Turnpike properties for stochastic linear–quadratic optimal control problems with partial observation

IF 0.7 4区数学 Q3 STATISTICS & PROBABILITY

Statistics & Probability Letters Pub Date : 2026-06-01 Epub Date: 2026-01-23 DOI:10.1016/j.spl.2026.110660

Ruizhe Hu , Huojun Wu

引用次数: 0

Abstract

This paper establishes the strong exponential turnpike property for a partially observed stochastic linear–quadratic optimal control problem. We apply an orthogonal decomposition method to decouple the system into filtering and difference processes. Under standard stabilizability and detectability conditions, the convergence of the difference process is proven, leading to the exponential turnpike property with explicitly characterized decay rates. These rates are shown to be governed by the convergence rate between the two decoupled processes.

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部分观测随机线性二次最优控制问题的收费公路性质

本文建立了一类部分可观测随机线性二次最优控制问题的强指数收费公路性质。我们采用正交分解方法将系统解耦为滤波和差分过程。在标准的稳定性和可探测性条件下，证明了差分过程的收敛性，得到了具有明确衰减率特征的指数收费公路性质。这些速率是由两个解耦过程之间的收敛速率所控制的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

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