Long-Time Behavior of Optimal Control for Stochastic LQ Problems
时间 Datetime
2025-12-11 15:30 — 16:30
地点 Venue
腾讯会议APP2()
报告人 Speaker
孙景瑞
单位 Affiliation
南方科技大学
邀请人 Host
罗鹏
备注 remarks
腾讯会议号: 875 920 514 会议密码: 209661
报告摘要 Abstract
The turnpike property refers to the phenomenon that in many optimal control problems over finite but long-time horizon, optimal trajectories approach to a steady state of the system and stay close to it for the major part of the time horizon. In the past several decades, the turnpike properties have attracted extensive attentions in control theory. Numerous results have been established for deterministic optimal control problems of both finite and infinite dimensions. However, the study of turnpike phenomena for stochastic optimal control is quite lacking in literature. In this talk, we discuss the turnpike properties for stochastic linear-quadratic optimal control problems. Under suitable conditions, we establish the strong exponential, the strong integral, and the mean-square turnpike properties for stochastic LQ problems. The crucial issues are to correctly formulate the corresponding static optimization problem and find the correction processes, which illustrate the essential differences between stochastic and deterministic cases.
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