Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems

DOI10.1109/CDC49753.2023.10384081arXiv2303.15959MaRDI QIDQ6509382FDOQ6509382

Authors: Jonas Schießl, Timm Faulwasser, Michael Heinrich Baumann, Lars Grüne 

Abstract: We investigate pathwise turnpike behavior of discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic process replaces the optimal steady state of the deterministic setting. The analytical findings are illustrated by a numerical example.

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