TY - JOUR A1 - Gugat, Martin A1 - Henrion, René A1 - Heitsch, Holger T1 - A turnpike property for optimal control problems with dynamic probabilistic constraints JF - Journal of Convex Analysis N2 - 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. KW - Probabilistic Constraints KW - Probabilistic Robustness KW - here-and-now decision KW - Turnpike phenomenon KW - Measure turnpike Y1 - 2021 VL - 30 IS - 3 SP - 1025 EP - 1052 PB - Heldermann Verlag 2023 ER -