Pathwise Turnpike and Dissipativity Results for Discrete-Time Stochastic Linear-Quadratic Optimal Control Problems
- Resource Type
- Conference
- Authors
- Schiessl, Jonas; Ou, Ruchuan; Faulwasser, Timm; Baumann, Michael Heinrich; Grune, Lars
- Source
- 2023 62nd IEEE Conference on Decision and Control (CDC) Decision and Control (CDC), 2023 62nd IEEE Conference on. :2790-2795 Dec, 2023
- Subject
- Computing and Processing
Power, Energy and Industry Applications
Robotics and Control Systems
Optimal control
Stochastic processes
Steady-state
Behavioral sciences
- Language
- ISSN
- 2576-2370
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.