Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems

Next Monday, July 11st, 2022 we have a talk by Prof. Dr. Jiongmin Yong, visiting scientist from the University of Central Florida:

Event: Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems
Organized by: FAU DCN-AvH, Chair for Dynamics, Control and Numerics – Alexander von Humboldt Professorship at FAU, Friedrich-Alexander-Universität Erlangen-Nürnberg (Germany)
Speaker: Prof. Dr. Jiongmin Yong
Affiliation: Department of Mathematics, University of Central Florida (USA)

WHERE?

Room 01.255-128 – Besprechungsraum
Friedrich-Alexander-Universität Erlangen-Nürnberg
Department Informatik (next to Übungraum 01.254 of Department Mathematik.)
Cauerstraße 11, 91058 Erlangen
GPS-Koord. Raum: 49.573535N, 11.030330E

Abstract. For deterministic optimal control problems in very large time horizons (either finite dimensional or infinite dimensional), under proper conditions, the optimal pair will stay near a solution of a proper static optimization problem. Such a phenomenon is called the “turnpike” property. The proper static optimization problem usually is the one with the objective function being the running cost rate function and with the constraint being the equilibria of the vector field of the state equation. However, for stochastic problems, mimicking the idea of the deterministic problems will lead to some incorrect conclusions. In this talk, we will look at stochastic linear-quadratic optimal control problem in large duration. We will correctly formulate the proper static optimization problem and establish the turnpike properties of the corresponding stochastic linear-quadratic problem.

|| Photo credits: University of Central Florida

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