Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
131 tokens/sec
GPT-4o
10 tokens/sec
Gemini 2.5 Pro Pro
47 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

A Simulation Study on Turnpikes in Stochastic LQ Optimal Control (2010.12201v1)

Published 23 Oct 2020 in eess.SY, cs.SY, and math.OC

Abstract: This 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.

Citations (10)

Summary

We haven't generated a summary for this paper yet.