Related papers: Homographic scheme for Riccati equation
In this paper we study a class of HJB equations which solve for equilibria for general time-inconsistent deterministic linear quadratic control problems within the intra-personal game theoretic framework, where the inconsistency arises from…
We present high order explicit geometric integrators to solve linear-quadratic optimal control problems and $N$-player differential games. These problems are described by a system coupled non-linear differential equations with boundary…
In this paper we first consider a linear time invariant systems with almost periodic forcing term. We propose a new deterministic quadratic control problem, motivated by Da-Prato. With the help of associated degenerate Riccati equation we…
In this paper, we propose a class of explicit positivity preserving numerical methods for general stochastic differential equations which have positive solutions. Namely, all the numerical solutions are positive. Under some reasonable…
We present and analyze an unconditionally energy stable and convergent finite difference scheme for the Functionalized Cahn-Hilliard equation. One key difficulty associated with the energy stability is based on the fact that one nonlinear…
Limitations of the delayed feedback control and of its extended versions have been fully treated in the literature. The oscillating delayed feedback control appears as a promising scheme to overcome this problem. In this work, two methods…
In this paper we study the quadratic regulator problem for a process governed by a Volterra integral equation in ${\mathbb R}^n$. Our main goal is the proof that it is possible to associate a Riccati differential equation to this quadratic…
We give a full analytic solution to a particular case of the algebraic Riccati equation $XWW^*WX=W^*$ for any matrix $W$ (possibly non-square or non-symmetric) in using the Schur method, terms of the SVD decomposition of $W$. In particular,…
Adaptive resolution schemes allow the simulation of a molecular fluid treating simultaneously different subregions of the system at different levels of resolution. In this work we present a new scheme formulated in terms of a global…
Consider a compact Lie group $G$ and a closed subgroup $H<G$. Suppose $\mathcal M$ is the set of $G$-invariant Riemannian metrics on the homogeneous space $M=G/H$. We obtain a sufficient condition for the existence of $g\in\mathcal M$ and…
This article investigates a fast and stable method to solve Henderson's mixed model equation. The proposed algorithm is stable in that it avoids inverting a matrix of a large dimension and hence is free from the curse of dimensionality.…
In this paper we study the existence of sufficiently regular representations of Hamilton-Jacobi equations in optimal control theory with the compact control set. We introduce a new method to construct representations for a wide class of…
In this work, we consider two types of large-scale quadratic matrix equations: Continuous-time algebraic Riccati equations, which play a central role in optimal and robust control, and unilateral quadratic matrix equations, which arise from…
We present an algorithm for constructing numerical solutions to one--dimensional nonlinear, variable coefficient boundary value problems. This scheme is based upon applying the Homotopy Analysis Method (HAM) to decompose a nonlinear…
This paper investigates the properties of the solutions of the generalised discrete algebraic Riccati equation arising from the solution of the classic infinite-horizon linear quadratic control problem. In particular, a geometric analysis…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
We propose a monotone, and consistent numerical scheme for the approximation of the Dirichlet problem for the normalized Infinity Laplacian, which could be related to the family of so--called two--scale methods. We show that this method is…
To predict the heat diffusion in a given region over time, it is often necessary to find the numerical solution for heat equation. With the techniques of discrete differential calculus, we propose two unconditional stable numerical schemes…
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type…
This paper studies a discrete-time stochastic control problem with linear quadratic criteria over an infinite-time horizon. We focus on a class of control systems whose system matrices are associated with random parameters involving unknown…