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Pré-Publication, Document De Travail Année : 2023

Linear quadratic optimal control turnpike in finite and infinite dimension: two-term expansion of the value function

Résumé

In this paper, we consider a linear quadratic (LQ) optimal control problem in both finite and infinite dimensions. We derive an asymptotic expansion of the value function as the fixed time horizon T tends to infinity. The leading term in this expansion, proportional to T, corresponds to the optimal value attained through the classical turnpike theory in the associated static problem. The remaining terms are associated with optimal stabilization problems towards the turnpike.
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Dates et versions

hal-04361557 , version 1 (22-12-2023)

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Veljko Askovic, Emmanuel Trélat, Hasnaa Zidani. Linear quadratic optimal control turnpike in finite and infinite dimension: two-term expansion of the value function. 2023. ⟨hal-04361557⟩
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