Related papers: Min-max piecewise constant optimal control for mul…
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrability condition for the nonhomogeneous term of the state…
We consider a finite-horizon linear-quadratic optimal control problem where only a limited number of control messages are allowed for sending from the controller to the actuator. To restrict the number of control actions computed and…
A piecewise constant Mayer cost function is used to model optimal control problems in which the state space is partitioned into several regions, each having its own Mayer cost value. In such a context, the standard numerical methods used in…
Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. Time-inconsistency feature of the problems is carefully investigated. Both open-loop and closed-loop…
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…
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various applications, especially in the financial risk…
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a preliminary stochastic maximum principle to analyze the unique…
We study the numerical approximation of linear-quadratic optimal control problems subject to the fractional Laplace equation with its spectral definition. We compute an approximation of the state equation using a discretization of the…
This paper deals with some reachability issues for piecewise linear switched systems with time-dependent coefficients and multiplicative noise. Namely, it aims at characterizing data that are almost reachable at some fixed time T > 0…
This article investigates the exact controllability of three-dimensional stochastic Maxwell equations, a coupled system comprising two stochastic partial differential equations. The research establishes the observability inequality for the…
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by introducing a generalized backward stochastic differential…
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The terminal constraint of such systems distinguishes it from…
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…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
This paper studies optimal control problems of unknown linear systems subject to stochastic disturbances of uncertain distribution. Uncertainty about the stochastic disturbances is usually described via ambiguity sets of probability…
A method is presented for solving the discrete-time finite-horizon Linear Quadratic Regulator (LQR) problem subject to auxiliary linear equality constraints, such as fixed end-point constraints. The method explicitly determines an affine…
We consider a linear-quadratic optimization problem with pointwise bounds on the state for which the constraint is given by the Laplace-Beltrami equation (to have uniqueness we add an lower order term) on a two-dimensional surface . By…
The inverse linear-quadratic optimal control problem is a system identification problem whose aim is to recover the quadratic cost function and hence the closed-loop system matrices based on observations of optimal trajectories. In this…
Linear time-invariant control systems can be considered as finitely generated modules over the commutative principal ideal ring $\mathbb{R}[\frac{d}{dt}]$ of linear differential operators with respect to the time derivative. The Kalman…
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem for mean-field backward stochastic differential equations (MF-BSDE, for short) driven by a Poisson random martingale measure and a Brownian motion.…