Related papers: The Discrete-Time Generalized Algebraic Riccati Eq…
This paper derives recursion equations for a robust smoothing problem for a class of nonlinear systems with uncertainties in modeling and exogenous noise sources. The systems considered operate in discrete-time and the uncertainties are…
This paper is concerned with the closed-loop solvability of one kind of linear-quadratic Stackelberg stochastic differential game, where the coefficients are deterministic. The notion of the closed-loop solvability is introduced, which…
A method is presented that reduces the number of terms of systems of linear equations (algebraic, ordinary and partial differential equations). As a byproduct these systems have a tendency to become partially decoupled and are more likely…
In this paper, an efficient parallel splitting method is proposed for the optimal control problem with parabolic equation constraints. The linear finite element is used to approximate the state variable and the control variable in spatial…
We propose maximum likelihood estimation for learning Gaussian graphical models with a Gaussian (ell_2^2) prior on the parameters. This is in contrast to the commonly used Laplace (ell_1) prior for encouraging sparseness. We show that our…
A distributed discrete-time algorithm is proposed for multi-agent networks to achieve a common least squares solution of a group of linear equations, in which each agent only knows some of the equations and is only able to receive…
A linear evolving surface partial differential equation is first discretized in space by an arbitrary Lagrangian Eulerian (ALE) evolving surface finite element method, and then in time either by a Runge-Kutta method, or by a backward…
This study presents a novel high-order numerical method designed for solving the two-dimensional time-fractional convection-diffusion (TFCD) equation. The Caputo definition is employed to characterize the time-fractional derivative. A weak…
New integrability properties of a family of sequences of ordinary differential equations, which contains the Riccati and Abel chains as the most simple sequences, are studied. The determination of n generalized symmetries of the nth-order…
We discuss several optimization procedures to solve finite element approximations of linear-quadratic Dirichlet optimal control problems governed by an elliptic partial differential equation posed on a 2D or 3D Lipschitz domain. The control…
In this paper we study properties of regular solutions of matrix Riccati equations. The obtained results are used to study the asymptotic behavior of solutions of linear systems of ordinary differential equations.
We derive a reduced-order state estimator for discrete-time infinite dimensional linear systems with finite dimensional Gaussian input and output noise. This state estimator is the optimal one-step estimate that takes values in a fixed…
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…
An operator Riccati equation from systems theory is considered in the case that all entries of the associated Hamiltonian are unbounded. Using a certain dichotomy property of the Hamiltonian and its symmetry with respect to two different…
We present and analyse a new conforming space-time Galerkin discretisation of a semi-linear wave equation, based on a variational formulation derived from De Giorgi's elliptic regularisation viewpoint of the wave equation in second-order…
Optimal Dirichlet boundary control for a fractional/normal evolution with a final observation is considered. The unique existence of the solution and the first-order optimality condition of the optimal control problem are derived. The…
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…
We construct singular solutions of a complex elliptic equation of second order, having an isolated singularity of any order. In particular, we extend results obtained for the real partial differential equation in divergence form by…
We propose new iterative methods for computing nontrivial extremal generalized singular values and vectors. The first method is a generalized Davidson-type algorithm and the second method employs a multidirectional subspace expansion…
This paper proposes an effective low-rank alternating direction doubling algorithm (R-ADDA) for computing numerical low-rank solutions to large-scale sparse continuous-time algebraic Riccati matrix equations. The method is based on the…