Related papers: Frequency Theorem for discrete time stochastic sys…
We consider an optimal control problem that entails the minimization of a nondifferentiable cost functional, fractional diffusion as state equation and constraints on the control variable. We provide existence, uniqueness and regularity…
The optimal stochastic control problem with a quadratic cost functional for linear partial differential equations (PDEs) driven by a state-and control-dependent white noise is formulated and studied. Both finite-and infinite-time horizons…
This paper investigates the stochastic linear-quadratic control problems with affine constraints, in which both equality and inequality constraints are involved. With the help of the Pontryagin maximum principle and Lagrangian duality…
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-loop equilibrium control and a linear feedback equilibrium…
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is…
This letter addresses optimal controller design for periodic linear time-varying systems under unknown-but-bounded disturbances. We introduce differential Lyapunov-type equations to describe time-varying inescapable ellipsoids and define an…
We propose a time-implicit, finite-element based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control problem with the stochastic heat equation driven by linear…
In this paper, we consider a class of time-optimal control problems governed by linear parabolic equations with mixed control-state constraints and end-point constraints, and without Tikhonov regularization term in the objective function.…
This paper investigates a model-free solution to the stochastic linear quadratic regulation (LQR) problem for linear discrete-time systems with both multiplicative and additive noises. We formulate the stochastic LQR problem as a nonconvex…
This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of…
We consider a variant of the classical linear quadratic Gaussian regulator (LQG) in which penalties on the endpoint state are replaced by the specification of the terminal state distribution. The resulting theory considerably differs from…
It is well known that stability is the most fundamental nature with regard to a control system, in view of this, the stabilization becomes an inevitable control problem. This article mainly discusses the optimal control and stabilization…
This paper deals with a stochastic optimal feedback control problem for the controlled stochastic partial differential equations. More precisely, we establish the existence of stochastic optimal feedback control for the controlled…
We obtain a version of the Frequency Theorem (a theorem on solvability of certain operator inequalities), which allows to construct quadratic Lyapunov functionals for semilinear parabolic equations. We show that the well-known Spectral Gap…
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the…
We consider a nonlinear discrete stochastic control system, and our goal is to design a feedback control policy in order to lead the system to a prespecified state. We adopt a stochastic approximation viewpoint of this problem. It is known…
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…
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control…
Control of linear dynamics with multiplicative noise naturally introduces robustness against dynamical uncertainty. Moreover, many physical systems are subject to multiplicative disturbances. In this work we show how these dynamics can be…
This paper considers the linear-quadratic dual control problem where the system parameters need to be identified and the control objective needs to be optimized in the meantime. Contrary to existing works on data-driven linear-quadratic…