Related papers: A max-plus based fundamental solution for a class …
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 is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…
This paper provides the first meaningful documentation and analysis of an established technique which aims to obtain an approximate solution to linear programming problems prior to applying the primal simplex method. The underlying…
In this paper, we study the irregular output feedback linear quadratic (LQ) control problem, which is a continuous work of previous works for irregular LQ control [33] where the state is assumed to be exactly known priori. Different from…
This paper presents a state and state-input constrained variant of the discrete-time iterative Linear Quadratic Regulator (iLQR) algorithm, with linear time-complexity in the number of time steps. The approach is based on a projection of…
It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with random coefficients. A solution to this problem is given in [21]…
The paper develops an optimal regulator for a general class of multi-input affine nonlinear systems minimizing a nonlinear cost functional with infinite horizon. The cost functional is general enough to enforce saturation limits on the…
In this paper, we study temporal splitting algorithms for multiscale problems. The exact fine-grid spatial problems typically require some reduction in degrees of freedom. Multiscale algorithms are designed to represent the fine-scale…
Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent research has revealed that for forward-backward control…
In this paper, we develop regularized discrete least squares collocation and finite volume methods for solving two-dimensional nonlinear time-dependent partial differential equations on irregular domains. The solution is approximated using…
This paper proposes a novel iterative algorithm to compute the stabilizing solution of regime-switching stochastic game-theoretic Riccati differential equations with periodic coefficients. The method decomposes the original complex…
Constrained decision-making is essential for designing safe policies in real-world control systems, yet simulated environments often fail to capture real-world adversities. We consider the problem of learning a policy that will maximize the…
Linear-Quadratic (LQ) problems that arise in systems and controls include the classical optimal control problems of the Linear Quadratic Regulator (LQR) in both its deterministic and stochastic forms, as well as $H^\infty$-analysis (the…
Model predictive control offers a powerful framework for managing constrained systems, but its repeated online optimization can become computationally prohibitive. Multiparametric programming addresses this challenge by precomputing optimal…
Semi-infinite programming can be used to model a large variety of complex optimization problems. The simple description of such problems comes at a price: semi-infinite problems are often harder to solve than finite nonlinear problems. In…
In this paper, we present a new analytical framework for determining the well-posedness of constrained optimization problems that arise in the study of optimal control device design and placement within the context of infinite dimensional…
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…
We examine robust output feedback control of discrete-time nonlinear systems with bounded uncertainties affecting the dynamics and measurements. Specifically, we demonstrate how to construct semi-infinite programs that produce gains to…
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…