文章基本信息

标题：A Simulation Study on Turnpikes in Stochastic LQ Optimal Control
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作者：Ruchuan Ou ; Michael Heinrich Baumann ; Lars Grüne 等
期刊名称：IFAC PapersOnLine
印刷版ISSN：2405-8963
出版年度：2021
卷号：54
期号：3
页码：516-521
DOI：10.1016/j.ifacol.2021.08.294
语种：English
出版社：Elsevier
摘要：AbstractThis 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.
关键词：KeywordsStochastic optimal controlturnpike propertiesstochastic uncertaintypolynomial chaos expansion