Related papers: Stochastic receding horizon control with output fe…
This paper presents a dual receding horizon output feedback controller for a general non linear stochastic system with imperfect information. The novelty of this controller is that stabilization is treated, inside the optimization problem,…
In this work, we analyze the properties of the solution to the covariance steering problem for discrete time Gaussian linear systems with a squared Wasserstein distance terminal cost. In our previous work, we have shown that by utilizing…
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal…
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is…
We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant coefficients. It is proved that the non-emptiness of the admissible control set for all initial state is…
This paper presents an algorithm to solve the infinite horizon constrained linear quadratic regulator (CLQR) problem using operator splitting methods. First, the CLQR problem is reformulated as a (finite-time) model predictive control (MPC)…
The stability analysis of model predictive control schemes without terminal constraints and/or costs has attracted considerable attention during the last years. We pursue a recently proposed approach which can be used to determine a…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
This paper addresses the optimal control problem of finite-horizon discrete-time nonlinear systems under state and control constraints. A novel numerical algorithm based on optimal control theory is proposed to achieve superior…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
We develop the dynamic programming approach for a family of infinite horizon boundary control problems with linear state equation and convex cost. We prove that the value function of the problem is the unique regular solution of the…
This paper presents a recursive solution to the receding or moving horizon estimation (MHE) problem for nonlinear time-variant systems. We provide the conditions under which the recursive MHE is equivalent to the extended Kalman filter…
We consider the optimal control of linear systems over wireless MIMO fading channels, where the MIMO wireless fading and random access of the remote controller may cause intermittent controllability or uncontrollability of the closed-loop…
This letter presents a robust data-driven receding-horizon control framework for the discrete time linear quadratic regulator (LQR) with input constraints. Unlike existing data-driven approaches that design a controller from initial data…
We consider a finite-horizon linear-quadratic optimal control problem where only a limited number of control messages are allowed for sending from the controller to the actuator. To restrict the number of control actions computed and…
This paper presents a technique to drive the state of a constrained nonlinear system to a specified target state in finite time, when the system suffers a partial loss in control authority. Our technique builds on a recent method to control…
This paper mainly establishes the finite-horizon stochastic bounded real lemma, and then solves the $H_{\infty}$ control problem for discrete-time stochastic linear systems defined on the separable Hilbert spaces, thereby unifying the…