Turnpike properties for stochastic linear-quadratic optimal control problems

DOI10.1007/S11401-022-0374-XMaRDI QIDQ2105894zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

(14)

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• 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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