Turnpike and dissipativity in generalized discrete-time stochastic linear-quadratic optimal control
We investigate different turnpike phenomena of generalized discrete-time stochastic linear-
quadratic optimal control problems. Our analysis is based on a novel strict dissipativity …
quadratic optimal control problems. Our analysis is based on a novel strict dissipativity …
On the relationship between stochastic turnpike and dissipativity notions
J Schießl, MH Baumann, T Faulwasser… - IEEE Transactions on …, 2024 - ieeexplore.ieee.org
In this paper, we introduce and study different dissipativity notions and different turnpike
properties for discrete-time stochastic nonlinear optimal control problems. The proposed …
properties for discrete-time stochastic nonlinear optimal control problems. The proposed …
A Polynomial Chaos Approach to Stochastic LQ Optimal Control: Error Bounds and Infinite-Horizon Results
The stochastic linear-quadratic regulator problem subject to Gaussian disturbances is well
known and usually addressed via a moment-based reformulation. Here, we leverage …
known and usually addressed via a moment-based reformulation. Here, we leverage …
Near-optimal performance of stochastic economic MPC
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 …
for stochastic economic MPC. The approach relies on a recently developed turnpike …