposed in the similar problem for ordinary differential systems. In dealing with the turnpike problem, a crucial issue is to determine the corresponding static optimization problem. Intuitively mimicking deterministic situations, it seems to be natural to include both the drift and the diffusion as constraints in the static optimization problem. However, this would lead us to a wrong direction. It is found that the correct static problem should contain the diffusion as a part of the objective function, which reveals a deep feature of the stochastic turnpike problem.

Full work available at URL: https://arxiv.org/abs/2202.12699

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zbMATH Keywords

stochastic optimal controlturnpike propertyRiccati equationstabilizabilitylinear-quadraticstatic optimization

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20) Exponential stability (93D23)

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Cited In (14)

• Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations
• The turnpike property and the longtime behavior of the Hamilton-Jacobi-Bellman equation for finite-dimensional LQ control problems
• On the relation between turnpike properties and dissipativity for continuous time linear quadratic optimal control problems
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• Turnpike properties for stochastic linear-quadratic optimal control problems with periodic coefficients
• Steady-State and Periodic Exponential Turnpike Property for Optimal Control Problems in Hilbert Spaces

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