A turnpike property for optimal control problems with dynamic probabilistic constraints
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 2941 | |
dc.contributor.author | Gugat, Martin | |
dc.contributor.author | Heitsch, Holger | |
dc.contributor.author | Henrion, René | |
dc.date.accessioned | 2022-07-08T13:04:40Z | |
dc.date.available | 2022-07-08T13:04:40Z | |
dc.date.issued | 2022 | |
dc.description.abstract | In this paper we consider systems that are governed by linear time-discrete dynamics with an initial condition, additive random perturbations in each step and a terminal condition for the expected values. We study optimal control problems where the objective function consists of a term of tracking type for the expected values and a control cost. In addition, the feasible states have to satisfy a conservative probabilistic constraint that requires that the probability that the trajectories remain in a given set F is greater than or equal to a given lower bound. An application are optimal control problems related to storage management systems with uncertain in- and output. We give sufficient conditions that imply that the optimal expected trajectories remain close to a certain state that can be characterized as the solution of an optimal control problem without prescribed initial- and terminal condition. In this way we contribute to the study of the turnpike phenomenon that is well-known in mathematical economics and make a step towards the extension of the turnpike theory to problems with probabilistic constraints. | eng |
dc.description.version | publishedVersion | eng |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9699 | |
dc.identifier.uri | https://doi.org/10.34657/8737 | |
dc.language.iso | eng | |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dc.relation.doi | https://doi.org/10.20347/WIAS.PREPRINT.2941 | |
dc.relation.issn | 2198-5855 | |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | |
dc.subject.other | Probabilistic constraints | eng |
dc.subject.other | probabilistic robustness | eng |
dc.subject.other | here-and-now-decision | eng |
dc.subject.other | turnpike phenomenon | eng |
dc.subject.other | turnpike result | eng |
dc.subject.other | terminal constraint | eng |
dc.subject.other | probabilistic turnpike | eng |
dc.title | A turnpike property for optimal control problems with dynamic probabilistic constraints | eng |
dc.type | Report | eng |
dc.type | Text | eng |
dcterms.extent | 23 S. | |
tib.accessRights | openAccess | |
wgl.contributor | WIAS | |
wgl.subject | Mathematik | |
wgl.type | Report / Forschungsbericht / Arbeitspapier |
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