A Simulation Study on Turnpikes in Stochastic LQ Optimal Control
Systems and Control
2020-10-26 v1 Systems and Control
Optimization and Control
Abstract
This paper presents a simulation study on turnpike phenomena in stochastic optimal control problems. We employ the framework of Polynomial Chaos Expansions (PCE) to investigate the presence of turnpikes in stochastic LQ problems. Our findings indicate that turnpikes can be observed in the evolution of PCE coefficients as well as in the evolution of statistical moments. Moreover, the turnpike phenomenon can be observed for optimal realization trajectories and with respect to the optimal stationary distribution. Finally, while adding variance penalization to the objective alters the turnpike, it does not destroy the phenomenon.
Cite
@article{arxiv.2010.12201,
title = {A Simulation Study on Turnpikes in Stochastic LQ Optimal Control},
author = {Ruchuan Ou and Michael Heinrich Baumann and Lars Grüne and Timm Faulwasser},
journal= {arXiv preprint arXiv:2010.12201},
year = {2020}
}