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 controllability, normally imposed similar problem ordinary differential systems. In dealing with problem, a crucial issue to determine co...

This article proposes a general formulation for temporal parallelization of dynamic programming optimal control problems. We derive the elements and associative operators to be able use parallel scans solve these problems with logarithmic time complexity rather than linear complexity. apply this methodology finite state spaces, quadratic tracking problems, class nonlinear The computational bene...

<p style='text-indent:20px;'>In this work, we have proposed a new approach for solving the linear-quadratic optimal control problem, where quality criterion is quadratic function, which can be convex or non-convex. In approach, transform continuous problem into optimization using Cauchy discretization technique, then solve it with active-set method. order to study efficiency and accuracy ...