Related papers: The generalised continuous algebraic Riccati equat…
The stabilizability of a general class of abstract parabolic-like equations is investigated, with a finite number of actuators. This class includes the case of actuators given as delta distributions located at given points in the spatial…
This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizons. Our main contribution lies in establishing the strong…
This paper is concerned with the problems of optimal control and stabilization for networked control systems (NCSs), where the remote controller and the local controller operate the linear plant simultaneously. The main contributions are…
The quadratic optimal state feedback (LQR) is one of the most popular designs for linear systems and succeeds via the solution of the algebraic Riccati equation. The situation is different in the case of non-linear systems: the Riccati…
In this paper, the finite horizon asymmetric information linear quadratic (LQ) control problem is investigated for a discrete-time mean field system. Different from previous works, multiple controllers with different information sets are…
This paper investigates the central role played by the Hamiltonian in continuous-time nonlinear optimal control problems. We show that the strict convexity of the Hamiltonian in the control variable is a sufficient condition for the…
We introduce a coercivity condition as a time domain analogue of the frequency criterion provided by the famous Kalman-Yakubovich-Popov lemma. For a simple stochastic linear quadratic control problem we show how the coercivity condition…
We propose an efficient algorithm for the optimal control problems (OCPs) of nonlinear switched systems that optimizes the control input and switching instants simultaneously for a given switching sequence. We consider the switching…
We investigate exploratory randomization for an extended linear-exponential-quadratic-Gaussian (LEQG) control problem in discrete time. This extended control problem is related to the structure of risk-sensitive investment management…
This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the zero-control base system, extract the semimartingale kernel…
The Riccati inequality and equality are studied for infinite dimensional linear discrete time stationary systems with respect to the scattering supply rate. The results obtained are an addition to and based on our earlier work on the…
We study the discrete-time linear-quadratic (LQ) control model using reinforcement learning (RL). Using entropy to measure the cost of exploration, we prove that the optimal feedback policy for the problem must be Gaussian type. Then, we…
We consider the Linear Quadratic Regulation for the boundary control of the one dimensional linear wave equation under both Dirichlet and Neumann activation. For each activation we present a Riccati partial differential equation that we…
In this paper, a class of time inconsistent linear quadratic optimal control problems of mean-field stochastic differential equations (SDEs) is considered under Markovian framework. Open-loop equilibrium controls and their particular…
In this paper, we propose a new Robust Nonlinear Quadratic Gaussian (RNQG) controller based on State-Dependent Riccati Equation (SDRE) scheme for continuous-time nonlinear systems. Existing controllers do not account for combined noise and…
In this paper, we will deal with a Linear Quadratic Optimal Control problem with unknown dynamics. As a modeling assumption, we will suppose that the knowledge that an agent has on the current system is represented by a probability…
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…
In this paper we consider a class of conjugate discrete-time Riccati equations (CDARE), arising originally from the linear quadratic regulation problem for discrete-time antilinear systems. Recently, we have proved the existence of the…
We analyze a class of multidimensional linear-quadratic stochastic control problems with random coefficients, motivated by multi-asset optimal trade execution. The problems feature non-diffusive controlled state dynamics and a terminal…
Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…