Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems
arXiv:2303.15959 · doi:10.1109/CDC49753.2023.10384081
Abstract
We investigate pathwise turnpike behavior of discrete-time stochastic linear-quadratic optimal control problems. Our analysis is based on a novel strict dissipativity notion for such problems, in which a stationary stochastic process replaces the optimal steady state of the deterministic setting. The analytical findings are illustrated by a numerical example.