The turnpike property in finite-dimensional nonlinear optimal control
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Publication:466517
DOI10.1016/J.JDE.2014.09.005zbMATH Open1301.49010arXiv1402.3263OpenAlexW2060088282MaRDI QIDQ466517FDOQ466517
Authors: Emmanuel Trélat, Enrique Zuazua 
Publication date: 27 October 2014
Published in: Journal of Differential Equations (Search for Journal in Brave)
Abstract: Turnpike properties have been established long time ago in finite-dimensional optimal control problems arising in econometry. They refer to the fact that, under quite general assumptions, the optimal solutions of a given optimal control problem settled in large time consist approximately of three pieces, the first and the last of which being transient short-time arcs, and the middle piece being a long-time arc staying exponentially close to the optimal steady-state solution of an associated static optimal control problem. We provide in this paper a general version of a turnpike theorem, valuable for nonlinear dynamics without any specific assumption, and for very general terminal conditions. Not only the optimal trajectory is shown to remain exponentially close to a steady-state, but also the corresponding adjoint vector of the Pontryagin maximum principle. The exponential closedness is quantified with the use of appropriate normal forms of Riccati equations. We show then how the property on the adjoint vector can be adequately used in order to initialize successfully a numerical direct method, or a shooting method. In particular, we provide an appropriate variant of the usual shooting method in which we initialize the adjoint vector, not at the initial time, but at the middle of the trajectory.
Full work available at URL: https://arxiv.org/abs/1402.3263
Recommendations
direct methodsoptimal controlPontryagin maximum principleRiccati equationshooting methodturnpike properties
Existence theories for optimal control problems involving ordinary differential equations (49J15) Optimality conditions for problems involving ordinary differential equations (49K15) Newton-type methods (49M15)
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