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A robustly stabilizing optimal control policy in a model-free mixed $\mathcal{H}_2/\mathcal{H}_\infty$-control setting is here put forward for counterbalancing the slow convergence and non-robustness of traditional high-variance policy…
Traditional solvable optimal control theory predominantly focuses on quadratic costs due to their analytical tractability, yet they often fail to capture critical non-linearities inherent in real-world systems including water, energy,…
Differential algebraic Riccati equations are at the heart of many applications in control theory. They are time-depent, matrix-valued, and in particular nonlinear equations that require special methods for their solution. Low-rank methods…
In contrast to regular ordinary differential equations, the problem of accurately setting initial conditions just emerges in the context of differential-algebraic equations where the dynamic degree of freedom of the system is smaller than…
We reconsider the variational derivation of symplectic partitioned Runge-Kutta schemes. Such type of variational integrators are of great importance since they integrate mechanical systems with high order accuracy while preserving the…
In this work we investigate explicit and implicit difference equations and the corresponding infinite time horizon linear-quadratic optimal control problem. We derive conditions for feasibility of the optimal control problem as well as…
We study linear-quadratic optimal control problems for Voterra systems, and problems that are linear-quadratic in the control but generally nonlinear in the state. In the case of linear-quadratic Volterra control, we obtain sharp necessary…
Hamilton-Jacobi partial differential equations (HJ PDEs) have deep connections with a wide range of fields, including optimal control, differential games, and imaging sciences. By considering the time variable to be a higher dimensional…
The boundary integral method is an efficient approach for solving time-harmonic obstacle scattering problems by a bounded scatterer. This paper presents the directional preconditioner for the iterative solution of linear systems of the…
A single-step high-order implicit time integration scheme with controllable numerical dissipation at high frequencies is presented for the transient analysis of structural dynamic problems. The amount of numerical dissipation is controlled…
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…
In this paper, we introduce a higher-order multiscale method for time-dependent problems with highly oscillatory coefficients. Building on the localized orthogonal decomposition (LOD) framework, we construct enriched correction operators to…
In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by…
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain the state feedback representation of the optimal control, we…
This paper presents the numerical discretization methods of the continuous-time linear-quadratic optimal control problems (LQ-OCPs) with time delays. We describe the weight matrices of the LQ-OCPs as differential equations systems, allowing…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
We consider differential Lyapunov and Riccati equations, and generalized versions thereof. Such equations arise in many different areas and are especially important within the field of optimal control. In order to approximate their…
In this paper we study the quadratic regulator problem for a process governed by a Volterra integral equation in ${\mathbb R}^n$. Our main goal is the proof that it is possible to associate a Riccati differential equation to this quadratic…
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The…
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not necessarily full probability. Under such a partial terminal…