Related papers: Solvability of Matrix Riccati Inequalities
Conditional stability estimates allow us to characterize the degree of ill-posedness of many inverse problems, but without further assumptions they are not sufficient for the stable solution in the presence of data perturbations. We here…
A fundamental theory of deterministic linear-quadratic (LQ) control is the equivalent relationship between control problems, two-point boundary value problems and Riccati equations. In this paper, we extend the equivalence to a general…
We study the closed-loop solvability of a stochastic linear quadratic optimal control problem for systems governed by stochastic evolution equations. This solvability is established by means of solvability of the corresponding Riccati…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
A recurrence relation of Riccati-type differential equations known in supersymmetric quantum mechanics is investigated to find exactly solvable potentials. Taking some simple {\it ans\"atze}, we find new classes of solvable potentials as…
Analytic interpolation problems with rationality and derivative constraints are ubiquitous in systems and control. This paper provides a new method for such problems, both in the scalar and matrix case, based on a non-standard Riccati-type…
Motivated by optimal control problems and differential games for functional differential equations of retarded type, the paper deals with a Cauchy problem for a path-dependent Hamilton--Jacobi equation with a right-end boundary condition.…
In standard treatments of stochastic filtering one first has to estimate the values of the parameters of the model. Simply running the filter without considering the reliability of this estimate does not take into account this additional…
We consider a Cauchy problem for a Hamilton--Jacobi equation with coinvariant derivatives of an order $\alpha \in (0, 1)$. Such problems arise naturally in optimal control problems for dynamical systems which evolution is described by…
Simultaneous stabilization problem arises in various systems and control applications. This paper introduces a new approach to addressing this problem in the multivariable scenario, building upon our previous findings in the scalar case.…
The concepts of differentiation and integration for matrices are known. As far as each matrix is differentiable, it is not clear a priori whether a given matrix is integrable or not. Recently some progress was obtained for diagonalizable…
The paper considers the suboptimal H-infinity control problem for a general discrete-time system (whose transfer function matrix is allowed to be improper or polynomial). The parametrization of output feedback controllers is given in a…
In this paper, we consider nonsymmetric solutions to certain Lyapunov and Riccati equations and inequalities with coefficient matrices corresponding to cone-preserving dynamical systems. Most results presented here appear to be novel even…
This paper deals with the regularity of solutions of the Hamilton-Jacobi Inequality which arises in H-infinity control. It shows by explicit counterexamples that there are gaps between existence of continuous and locally Lipschitz (positive…
Discrete algebraic Riccati equations and their fixed points are well understood and arise in a variety of applications, however, the time-varying equations have not yet been fully explored in the literature. In this article we provide a…
We consider a Cauchy problem for a (first-order) path-dependent Hamilton--Jacobi equation with coinvariant derivatives and a right-end boundary condition. Such problems arise naturally in the study of properties of the value functional in…
This paper is concerned with a general linear quadratic (LQ) control problem of mean-field backward stochastic differential equation (BSDE). Here, the weighting matrices in the cost functional are allowed to be indefinite. Necessary and…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
We show that necessary and sufficient conditions of optimality in periodic optimization problems can be stated in terms of a solution of the corresponding HJB inequality, the latter being equivalent to a max-min type variational problem…
Eigenvalue estimates that are optimal in some sense have self-evident appeal and leave estimators with a sense of virtue and economy. So, it is natural that ongoing searches for effective strategies for difficult tasks such as estimating…