@article{GugatHenrionHeitsch2021, author = {Gugat, Martin and Henrion, Ren{\´e} and Heitsch, Holger}, title = {A turnpike property for optimal control problems with dynamic probabilistic constraints}, series = {Journal of Convex Analysis}, volume = {30}, journal = {Journal of Convex Analysis}, number = {3}, publisher = {Heldermann Verlag 2023}, pages = {1025 -- 1052}, year = {2021}, abstract = {In this paper we consider systems that are governed by linear time-discrete dynamics with an initial condition and a terminal condition for the expected values. We study optimal control problems where in the objective function a term of tracking type for the expected values and a control cost appear. In addition, the feasible states have to satisfy a conservative probabilistic constraint that requires that the probability that the trajectories remain in a given set F is greater than or equal to a given lower bound. An application are optimal control problems related to storage management systems with uncertain in- and output. We give suffcient conditions that imply that the optimal expected trajectories remain close to a certain state that can be characterized as the solution of an optimal control problem without prescribed initial- and terminal condition. Hence we contribute to the study of the turnpike phenomenon that is well-known in mathematical economics.}, language = {en} }