相关论文: A Simulation Study on Turnpikes in Stochastic LQ O…
This work is concerned with a hierarchical framework of optimal control problems connecting interacting particle systems, the mean field limit equations, and associated hydrodynamic models. By assuming the existence of solutions, we…
In this paper, we develop several necessary conditions of turnpike property for generalizaid linear-quadratic (LQ) optimal control problem in infinite dimensional setting. The term 'generalized' here means that both quadratic and linear…
This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the first time. It serves as the probability interpretation of…
We present a new proof of the turnpike property for nonlinear optimal control problems, when the running target is a steady control-state pair of the underlying system. Our strategy combines the construction of quasi-turnpike controls via…
In this paper we investigate the turnpike property for constrained LQ optimal control problem in connection with dissipativity of the control system. We determine sufficient conditions to ensure the turnpike property in the case of a…
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…
The paper proposes first steps towards the formalization and characterization of time-varying turnpikes in optimal control of mechanical systems. We propose the concepts of velocity steady states, which can be considered as partial steady…
In this paper, we study the problem of traffic management in highways facing stochastic perturbations. To model the macroscopic traffic flow under perturbations, we use cell-transmission model with Markovian capacities. The decision…
In this work, we study the steady-state (or periodic) exponential turnpike property of optimal control problems in Hilbert spaces. The turnpike property, which is essentially due to the hyperbolic feature of the Hamiltonian system resulting…
We establish a polynomial turnpike estimate for an optimal control problem consisting of a system of infinitely many controlled oscillators, considered as an abstract differential equation in a Hilbert space, with a quadratic cost. Our…
In this paper, we introduce turnpike arguments in the context of optimal state estimation. In particular, we show that the optimal solution of the state estimation problem involving all available past data serves as turnpike for the…
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…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
The stochastic linear--quadratic regulator problem subject to Gaussian disturbances is well known and usually addressed via a moment-based reformulation. Here, we leverage polynomial chaos expansions, which model random variables via series…
This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) framework to encompass nonlinear system dynamics and…
We revisit finite-dimensional linear-quadratic optimal control from the viewpoint of differential flatness. If the pair (A, B) is controllable, then the linear control system is flat, and every trajectory can be parametrized by a flat…
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…
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…