Linear turnpike theorem

Abstract

The turnpike phenomenon stipulates that the solution of an optimal control problem in large time, remains essentially close to a steady-state of the dynamics, itself being the optimal solution of an associated static optimal control problem. Under general assumptions, it is known that not only the optimal state and the optimal control, but also the adjoint state coming from the application of the Pontryagin maximum principle, are exponentially close to a steady-state, except at the beginning and at the end of the time frame. In such results, the turnpike set is a singleton, which is a steady-state. In this paper, we establish a turnpike result for finite-dimensional optimal control problems in which some of the coordinates evolve in a monotone way, and some others are partial steady-states of the dynamics. We prove that the discrepancy between the optimal trajectory and the turnpike set is then linear, but not exponential: we thus speak of a linear turnpike theorem.