Related papers: Temporal and Spatial Turnpike-Type Results Under F…
In this paper, we present performance estimates for stochastic economic MPC schemes with risk-averse cost formulations. For MPC algorithms with costs given by the expectation of stage cost evaluated in random variables, it was recently…
An exponential turnpike property for a semilinear control problem is proved. The state-target is assumed to be small, whereas the initial datum can be arbitrary. Turnpike results are also obtained for large targets, requiring that the…
This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and strong turnpike properties are established under appropriate…
The turnpike property refers to the phenomenon that in many optimal control problems, the solutions for different initial conditions and varying horizons approach a neighborhood of a specific steady state, then stay in this neighborhood for…
We analyze the consequences that the so-called turnpike property has on the long-time behavior of the value function corresponding to a finite-dimensional linear-quadratic optimal control problem with general terminal cost and constrained…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
We first derive a general integral-turnpike property around a set for infinite-dimensional non-autonomous optimal control problems with any possible terminal state constraints, under some appropriate assumptions. Roughly speaking, the…
We consider averages convergence as the time-horizon goes to infinity of optimal solutions of time-dependent optimal control problems to optimal solutions of the corresponding stationary optimal control problems. Control problems play a key…
This paper studies the long-time behavior of optimal solutions for a class of linear-convex optimal control problems. We focus on a partial exponential turnpike property, established without imposing controllability or stabilizability…
This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time horizon $[0,T]$ as $T\rightarrow\infty$. The so-called turnpike properties are established for such problems, under…
We study the asymptotic behavior of solutions to linear-quadratic mean field stochastic optimal control problems. By formulating an ergodic control framework, we characterize the convergence between the finite time horizon control problem…
We study the turnpike phenomenon for optimal control problems with mean field dynamics that are obtained as the limit $N\rightarrow \infty$ of systems governed by a large number $N$ of ordinary differential equations. We show that the…
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the…
The \emph{turnpike property} in contemporary macroeconomics asserts that if an economic planner seeks to move an economy from one level of capital to another, then the most efficient path, as long as the planner has enough time, is to…
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the large time horizon. This is a continuation of the paper…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…
This paper presents first results for near optimality in expectation of the closed-loop solutions for stochastic economic MPC. The approach relies on a recently developed turnpike property for stochastic optimal control problems at an…
In this paper, we consider a linear quadratic (LQ) optimal control problem in both finite and infinite dimensions. We derive an asymptotic expansion of the value function as the fixed time horizon T tends to infinity. The leading term in…
This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizons. Our main contribution lies in establishing the strong…
In this work we derive an interval turnpike result for adjoints of finite- and infinite-dimensional nonlinear optimal control problems under the assumption of an interval turnpike on states and controls. We consider stabilizable dynamics…