Related papers: A Linear-Quadratic Optimal Control Problem for Mea…
Necessary optimality conditions and numerical methods for solving an optimal control problem for a linear continuous-time dynanical system with controlled coefficients and quadratic goal functional are discussed.
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
The present work addresses a finite-horizon linear-quadratic optimal control problem for uncertain systems driven by piecewise constant controls. The precise values of the system parameters are unknown, but assumed to belong to a finite set…
We consider a one dimensional elliptic distributed optimal control problem with pointwise constraints on the derivative of the state. By exploiting the variational inequality satisfied by the derivative of the optimal state, we obtain…
We consider some certain nonlinear perturbations of the stochastic linear-quadratic optimization problems and study the connections between their solutions and the corresponding Markovian backward stochastic diferential equations (BSDEs).…
This paper studies a stochastic mean-field linear-quadratic Stackelberg differential game with random coefficients. The interaction between mean-field terms and random coefficients precludes the direct use of conventional decoupling…
Linear-Quadratic optimal controls are computed for a class of boundary controlled, boundary observed hyperbolic infinite-dimensional systems, which may be viewed as networks of waves. The main results of this manuscript consist in…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
We study a class of linear-quadratic mean-field games with incomplete information. For each agent, the state is given by a linear forward stochastic differential equation with common noise. Moreover, both the state and control variables can…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
This paper is concerned with the linear quadratic optimal control problem for networked system simultaneously with input delay and Markovian dropout. Different from the results in the literature, we consider the hold-input strategy, which…
We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. Stochastic optimal control problems driven by fractional…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
This paper investigates a linear-quadratic mean field games problem with common noise, where the drift term and diffusion term of individual state equations are coupled with both the state, control, and mean field terms of the state, and we…
This paper addresses the problem of steering the distribution of the state of a discrete-time linear system to a given target distribution while minimizing an entropy-regularized cost functional. This problem is called a maximum entropy…
In this study, we provide an interpretation of the dual differential Riccati equation of Linear-Quadratic (LQ) optimal control problems. Adopting a novel viewpoint, we show that LQ optimal control can be seen as a regression problem over…
Finite-time linear-quadratic control of partial differential-algebraic equations (PDAEs) is considered. The discussion is restricted to those that are radial with index $0$; this corresponds to a nilpotency degree of 1. We establish the…
This paper is concerned with the distributed linear quadratic optimal control problem. In particular, we consider a suboptimal version of the distributed optimal control problem for undirected multi-agent networks. Given a multi-agent…
We are interested in the optimal control problem associated with certain quadratic cost functionals depending on the solution $X=X^\alpha$ of the stochastic mean-field type evolution equation in $\mathbb R^d$ $dX_t=b(t,X_t,\mathcal…
In this manuscript, we study a class of linear-quadratic (LQ) mean field control problems with a common noise and their corresponding $N$-particle systems. The mean field control problems considered are not standard LQ mean field control…