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.
@article{arxiv.2303.15959,
title = {Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems},
author = {Jonas Schießl and Ruchuan Ou and Timm Faulwasser and Michael Heinrich Baumann and Lars Grüne},
journal= {arXiv preprint arXiv:2303.15959},
year = {2024}
}