Related papers: High order structure preserving explicit methods f…
Finite element methods provide accurate and efficient methods for the numerical solution of partial differential equations by means of restricting variational problems to finite-dimensional approximating spaces. However, they do not…
In this paper, we first address a linear quadratic mean-field game problem with a leader-follower structure. By adopting a Riccati-type approach, we show how one can obtain a state-feedback representation of the pairs of strategies which…
Exponential time differencing methods is a power tool for high-performance numerical simulation of computationally challenging problems in condensed matter physics, fluid dynamics, chemical and biological physics, where mathematical models…
We consider approximations to the solutions of differential Riccati equations in the context of linear quadratic regulator problems, where the state equation is governed by a multiscale operator. Similarly to elliptic and parabolic…
We introduce a high-order spline geometric approach for the initial boundary value problem for Maxwell's equations. The method is geometric in the sense that it discretizes in structure preserving fashion the two de Rham sequences of…
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop…
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…
In this paper, we derive a variational integrator for certain highly oscillatory problems in mechanics. To do this, we take a new approach to the splitting of fast and slow potential forces: rather than splitting these forces at the level…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem with fixed terminal states and integral quadratic constraints. A Riccati equation with infinite terminal value is introduced, which is uniquely solvable…
This paper considers the problem of real-time mode scheduling in linear time-varying switched systems subject to a quadratic cost functional. The execution time of hybrid control algorithms is often prohibitive for real-time applications…
In this paper, we consider the problem of distributed optimal control of linear dynamical systems with a quadratic cost criterion. We study the case of output feedback control for two interconnected dynamical systems, and show that the…
Among the single-trajectory Gaussian-based methods for solving the time-dependent Schr\"{o}dinger equation, the variational Gaussian approximation is the most accurate one. In contrast to Heller's original thawed Gaussian approximation, it…
This paper investigates numerical methods for solving stochastic linear quadratic (SLQ) optimal control problems governed by stochastic partial differential equations (SPDEs). Two distinct approaches, the open-loop and closed-loop ones, are…
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. We take into account this aspect by considering Markov jump linear systems where the…
In this paper, we discuss numerical methods for solving large-scale continuous-time algebraic Riccati equations. These methods have been the focus of intensive research in recent years, and significant progress has been made in both the…
The explicit split-operator algorithm is often used for solving the linear and nonlinear time-dependent Schr\"{o}dinger equations. However, when applied to certain nonlinear time-dependent Schr\"{o}dinger equations, this algorithm loses…
In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original…
We propose a computational framework for replacing the repeated numerical solution of differential Riccati equations in finite-horizon Linear Quadratic Regulator (LQR) problems by a learned operator surrogate. Instead of solving a nonlinear…
The splitting method is a powerful method for solving partial differential equations. Various splitting methods have been designed to separate different physics, nonlinearities, and so on. Recently, a new splitting approach has been…
In this paper, our goal is to study fundamental foundations of linear quadratic Gaussian (LQG) control problems for stochastic linear time-invariant systems via Lagrangian duality of semidefinite programming (SDP) problems. In particular,…