This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time-horizon[0,T]as T→∞.The so-called turnpike properties are established for such problems,under stabiliza...This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time-horizon[0,T]as T→∞.The so-called turnpike properties are established for such problems,under stabilizability condition which is weaker than the controllability,normally imposed in the similar problem for ordinary differential systems.In dealing with the turnpike problem,a crucial issue is to determine the corresponding static optimization problem.Intuitively mimicking the deterministic situations,it seems to be natural to include both the drift and the diffusion expressions of the state equation to be zero as constraints in the static optimization problem.However,this would lead us to a wrong direction.It is found that the correct static problem should contain the diffusion as a part of the objective function,which reveals a deep feature of the stochastic turnpike problem.展开更多
This paper is concerned with an optimal harvesting problem over an infinite horizon for age-dependent n-dimensional food chain model and the analysis of long-term behaviors of the optimal-controlled system. The existe...This paper is concerned with an optimal harvesting problem over an infinite horizon for age-dependent n-dimensional food chain model and the analysis of long-term behaviors of the optimal-controlled system. The existence of overtaking optimal policy is proved and a maximum principle is carefully derived by means of Dubovitskii-Milyutin functional analytical extremum theory. Weak and strong turnpike properties of optimal trajectories are established.展开更多
基金supported by the National Natural Science Foundation of China(No.11901280,12271242,12201424)Guangdong Basic and Applied Basic Research Foundation(No.2021A1515010031)+1 种基金Shenzhen Fundamental Research General Program(No.JCYJ20220530112814032)NSF(No.DMS-1812921)。
文摘This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time-horizon[0,T]as T→∞.The so-called turnpike properties are established for such problems,under stabilizability condition which is weaker than the controllability,normally imposed in the similar problem for ordinary differential systems.In dealing with the turnpike problem,a crucial issue is to determine the corresponding static optimization problem.Intuitively mimicking the deterministic situations,it seems to be natural to include both the drift and the diffusion expressions of the state equation to be zero as constraints in the static optimization problem.However,this would lead us to a wrong direction.It is found that the correct static problem should contain the diffusion as a part of the objective function,which reveals a deep feature of the stochastic turnpike problem.
基金Acknowledgments This work is supported by the Nature Science Foundation of China （11061017） and the Nature Science Foundation of Gansu Province of China （1010RJZA075）.
文摘This paper is concerned with an optimal harvesting problem over an infinite horizon for age-dependent n-dimensional food chain model and the analysis of long-term behaviors of the optimal-controlled system. The existence of overtaking optimal policy is proved and a maximum principle is carefully derived by means of Dubovitskii-Milyutin functional analytical extremum theory. Weak and strong turnpike properties of optimal trajectories are established.
