Related papers: Solvability of Matrix Riccati Inequalities
Recently it has been found that for a stochastic linear-quadratic optimal control problem (LQ problem, for short) in a finite horizon, open-loop solvability is strictly weaker than closed-loop solvability which is equivalent to the regular…
We consider a Hamiltonian system with 2 degrees of freedom, with a hyperbolic equilibrium point having a loop or homoclinic orbit (or, alternatively, two hyperbolic equilibrium points connected by a heteroclinic orbit), as a step towards…
This paper concerns parameterized convex infinite (or semi-infinite) inequality systems whose decision variables run over general infinite-dimensional Banach (resp. finite-dimensional) spaces and that are indexed by an arbitrary fixed set T…
The nonsymmetric T-Riccati equation is a quadratic matrix equation where the linear part corresponds to the so-called T-Sylvester or T-Lyapunov operator that has previously been studied in the literature. It has applications in…
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…
This paper is concerned with a stochastic linear quadratic (LQ, for short) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple example shows that these two solvabilities are different.…
One of the fundamental issues in Control Theory is to design feedback controls. It is well-known that, the purpose of introducing Riccati equations in the deterministic case is to provide the desired feedback controls for linear quadratic…
This article is devoted to the study of lower semicontinuous solutions of Hamilton-Jacobi equations with convex Hamiltonians in a gradient variable. Such Hamiltonians appear in the optimal control theory. We present a necessary and…
We generalize the classical theory on algebraic Riccati equations and optimization to infinite-dimensional well-posed linear systems, thus completing the work of George Weiss, Olof Staffans and others. We show that the optimal control is…
Different from most of the previous works, this paper provides a thorough solution to the fundamental problems of linear-quadratic (LQ) control and stabilization for discrete-time mean-field systems under basic assumptions. Firstly, the…
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal…
In the paper we develop a general theory of solvability of linear inhomogeneous boundary-value problems for systems of first-order ordinary differential equations in spaces of smooth functions on a finite interval. This problems are set…
In this paper we study the existence of sufficiently regular representations of Hamilton-Jacobi equations in optimal control theory with the compact control set. We introduce a new method to construct representations for a wide class of…
We associate to an arbitrary $\mathbb Z$-gradation of the Lie algebra of a Lie group a system of Riccati-type first order differential equations. The particular cases under consideration are the ordinary Riccati and the matrix Riccati…
The aim of the paper is to develop a general theory of solvability of linear inhomogeneous boundary-value problems for systems of ordinary differential equations of arbitrary order in Sobolev spaces. Boundary conditions are allowed to be…
In this paper formulas are derived for the analytic center of the solution set of linear matrix inequalities (LMIs) defining passive transfer functions. The algebraic Riccati equations that are usually associated with such systems are…
In this article uncoditional solvability of the Carleman-Vekua equation with a singular point is proved, the Riemann-Hilbert problem is solved integral representations of solutions, the strictures of their zeros and poles are recieved.
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…
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
In this short paper we show a sufficient condition for the solvability of the Dirichlet problem at infinity in Riemannian cones (as defined below).This condition is related to a celebrated result of Milnor that classifies parabolic…